Dr Douglas Wright

Senior Lecturer in Actuarial Science and Course Director for MSc in Actuarial Management

Bayes Business School, Faculty of Actuarial Science and Insurance

Contact

Visit Douglas Wright

Room BR5065, Bunhill Row

Postal address

Bayes Business School
106 Bunhill Row
London
EC1Y 8TZ
United Kingdom

About

Overview

Joined Scottish Provident Life Assurance in Edinburgh in October 1991, after completing a BSc (Hons) in Actuarial Science and Statistics and Heriot-Watt University. Returned to Heriot-Watt in October 1993 to begin a PhD entitled "A Stochastic Approach to Pension Scheme Funding and Asset Allocation" under the supervision of Dr Mary Hardy.

After completion of the PhD, joined the Department of Actuarial Science and Statistics at City University as a lecturer in Actuarial Science in January 1997.

Appointed Course Director for the Diploma/MSc in Actuarial Management in October 2000, and for the Diploma/MSc in Actuarial Science in October 2004.

Promoted to Senior Lecturer in Actuarial Science in July 2004.

Re-appointed Course Director for MSc in Actuarial Management in January 2008.

Qualifications

BSc and PhD.

Memberships of professional organisations

  • Fellow, Institute and Faculty of Actuaries, Oct 2004 – present

Expertise

Primary topics

  • Actuarial Science
  • Asset Valuation
  • Econometric & Statistical Methods
  • Pension Funds
  • Portfolio Choice
  • Risk Management

Additional topics

  • Financial Economics
  • Life Insurance

Industries

  • financial services
  • insurance

Research

Co-supervised Feng Zhou in his PhD looking at applications of agent-based in non-life insurance markets and now looking at extending this work further.

Continuing use of loss aversion (and other ideas from behavioural finance) in investment decisions with regard to retirement savings.

Recently started work with Professor Les Mayhew looking at options for using pension savings on retirement.

Research topics

Optimal asset allocation for defined contribution pension schemes under loss aversion

Effect of inter-temporal substitution of optimal asset allocation

Application of agent-based models in actuarial science

Research students

2nd supervisor

Feng Zhou

Attendance: Oct 2009 – Dec 2013, full-time

Thesis title: Application of agent-based modelling to insurance cycles

Role: 1st Supervisor

Yumeng Zhang

Attendance: Oct 2004 – Sep 2008, full-time

Thesis title: Optimal Asset Allocation for Defined Contribution Pension Schemes

Role: 1st Supervisor

Pius Apere

Attendance: Oct 2001 – Oct 2006, full-time

Thesis title: New Business Risk in Life Insurance

Role: 2nd Supervisor

Bernard Ngwira

Attendance: Oct 2001 – Dec 2004, full-time

Thesis title: Risk Management for Defined Benefit Pension Schemes

Role: 1st Supervisor

Publications

Conference papers and proceedings (5)

  1. Wright, D., Owadally, I. and Zhou, F. (2011). Application of agent based modelling to insurance cycles. GIRO Conference, The Actuarial Profession Liverpool.
  2. Wright, I.D., Blake, D. and Zhang, Y. (2008). Optimal Asset Allocation for Defined Contribution Pension Plans under Loss Aversion. Insurance Mathematics and Economics Dalian, China.
  3. Wright, I.D., Haberman, S., Khorasanee, Z. and Ngwira, B. (2003). Stochastic Pensions Valuation working party. Sessional paper Institute of Actuaries, London.
  4. Khorasanee, Z., Haberman, S. and Nash, N. (2003). A stochastic approach to risk management and decision making in defined benefit pension schemes. Institute of Actuaries sessional meeting London..
  5. Wright, I.D., Haberman, S., Khoransanee, Z. and Ngwira, B. (2001). Stochastic Pensions Valuation working party - Interim findings. Institute of Actuaries Pension Convention Birmingham.

Journal articles (11)

  1. England, R., Owadally, I. and Wright, D. (2022). An Agent-Based Model of Motor Insurance Customer Behaviour in the UK with Word of Mouth. Journal of Artificial Societies and Social Simulation, 25(2). doi:10.18564/jasss.4768.

    [publisher’s website]

  2. Blake, D., Cannon, E.S. and Wright, D. (2021). Quantifying Loss Aversion: Evidence from a UK Population Survey. Journal of Risk and Uncertainty, 63, pp. 27–57. doi:10.1007/s11166-021-09356-7.
  3. Owadally, I., Zhou, F., Otunba, R., Lin, J. and Wright, D. (2019). Time Series Data Mining with an Application to the Measurement of Underwriting Cycles. North American Actuarial Journal, 23(3), pp. 469–484. doi:10.1080/10920277.2019.1570468.

    [publisher’s website]

  4. Owadally, I., Zhou, F., Otunba, R., Lin, J. and Wright, D. (2019). An agent-based system with temporal data mining for monitoring financial stability on insurance markets. Expert Systems with Applications, 123, pp. 270–282. doi:10.1016/j.eswa.2019.01.049.

