EPSRC CASE STUDENTSHIP IN STATISTICS

         THE MODELLING AND PROJECTION OF MORTALITY RATES

        DEPARTMENT OF ACTUARIAL MATHEMATICS AND STATISTICS

           SCHOOL OF MATHEMATICAL AND COMPUTER SCIENCES

                     HERIOT-WATT UNIVERSITY

A collaborative research project between the Department of Actuarial
Mathematics and Statistics, Heriot-Watt University, Edinburgh and the
Continuous Mortality Investigation Bureau (CMIB), London.

Applications are invited for a three-year CASE studentship concerning
the modelling and projection of mortality rates for the UK insurance and
pensions industry, jointly funded by EPSRC and the CMIB.  Full tuition
fees and research expenses will be a covered.  A stipend starting at
12,000GBP p.a. will be available for UK students while for EU students
the CMIB will pay a stipend of 3,000GBP p.a. with Heriot-Watt University
providing additional funding to a suitable candidate.  A starting date
of 1 October 2003 is anticipated.

The Research Project

The CMIB has responsibility for the monitoring and forecasting of
mortality rates for the UK insurance and pensions industry, and the
aim of the project is to develop general methods for modelling and
forecasting mortality rates with measures of uncertainty for various
kinds of insurance and pensions business.  This topic has always been a
problem of fundamental importance to the insurance and pensions industry,
and the recent falls in the stock market and the current low inflation
environment have increased the importance of reliable forecasts still
further.  The modelling and forecasting of the mortality rates will
use 2-dimensional regression splines.  Some of the particular problems
that will be addressed over the period of the project are: modelling of
cohort effects, modelling of over-dispersion (multiple claims arising from
insured lives with more than one policy), choice of smoothing parameters,
development of user-friendly software, robust optimisation methods.
The student will be expected to spend at least one month per year at
the CMIB.

Further information about the studentship can be obtained from

www.ma.hw.ac.uk/~iain/case.html

or from Dr Iain Currie Tel: +44 131 451 3208, email: [log in to unmask]