Actuarial research project to improve risk assessment
Mathematicians Dr Gerard Kennedy and Professor Jon Forster together with Mr Neil Robjohns from the actuarial consultants Barnett Waddingham have been awarded £40,000 by the Actuarial Profession for a research project on 'Bayesian Modelling of Mortality Projection Uncertainty'.
Bayesian statistical methodology provides a fully coherent framework for estimation in the presence of model uncertainty, but practical implementation within the context of mortality projection is under-explored, and will form the main focus of the research.
Potential benefits of this research would be improved assessment of risk exposures and capital requirements, as well as greater understanding of the quantification of mortality projection uncertainty. The research should lead to improved management of longevity risk transactions.