Gerrard Russell J.

Date of Birth: May 31,1958

PhD in Stochastic Processes from Cambridge University

Senior Lecturer, Institute of Actuaries Principal Examiner for Subject 103, 2000-2005
The Actuarial Profession Lead Assessor for Subject CA2, 2008–
Associate Dean for the Undergraduate Programme
Cass Business School
City University London

Research interests:
– Insurance;
– Pension Funds;
– Stochastic Processes.

Total number of publication – 20 papers in peer reviewed journals

The most important scientific papers:

Gerrard RJ, Hojgaard B, Vigna E (2011 Forthcoming), 'Choosing the optimal annuitization time post-retirement', Quantitative Finance; keywords: Actuarial science, Consumption-portfolio choice, Control and optimization, Insurance mathematics, Portfolio allocation, Defined contribution pension scheme, Optimal annuitization time; [Peer Reviewed]
Gerrard RJ, Tsanakas A (2011), 'Failure probability under parameter uncertainty', Risk Analysis: an International Journal, 31(5), p.727-744; keywords: # Insurance; # location-scale families; # parameter uncertainty; # solvency; # value at risk; [Peer Reviewed]
Gerrard R J, Delong, L, Haberman, S (2008), 'Mean-Variance Optimization Problems for the Accumulation Phase in a Defined Benefit Plan', Insurance: Mathematics and Economics, 42(1), p.107-118; keywords: Levy diffusion financial market; Stochastic mortality intensity process; Hamilton–Jacobi–Bellman equation; Feynman–Kac representation; [Peer Reviewed]
Gerrard R J, Ngwira, B (2007), 'Stochastic Pension Fund Control in the presence of Poisson Jumps', Insurance: Mathematics and Economics, 40(2), p.283-292; keywords: Defined Benefit pension funds, jump-diffusion process, optimal asset allocation; [Peer Reviewed]
Gerrard R J, Delong, L (2007), 'Mean-variance Portfolio Selection for a Non-life Insurance Company', Mathematical Methods of Operations Research, 66(2), p.339-367; keywords: Levy diffusion financial market, compound Cox claim process, Hamilton-Jacobi-Bellman equation, Feynman-Kac representation, efficient frontier; [Peer Reviewed]
Gerrard R, Haberman, S, Vigna, E (2006), 'Management of De-cumulation Risks in a Defined Contribution Environment', North American Actuarial Journal, 10(1), p.84-110; keywords: distribution phase, stochastic optimal control, bequest motive; [Prize Winning]; [Peer Reviewed]
Gerrard R, Haberman, S., Vigna, E. (2004), 'Optimal investment choices post-retirement in a defined contribution pension scheme', Insurance: Mathematics and Economics, 35(2), p.321-342; keywords: Income drawdown option, stochastic optimal control, decumulation phase, immediate annuitization; [Peer Reviewed]
Gerrard R, Wang N.A.N., Haberman S. (2004), 'The premium and the risk of a life policy in the presence of interest rate fluctuation', Insurance: Mathematics and Economics, 35(3), p.537-551; [Peer Reviewed]
Gerrard R, Haberman S. and Velmachos D. (2000), 'Life Contingencies with Stochastic Discounting using Moving Average Models', Journal of Actuarial Practice, 8, p.177-210 ; [Peer Reviewed]

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