Portrait of Dr Russell Gerrard

Dr Russell Gerrard

Head of Faculty, Associate Professor of Statistics

Bayes Business School , Faculty of Actuarial Science and Insurance

Contact

About

Overview

Dr Gerrard has a BA in Mathematics and a PhD in Stochastic Processes from Cambridge University. After a year at Sussex University he spent nine months at Moscow State University and six months at the University of Zürich before moving to City.

Qualifications

  • PhD, University of Cambridge, United Kingdom, 1980 - 1984
  • BA Mathematics, University of Cambridge, United Kingdom, 1976 - 1979

Employment

  • Associate Professor in Statistics, City, University of London, United Kingdom, 2014 - present
  • International Foundation Programmes Director, City, University of London, United Kingdom, 2013 - present

Visiting appointments

  • Lead Assessor for Subject CA2, The Actuarial Profession, 2008 - 2011
  • Principal Examiner for Subject 103, Institute of Actuaries, 2000 - 2005

Memberships of professional organisations

  • London Mathematical Society, January 1988 - present

Languages

German and Russian

Expertise

Primary topics

  • Actuarial Science
  • Actuarial Statistics
  • Econometric & Statistical Methods
  • Insurance
  • Pension Funds
  • Probability Theory
  • Statistics
  • Stochastic Processes

Additional topics

  • Non-life Insurance
  • Simulation Methods

Industries

  • sports

Geographic Areas

  • Europe - Western

Research

Research topics

Optimal control of pension fund investment

Optimal asset allocation and dividend distribution

Determination of the optimal premium in general insurance

Model/parameeter uncertainty

Research students

Attendance: October 2002 - September 2006, full-time

Role: 1st Supervisor

2ndsupervisor

Publications

Conference papers and proceedings (9)

  1. Boyko, V., Dubrovina, N., Zamyatin, P., Gerrard, R., Savvi, S., Lazirskiy, V.... Shaprynskyy, E. (2015). Epidemiology and Forecast of the Prevalence of Esophageal Cancer in the Countries of Central and Eastern Europe. International Conference on Applied Economics (ICOAE) 2015 2-4 July, Kazan, Russia.doi:10.1016/S2212-5671(15)00622-X
  2. Vigna, E., H�jgaard, B. and Gerrard, R. (2005). Choosing the optimal annuitization time post retirement. 9th International Congress on Insurance: Mathematics and Economics Quebec.
  3. Glass, C., Emms, P. and Gerrard, R. (2005). Optimal premium levels in general insurance. Quantitative Finance Workshop Staple Inn, London.
  4. Vigna, E., Haberman, S. and Gerrard, R. (2004). The Management of De-cumulation Risks in a Defined Contribution Environment. 8th International Congress on Insurance: Mathematics and Economics Rome.
  5. Vigna, E., Haberman, S. and Gerrard, R. (2003). The Income Draw-down option: quadratic loss. 7th International Congress on Insurance: Mathematics & Economics Lyon.
  6. Vigna, E., Haberman, S. and Gerrard, R. (2003). The Income Draw-down option: quadratic loss. Mini-workshop on Stochastic Optimal Control Turin.
  7. Willder, M. and Gerrard, R. (2003). The Work of an Academic Actuary. 2nd Younger Members Convention Glasgow.
  8. Gerrard, R., Vigna, E. and Haberman, S. (2002). Investment Choices Post Retirement in a Defined Contribution Pension Scheme. Sixth International Congress on Insurance, Mathematics and Economics. Cempare Technical University of Lisbon, July.
  9. Cowell, P.G., Kent, D., Foot, P.B., Mason, S.M., Evans, A.W. and Gerrard, R.J. A model of third-party risk near airports and its application to public safety policy in the UK. .

