Cass chosen to run two IFoA research programmes

Two Cass research programmes will receive funding from the Institute and Faculty of Actuaries (IFoA) to further actuarial science world-wide.

The programmes were chosen following a call for research in August 2015 which garnered 25 proposals, involving over 100 institutions from over 20 countries.

Following a rigorous review of the 25 proposals received, the IFoA identified three significant research programmes addressing the following issues:

• Future pension products that meet customer needs, balancing stability, performance and cost, with Cass Business School and Heriot-Watt University, partnering with Blackrock and Danica Pension;
• The development of a new generation of mortality and morbidity models, with a specific focus on the drivers for mortality and the management of longevity risk, with Heriot-Watt University, partnering with Cass Business School, University of Southampton, Aarhus University in Denmark, University of California Santa Barbara and Longevitas Ltd;
• The development of new statistical and actuarial methods in the use of Big Data, in the context of health and wider applications, with the University of East Anglia, with assistance from technical experts within Aviva.

The three programmes, extending over five years, will be run through the IFoA’s Actuarial Research Centre (ARC) and will form part of the IFoA’s ground breaking research programme that will be underwriting £3.1 million of research worldwide.

Director of the Pensions Institute, Professor David Blake, said: “The Pensions Institute at Cass Business School is delighted to be collaborating in this multi-disciplinary project with such distinguished academics from the World's leading universities, specialising in longevity risk modelling and management. Indeed, this is the next stage in a very successful collaboration that began exactly 10 years ago with the release of the Cairns-Blake-Dowd stochastic mortality model.”

Professor of Actuarial Science, Jens Nielsen, said: “Cass is extremely happy to lead this research programme on the next generation of pension products. The vision Nobel laureate Robert Merton formulated in The Crisis of Retirement Planning (Harvard Business Review) will be dealt with and operationalised. The aim is to keep the virtues of defined benefit pensions while moving into a defined contribution universe. Funding will be provided for twelve scientists: six full time and six part time staff from five different universities - three full time and one part time will be based at Cass, with the other eight visiting Cass on a regular basis.”

Professor Mark Cross, Chair of the IFoA’s Research and Thought Leadership Committee, said: “We set out some of the key challenges in actuarial science and were overwhelmed with the response from the actuarial community in how it would seek to address those challenges. What we have here are three world-class programmes and I am delighted that they will form the foundations of our newly expanded Actuarial Research Centre.”