Centre for Actuarial Science, Risk and Investment

Research in Actuarial Science

Work in actuarial science at the University of Kent can be divided into three broad themes achieving a balance of theoretical and applied investigations, as well as addressing social policy implications.

Economic capital and financial risk management

With the advent of new risk-based regulations for financial services firms, specifically Basel 2 and Basel 3 for banks and Solvency 2 for insurers, there is now a heightened focus on the practical implementation of quantitative risk management techniques for firms and defined benefit pension schemes operating within the financial services sector.

In particular, financial services firms are now expected to self-assess and quantify the amount of capital they need to cover the risks they are running. This self-assessed quantum of capital is commonly termed risk, or economic, capital.

At Kent we are actively involved in developing rigorous risk management techniques to explicitly measure how much risk a firm or pension scheme is taking, holistically, across the entire spectrum of risks it accepts.

More about our research in this area

Longevity risk

Longevity risk represents a substantial threat to the stability of support programmes for the elderly, most notably to the subset that provides income protection but also to non-traditional products such as home equity release schemes.

One approach to dealing with longevity risk is to model key factors that influence mortality; this may be achieved using aggregate (causal) mortality rates or panel data with individual-specific covariates. Another approach to modelling longevity risk is via an investigation of positive quadrant dependence between lives, which requires a multivariate framework. Once this is in place, longevity risk may be investigated on various fronts ranging from entire populations to couples.

More about our research in this area

Public policy aspects of risk classification

Restrictions on risk classification can lead to adverse selection, and actuaries usually regard this as a bad thing. However, restrictions do exist in many countries, suggesting that policymakers often perceive some merit in such restrictions. Careful re-examination of the usual actuarial arguments can help to reconcile these observations.

Models of insurance purchasing behaviour under different risk classification regimes can quantify the effects of particular bans, e.g. on insurers’ use of genetic test results, or gender classification in the European Union.

More about our research in this area

CASRI has been steadily expanding its research capacity, building up a team of internationally renowned academics and research students.

Because CASRI is part of the School of Mathematics, Statistics and Actuarial Science our researchers can readily collaborate with experts in statistics and mathematics.

Our seminar programme involves a wide range of research-active speakers.

Making calculations

A bar graph superimposed on a crowd of people

Centre for Actuarial Science, Risk and Investment (CASRI), School of Mathematics, Statistics and Actuarial Science (SMSAS), Sibson Building, Parkwood Road, Canterbury, CT2 7FS

Contact us

Last Updated: 03/11/2016