Journal articles (31)

  1. Gerrard, R., Kyriakou, I., Nielsen, J.P. and Vodička, P. (2023). On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging. European Journal of Operational Research, 307(2), pp. 948-962. doi:10.1016/j.ejor.2022.10.003

    [publisher’s website]

  2. Gerrard, R., Hiabu, M., Nielsen, J.P. and Vodička, P. (2020). Long-term real dynamic investment planning. Insurance: Mathematics and Economics, 92, pp. 90-103. doi:10.1016/j.insmatheco.2020.03.002

    [publisher’s website]

  3. Gerrard, R., Hiabu, M., Kyriakou, I. and Nielsen, J.P. (2019). Communication and personal selection of pension saver’s financial risk. European Journal of Operational Research, 274(3), pp. 1102-1111. doi:10.1016/j.ejor.2018.10.038

    [publisher’s website]

  4. Gerrard, R., Hiabu, M., Kyriakou, I. and Nielsen, J.P. (2018). Self-selection and risk sharing in a modern world of lifelong annuities-Abstract of the London Discussion. British Actuarial Journal. doi:10.1017/S1357321718000272

    [publisher’s website]

  5. Gerrard, R., Hiabu, M., Kyriakou, I. and Nielsen, J.P. (2018). Self-selection and risk sharing in a modern world of life-long annuities. British Actuarial Journal, 23. doi:10.1017/s135732171800020x

    [publisher’s website]

  6. Ballotta, L., Gerrard, R. and Kyriakou, I. (2017). Hedging of Asian options under exponential Lévy models: computation and performance. The European Journal of Finance, 23(4), pp. 297-323. doi:10.1080/1351847x.2015.1066694

    [publisher’s website]

  7. Asimit, A.V., Gerrard, R., Hou, Y. and Peng, L. (2016). Tail dependence measure for examining financial extreme co-movements. Journal of Econometrics, 194(2), pp. 330-348. doi:10.1016/j.jeconom.2016.05.011

    [publisher’s website]

  8. Asimit, A.V. and Gerrard, R. (2016). On the worst and least possible asymptotic dependence. Journal of Multivariate Analysis, 144, pp. 218-234. doi:10.1016/j.jmva.2015.11.004

    [publisher’s website]

  9. Donnelly, C., Gerrard, R., Guillén, M. and Nielsen, J.P. (2015). Less is more: Increasing retirement gains by using an upside terminal wealth constraint. Insurance: Mathematics and Economics, 64, pp. 259-267. doi:10.1016/j.insmatheco.2015.06.003

    [publisher’s website]

  10. Boyko, V., Dubrovina, N., Zamiatin, P., Gerrard, R.J.G., Gurov, A., Sushkov, S.... Zamiatin, D. (2015). The Analysis of Injuries and Mortality Risks Level as a Result of Road Accident in Regions of the Central and Eastern Europe. International Journal of Managerial Studies and Research, 3(8), pp. 85-94

    [publisher’s website]

  11. Gerrard, R., Guillén, M., Nielsen, J.P. and Pérez-Marín, A.M. (2014). Long-run savings and investment strategy optimization. Scientific World Journal, 2014. doi:10.1155/2014/510531

    [publisher’s website]

  12. Gerrard, R.J., H�jgaard, B. and Vigna, E. (2012). Choosing the optimal annuitization time post-retirement. Quantitative Finance, 12(7). doi:10.1080/14697680903358248

    [publisher’s website]

  13. Gerrard, R. and Tsanakas, A. (2011). Failure Probability Under Parameter Uncertainty. Risk Analysis, 31(5), pp. 727-744. doi:10.1111/j.1539-6924.2010.01549.x

    [publisher’s website]

  14. Delong, Ł., Gerrard, R. and Haberman, S. (2008). Mean–variance optimization problems for an accumulation phase in a defined benefit plan. Insurance: Mathematics and Economics, 42(1), pp. 107-118. doi:10.1016/j.insmatheco.2007.01.005

    [publisher’s website]

