Abstract: The focus of genetics is shifting its contribution to common, complex disorders. New genetic risk factors will be discovered, which if undisclosed may allow adverse selection. However, this should happen only if low-risk individuals would reduce their expected utility by insuring at the average price. We explore this boundary, focusing on critical illness insurance and heart attack risk. Adverse selection is, in many cases, impossible. Otherwise, it appears only for lower risk aversion and smaller insured losses, or if the genetic risk is implausibly high. We find no strong evidence that adverse selection from this source is a threat.

Public policy perspectives on some actuarial topics

Abstract: I do research mainly to shed light on public policy issues and promote policies which I think will make the world better. This means thinking about problems from the viewpoint of society, or sometimes a disadvantaged class in society, rather than from the viewpoint of managing a financial institution.
In this talk I will summarise published work and work in progress on topics (1) and (2) below, and outline some initial thoughts on topics (3) and (4).

1. Risk classification and loss coverage
2. Price discrimination ("price optimisation") in general insurance
3. Risk management: risk shifting and diminishing returns
4. Philanthropy: rates of accumulation v. rates of giving, and criteria for choosing between charitable causes (risk-adjusted beneficence per £).

Seminar Slides (PDF, filesize 421 KB)

Risk Assessment of The UK Pension Protection Fund – An Economic Capital Approach

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Choosing between fixed and floating rate debt for interest rate risk management in non-financial corporations

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Abstract: Measures of tail association offer important insights into the risk of jointly extreme events. Measures of extreme loss are similarly important for many financial institutions. In this seminar, Professor Paul Sweeting will investigate the statistics that can be used to describe these risks, and the ways in which these risks can be communicated graphically.

Nearly $1 trillion of the US economy is directly exposed to weather risk. It is estimated that nearly 30% of the US economy and 70% of the US companies are affected by weather. Today, weather derivatives are being used for hedging purposes by companies and industries, whose profits can be adversely affected by unseasonal weather or, for speculative purposes by hedge funds and others interested in capitalizing on those volatile markets. In this seminar the basic notions of the weather market will be presented. In addition a methodology for modelling and pricing temperature derivatives will be developed.

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