University College Dublin logo
Mr Andrew Smith

Mr

Andrew Smith

Lecturer/Assistant Professor
School of Mathematics and Statistics
01 716 2542
University College Dublin, School of Mathematics and Statistics, Science Centre - South Belfield Dublin 4

BIO

Andrew is an internationally renowned actuary who specialises in the application of advanced mathematical and statistical methods to solve problems in the financial services industry. CURRENT POST Andrew is currently an Assistant Professor in the School of Mathematics and Statistics at University College Dublin. ANDREW'S CONSULTING WORK Prior to joining UCD, Andrew worked for many years as a consulting actuary. Andrew started work in 1987 as a summer holiday student at Bacon & Woodrow consulting actuaries. He was employed there full time from leaving university in 1990, until Deloitte acquired Bacon & Woodrow’s insurance practice in May 2001. He was a partner at Deloitte from 2001 to 2017. Andrew consulted with many clients in diverse areas, including: • Use of techniques from finance theory to value assets and liabilities. In the late 1990’s, following a secondment to the pricing desk of an investment bank, he published some of the earliest methodologies for market consistent liabilities and market consistent embedded value. His 2004 paper (co-authored with Tim Sheldon) has become the authoritative reference on the subject in a life insurance context, underpinning the realistic balance sheet method (in UK and Ireland) and the EU’s Solvency II regulatory market-consistent liability valuation. • Use of economic scenario generators. In 1995 he launched algorithms for 5 economic scenario generators into the public domain -together with working source code. More than forty clients around the world used economic scenario generator software. In addition, Andrew served a portfolio of clients who develop their own models, as well as providing reviews, quality and integrity checks for simulations provided by third parties. • Developing techniques in analysis of market and credit risk, and their relation to insurance claim frequency and severity, mortality and customer behaviour. In 2005 Andrew published the “Risk Geographies” technique, now widely used as a tool for understanding risk capital calculations, involving intuitive graphical displays of how risks interact. • Working with banks, providing structuring advice for financial products to the insurance industry. He has also provided quantitative support for the pricing of exotic derivative structures, both in the dealing room and for audit purposes. • Playing a leading role in the reform of financial reporting for defined benefit pension schemes. He was a co-author, with Jon Exley and Shyam Mehta of the (then deeply unpopular) 1997 paper "The Financial Theory of Defined Benefit Pension Schemes", which, as reported in The Economist in 2006, “laid the foundations for a completely new actuarial school.” • Developing innovative numerical methods to implement advanced modelling techniques. Andrew developed saddle point implied volatility algorithms now used in pricing of options and collateralised debt obligations. He was also one of the first to use replicating portfolios for fast liability projection, starting with a 1993 paper to the Rome AFIR convention. • Stretching the bounds of investment studies to capture important effects ignored by standard models. An example of this is his work on transaction costs, market impact and financing shocks to explain the costs and benefits of holding less liquid assets. He has worked with more exotic structures with embedded options, such as equity release mortgages, commercial real estate development finance, securitised retail and trade receivables. He has developed new methods of quantifying insurance liquidity requirements and the yield premiums available on illiquid assets, with implications for asset valuation, cash flow stress testing, capital requirements and liability valuation. In addition to his work with industry clients he was also seconded to a regulator to help them develop their position on these assets. • Working with many insurers and reinsurers on economic product pricing and shareholder value measurement. He has specialised in the use of economic theory to understand market consistent balance sheet valuation, the pricing of capital usage and the setting of profit targets. His paper “The Cost of Capital for Financial Firms” (with Jon Exley, 2006) has become a widely cited reference on this subject. • Helping banks, insurers and asset managers to develop an internal credit rating capability for assessing credit risk in corporate bonds, retail secured and unsecured loans and a wide variety of other unrated, illiquid assets. • Andrew’s expertise has also been applied outside the financial services industry, working within multi-disciplinary teams along experts from diverse fields. These have included developing funding plans for the decommissioning of nuclear power stations, Monte Carlo methods for evaluating construction project risk, assessment of student loan contracts, forecasting warranty costs for car manufacturers and loyalty scheme utilisation for airlines. RESEARCH PUBLICATIONS Andrew has published many papers in insurance, pensions and financial matters. In 1996 he won the Institute of Actuaries' prize for his paper "How Actuaries can use Financial Economics", another prize in 2002 for his joint paper “Corporate Bond Models”, and a further prize for his joint 2004 paper “The Cost of Capital for Financial Firms”. His 2001 methodology for constructing risk-free yield curves has been adopted for the published yield curves under Solvency II. His joint paper “Why financial firms can charge for diversifiable risk” won a Casualty Actuarial Society prize in 2003 and underpins much of current thinking on risk margins. In 2008, the Institute of Actuaries awarded a Finlaison Medal, in recognition of Andrew’s contribution to actuarial science, also awarding a prize for his joint paper “The Modelling of Extreme Market Events”. He continues active service on a number of professional working parties both UK and internationally, having recently produced papers on dependency modelling, the market pricing of liquidity and the risks that are missing from capital models. In 2015, the Institute and Faculty of Actuaries elected Andrew as an Honorary Fellow. He is a spirited critic of actuarial mumbo jumbo, and is well-known for his ruthless debunking of financial myths. He is frequently quoted in the press, and is widely respected as an entertaining and informative conference speaker. Andrew has served as a volunteer tutor for the Society of Actuaries’ asset and liability management course (which Andrew co-led in London, Brussels, Copenhagen, Amsterdam, Chicago and Prague). He has presented technical workshops for many European actuarial associations, and has taught longer courses in Albania, Armenia and Ghana to prepare students for the Institute of Actuaries’ examinations. He continues to serve as a volunteer on a number of professional working parties. Andrew acts as a scrutineer for the British Actuarial Journal, the Annals of Actuarial Science and the Astin Bulletin. He sits on the editorial advisory panel for The Actuary magazine. EDUCATION AND AWARDS Andrew Studied at the City of London School (1979-1987) gaining 11 O-levels and 6 A-levels (Maths, Further maths, Physics, Chemistry, Biology, Music) all at Grade A. He represented the UK twice in the International Mathematical Olympiad, in Poland (1986) and Cuba (1987) winning a silver medal on each occasion. Andrew is an Associate of the London College of Music specialising in the saxophone. Andrew studied mathematics at Cambridge University (1987-1990) completing the usual three-year course in two years (BA Hons, first class) and gaining the Certificate in Further Mathematical Studies (also called Part III and denoted M Math) in his third year. The Institute of Actuaries awarded Andrew a Finlaison Medal in 2008, and elected him an Honorary Fellow in 2015.

DEGREES

  • BA
    University of Cambridge
  • MPhil
    University of Cambridge
  • FIA
    Institute of Actuaries London

LANGUAGES

  • English
    Can read, write, speak, understand and peer review
  • French
    Can read, write, speak and understand
  • German
    Can read, write, speak and understand
  • Russian
    Can read, write, speak and understand
  • Polish
    Can read, speak and understand
  • Georgian
    Can read and speak