  15. Delong, Ł. and Gerrard, R. (2007). Mean-variance portfolio selection for a non-life insurance company. Mathematical Methods of Operations Research, 66(2), pp. 339-367. doi:10.1007/s00186-007-0152-2

    [publisher’s website]

  16. Ngwira, B. and Gerrard, R. (2007). Stochastic pension fund control in the presence of Poisson jumps. Insurance: Mathematics and Economics, 40(2), pp. 283-292. doi:10.1016/j.insmatheco.2006.05.002

    [publisher’s website]

  17. Gerrard, R., Haberman, S. and Vigna, E. (2006). The Management of Decumulation Risks in a Defined Contribution Pension Plan. North American Actuarial Journal, 10(1), pp. 84-110. doi:10.1080/10920277.2006.10596241

    [publisher’s website]

  18. Gerrard, R., Haberman, S. and Vigna, E. (2006). Management of De-cumulation Risks in a Defined Contribution Environment. North American Actuarial Journal, 10(1), pp. 84-110
  19. Wang, N., Gerrard, R. and Haberman, S. (2004). The premium and the risk of a life policy in the presence of interest rate fluctuations. Insurance: Mathematics and Economics, 35(3), pp. 537-551. doi:10.1016/j.insmatheco.2004.07.004

    [publisher’s website]

  20. Gerrard, R., Haberman, S. and Vigna, E. (2004). Optimal investment choices post-retirement in a defined contribution pension scheme. Insurance Mathematics and Economics, 35(2 SPEC. ISS.), pp. 321-342. doi:10.1016/j.insmatheco.2004.06.002

    [publisher’s website]

  21. Gerrard, R., Wang, N.A.N. and Haberman, S. (2004). The premium and the risk of a life policy in the presence of interest rate fluctuation. Insurance: Mathematics and Economics, 35, pp. 537-551
  22. Barbour, A.D., Gerrard, R.M. and Reinert, G. (2000). Iterates of expanding maps. Probability Theory and Related Fields, 116(2), pp. 151-180. doi:10.1007/pl00008725

    [publisher’s website]

  23. Gerrard, R., Haberman, S. and Velmachos, D. (2000). Life Contingencies with Stochastic Discounting using Moving Average Models. Journal of Actuarial Practice, 8, pp. 177-210
  24. Gerrard, R., Haberman, S. and Velmachos, D. (2000). Life Contingencies with Stochasting Discounting using Moving Average Models. Journal of Actuarial Practice, 8, pp. 177-210
  25. Gerrard, R. and Haberman, S. (1996). Stability of pension systems when gains/losses are amortized and rates of return are autoregressive. Insurance: Mathematics and Economics, 18(1), pp. 59-71. doi:10.1016/0167-6687(95)00028-3

    [publisher’s website]

  26. GERRARD, R. and BARBOUR, A.D. (1986). Measures of Niche Overlap, II. Mathematical Medicine and Biology, 3(2), pp. 115-127. doi:10.1093/imammb/3.2.115

    [publisher’s website]

  27. SCHATZMANN, E., GERRARD, R. and BARBOUR, A.D. (1986). Measures of Niche Overlap, I. Mathematical Medicine and Biology, 3(2), pp. 99-113. doi:10.1093/imammb/3.2.99

    [publisher’s website]

  28. Murray, M.G. and Gerrard, R. (1985). Putting the challenge into resource exploitation: a model of contest competition. Journal of Theoretical Biology, 115(3), pp. 367-389. doi:10.1016/s0022-5193(85)80198-3

    [publisher’s website]

  29. Murray, M.G. and Gerrard, R. (1984). Conflict in the neighbourhood: Models where close relatives are in direct competition. Journal of Theoretical Biology, 111(2), pp. 237-246. doi:10.1016/s0022-5193(84)80208-8

    [publisher’s website]

  30. Gerrard, R. (1983). Regularity conditions for semi-Markov and Markov chains in continuous time. Journal of Applied Probability, 20(3), pp. 505-512. doi:10.2307/3213887

    [publisher’s website]

  31. Gerrard, R. (1983). Regularity conditions for semi-Markov and Markov chains in continuous time. Journal of Applied Probability, 20(03), pp. 505-512. doi:10.1017/s0021900200023767

    [publisher’s website]

Report

  1. Gerrard, R., Haberman, S., Hojgaard, B. and Vigna, E. (2004). The income drawdown: quadratic loss. London: Cass Business School, City University.

