MrAndrew Smith

Andrew's current research interests include the modelling of asset price and liquidity risk, price optimisation, the analysis of mortality and the statistical analysis of insurance claims. He is working on a hand-book of probability technqiues for value-at-risk calculations, focusing on model risks.

His published papers cover topics such as:
* Rates of corporate bond transitions between credit rating categories
* The historical evolution of Economic Scenario Generators (Work with the extreme events working party, presented at the Institute and Faculty of Actuaries and Society of Actuaries in Ireland)
* Estimation and validation of proxy models in insurance
* Construction of stress tests for lapse risk and other areas of sparse data and/or specification error
* Construction and estimation of long term econometric models
* Closed-form solutions for various American options
* Communicating uncertainty and implications for professionalism (working party member)
* Capital attribution: Monte Carlo methods and analytical approximations
* Correlations and dependencies, particularly the use of arachnitude and rank attributes for calibrating elliptic copulas.
* Convex capital methods and key events (most likely ruin event, least solvent likely event)
* Estimation of yield curves from bond / swap data
* Robustness in statistical model estimation, and the impact of distribution mis-specification.
* Quantifying model mis-specification error in loss distribution calibration.
* Pricing and reserving for equity release mortgages (also called lifetime mortgages)
* Impact of illiquidity in the pricing of investments and financial instruments.
* Pricing and risk management for pension contracts involving caps and floors on inflation (working party member)