    [publisher’s website]

  5. Mayhew, L., Smith, D. and Wright, I. (2018). The effect of longevity drift and investment volatility on income sufficiency in retirement. Insurance: Mathematics and Economics, 78, pp. 201–211. doi:10.1016/j.insmatheco.2017.09.013.
  6. Owadally, I., Zhou, F. and Wright, D. (2018). The Insurance Industry as a Complex Social System: Competition, Cycles and Crises. Journal of Artificial Societies and Social Simulation, 21(4). doi:10.18564/jasss.3819.

    [publisher’s website]

  7. Blake, D., Wright, D. and Zhang, Y. (2014). Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners. Journal of Economic Dynamics and Control, 38, pp. 105–124. doi:10.1016/j.jedc.2013.11.001.

    [publisher’s website]

  8. Blake, D., Wright, D. and Zhang, Y. (2013). Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion. Journal of Economic Dynamics and Control, 37(1), pp. 195–209. doi:10.1016/j.jedc.2012.08.001.

    [publisher’s website]

  9. Haberman, S., Day, C., Fogarty, D., Khorasanee, M.Z., McWhirter, M., Nash, N. … Yakoubov, Y. (2003). A Stochastic Approach to Risk Management and Decision Making in Defined Benefit Pension Schemes. British Actuarial Journal, 9(3), pp. 493–586. doi:10.1017/s135732170000427x.

    [publisher’s website]

  10. Haberman, S., Khorasanee, M.Z., Ngwira, B. and Wright, I.D. (2003). Risk measurement and management of defined benefit pension schemes: A stochastic approach. IMA Journal of Management Mathematics, 14(2), pp. 111–128. doi:10.1093/imaman/14.2.111.
  11. Wright, I.D. (1998). Traditional Pension Fund Valuation in a Stochastic Asset and Liability Environment. British Actuarial Journal, 4(4), pp. 865–901. doi:10.1017/s1357321700000210.

    [publisher’s website]

Reports (3)

  1. Mayhew, L., Smith, D. and Wright, I.D. (2015). Pension pots and how to survive them. International Longevity Centre (ILC-UK).
  2. Wright, I.D. and Chadburn, R. (2001). The sensitivity of life office simulation outcomes to differences in asset model structure. London: Faculty of Actuarial Science & Insurance, City University London.
  3. Wright, I.D. (1998). A stochastic investment model using vector auto-regression. London: Faculty of Actuarial Science and Insurance, City University London.

Theses/dissertations (2)

  1. Wright, I.D., Blake, D. and Zhang, Y. Optimal plan design and dynamic asset allocation of defined contribution pension plans: lessons from behavioural finance and non-expected utility theories. (PhD Thesis)
  2. Wright, I.D. A stochastic approach to pension scheme funding and asset allocation. (PhD Thesis)

Working papers (2)

  1. Blake, D., Cannon, E. and Wright, D. (2021). Quantifying loss aversion: Evidence from a UK population survey. Springer Science and Business Media LLC
  2. Wright, I.D. (1998). A stochastic approach to pension scheme funding. London, UK: Faculty of Actuarial Science & Insurance, City University London.

Education

Course Directorship

- 2008 - present, MSc in Actuarial Management, Director
- 2000 - 2006, MSc in Actuarial Management, Director

Professional activities

Consultancy (5)

  1. Actuarial Consulting, Lisbon (Private Sector) (Jun 2008)
    Course on stochastic asset liability modelling.
  2. OAC plc (Private Sector) (Jan 2007)
    Course on stochastic asset-liability modelling.
  3. Skandia Life (Private Sector) (May 2006)
    Course on stochastic asset-liability modelling.
  4. KPMG (Private Sector) (Jun 2005)
    Course on stochastic asset-liability modelling.
  5. XL reinsurance (Private Sector) (Jul 2003)
    Course on stochastic asset-liability modelling.

Editorial activity

  1. Journal of Risk and Insurance, Referee, 2010 – present.

Events/conferences (4)

  1. GIRO Conference, The Actuarial Profession. (Conference) Liverpool (2011).
    Paper: Application of agent based modelling to insurance cycles
    Author: Wright D
    Co-authors: Owadally I, Zhou F
  2. Insurance Mathematics and Economics. (Conference) Dalian, China (2008).
    Paper: Optimal Asset Allocation for Defined Contribution Pension Plans under Loss Aversion
    Author: Wright I D
    Co-authors: Blake D, Zhang Y
  3. Sessional paper. (Conference) Institute of Actuaries, London (2003).
    Paper: Stochastic Pensions Valuation working party
    Author: Wright I D
    Co-authors: Haberman S, Khorasanee Z, Ngwira B
  4. Institute of Actuaries Pension Convention. (Conference) Birmingham (2001).
    Paper: Stochastic Pensions Valuation working party - Interim findings
    Author: Wright I D
    Co-authors: Haberman S, Khoransanee Z, Ngwira B