Working paper

Other

  1. Gerrard, R., Hojgaard, B. and Vigna, E.(2003). Optimal Strategy for the Income Draw-down Option with Restrictions over the Infinite Horizon.

Education

Course Directorship

1998 - 2006 - BSc Actuarial Science - Director

2007 - 2012 - Foundation Year in Mathematics -Director

2012 - Cass Undergraduate Programme - Associate Dean

Subject/Academic Leadership

International Foundation Programmes Director, since May 2013.

Professional activities

Consultancy (4)

  1. AON Benfield (Private Sector) (March - July 2009)
    Development of an Economic Scenario Generator in the area of credit risk
  2. Sabaté (Private Sector) (January 2001 - December 2003)
    Data analysis relating to different types of closures for wine bottles.
  3. Gabbitas (Private Sector) (June 1998 - June 1999)
    Statistical analysis of questionnaire responses from first-time Heads of independent schools
  4. Kenmore Associates (Private Sector) (January - December 1996)
    Analysis of proposed new casino game.

Events/conferences (10)

  1. International Conference on Applied Economics, ICOAE 2015. (Conference) Kazan, Russia (2015).
    Paper: Epidemiology and Forecast of the Prevalence of Esophageal Cancer in the Countries of Central and Eastern Europe
    Author: Dubrovina N
    Co-authors: Boyko, V., Zamyatin, P., Gerrard, R., Savvi, S., Lazirskiy, V., Ghydetskyy, V., Sinelnikov, A., Zamiatin, D., Kolesnikova, O., Shaprynskyy, E.
  2. International Conference on Financial Markets and Institutions. (Conference) Kharkiv, Ukraine (2007). Invited speaker.
    Paper: Оптимальные премии для страхования автомобилей
    Author: Gerrard R J
    Co-authors: C A Glass
  3. International Conference on Financial Markets and Institutions. (Conference) Kharkiv, Ukraine (2007). Invited speaker.
    Paper: Модель инвестиций персональных пенсионных фондов
    Author: Gerrard R J
    Co-authors: E Vigna and B Højgaard
  4. Quantitative Finance Workshop. (Workshop) Staple Inn, London (2005).
    Paper: Optimal premium levels in general insurance
    Co-authors: Celia Glass, Paul Emms
  5. 9th International Congress on Insurance: Mathematics and Economics. Quebec (2005).
    Paper: Choosing the optimal annuitization time post retirement
    Co-authors: Elena Vigna, Bjarne Højgaard
  6. 8th International Congress on Insurance: Mathematics and Economics. Rome (2004).
    Paper: The Management of De-cumulation Risks in a Defined Contribution Environment
    Co-authors: Elena Vigna, Steven Haberman
  7. Mini-workshop on Stochastic Optimal Control. (Workshop) Turin (2003).
    Paper: The Income Draw-down option: quadratic loss
    Co-authors: Elena Vigna, Steven Haberman
  8. 7th International Congress on Insurance: Mathematics & Economics. Lyon (2003).
    Paper: The Income Draw-down option: quadratic loss
    Co-authors: Elena Vigna, Steven Haberman
  9. 2nd Younger Members Convention. Glasgow (2003).
    Paper: The Work of an Academic Actuary
    Co-authors: Mark Willder
  10. 2nd Conference in Actuarial Science & Finance in Samos. (Conference) Samos (2002).
    Paper: Investment Choices Post Retirement in a Defined Contribution Pension Scheme
    Co-authors: Elena Vigna, Steven Haberman