Iqbal Owadally

Iqbal is a graduate of Cambridge University. He completed his doctoral work in Actuarial Science ("Dynamics and Control of Pension Funding") in the School of Mathematics at City, University of London, England, in 1999. He worked as a post-doctoral research assistant sponsored by the corporate Actuarial Research Club in the Department of Actuarial Science and Statistics before becoming a lecturer. He also has a Diploma in Actuarial Techniques and a Diploma in Modern Languages.

Iqbal's interests lie in the financial economics and actuarial mathematics of long-term savings and investment, including retirement benefit systems. He is also interested more broadly in stochastic processes applied to finance and insurance. He was a Guest Scholar at IMT Institute of Advanced Studies, Lucca, Italy until July 2016.

Qualifications

• MA, University of Cambridge, United Kingdom
• MSc, City, University of London, United Kingdom
• PhD, City, University of London, United Kingdom
• Diploma of Actuarial Techniques, Institute and Faculty of Actuaries, United Kingdom

Employment

• Senior Lecturer, City, University of London, Aug 2005 – present
• Lecturer, City, University of London, Aug 2000 – Jul 2005

Visiting Appointments

Guest Scholar, IMT Institute of Advanced Studies, Lucca

Memberships of Professional Organisations

Affiliate, Institute of Actuaries, Jan 1999 – present

Awards

• Learning Development Centre, City University (2010) Grant of £4000
• Grant of £4000 to develop software use in online and face-to-face teaching of mathematical subjects
• City University (2010) Nominated for Student Voice Award

Languages

French.

Expertise

Primary Topics

• Actuarial Science
• Actuarial Statistics
• Investment Management
• Investment Theory
• Pension Funds
• Portfolio Choice
• Risk
• Stochastic Processes

Additional Topics

• Financial Economics
• Futures & OptionsLife Insurance
• Mathematical & Quantitative MethodsPensions
• Probability Theory
• Simulation Methods

Industries/Professions

• insurance
• retail financial services

Geographic Areas

• Americas - North
• Europe - Western

Research

Over the last three years, I have worked on portfolio optimization using tail risk measures, dependence in joint lifetimes, complexity economics and agent-based modelling of insurance markets, and modelling of labour and capital markets in pension planning.

Research Topics

• Risk Measures Portfolio optimization using tail risk measures
• Applications of Non-linear Time Series Analysis Modelling pension loss as a stochastic process and investigating stationarity and extremal behaviour
• Complexity Economics Using Agent-based Models to describe the insurance market and in particular investigate insurance cycles
• Modelling Joint Lifetimes Modelling short-term dependence in joint lifetimes
• Long-term Personal Savings and Investment A targeted savings plan for individuals

Journal Articles (16)

• Boyer, M.M. and Owadally, I. (2015). Underwriting Apophenia and Cryptids: Are Cycles Statistical Figments of our Imagination? The Geneva Papers on Risk and Insurance - Issues and Practice, 40(2), pp. 232–255. doi:10.1057/gpp.2014.12.
• Owadally, I. (2014). Tail risk in pension funds: An analysis using ARCH models and bilinear processes. Review of Quantitative Finance and Accounting, 43(2), pp. 301–331. doi:10.1007/s11156-013-0373-9.
• Owadally, I., Haberman, S. and Gómez Hernández, D. (2013). A Savings Plan With Targeted Contributions. Journal of Risk and Insurance, 80(4), pp. 975–1000. doi:10.1111/j.1539-6975.2012.01485.x.
• Spreeuw, J. and Owadally, I. (2013). Investigating the Broken-Heart Effect: a Model for Short-Term Dependence between the Remaining Lifetimes of Joint Lives. Annals of Actuarial Science, 7(02), pp. 236–257. doi:10.1017/S1748499512000292.
• Owadally, I. and Landsman, Z. (2013). A characterization of optimal portfolios under the tail mean–variance criterion. Insurance: Mathematics and Economics, 52(2), pp. 213–221. doi:10.1016/j.insmatheco.2012.12.004.
• Owadally, I. (2012). An improved closed-form solution for the constrained minimization of the root of a quadratic functional. Journal of Computational and Applied Mathematics, 236(17), pp. 4428–4435. doi:10.1016/j.cam.2012.04.014.
• Owadally, I. (2012). ARCH Models, Bilinear Processes, and Tail Risk in Pension Plans. Insurance: Mathematics and Economics .
• Owadally, M.I. (2012). How to get the most from your piggy bank. InBusiness - Ten year anniversary edition .
• Owadally, I., Zhou, F. and Wright, D. (2011). Insurance: Agent-based modelling - Information overload. The Actuary, 2011(11) .
• Owadally, M.I. and Haberman, S. (2004). The Treatment of Assets in Pension Funding. ASTIN Bulletin, 34(02), pp. 425–433. doi:10.2143/AST.34.2.505151.
• (2004). Authors’ Reply: Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans - Discussion by Jeremy Gold; Charles Cowling; Jon Exley; Nick Hudson; John Shuttleworth; Andrew Smith; Ian Sykes; Cliff A. Speed; Tim J. Gordon. North American Actuarial Journal, 8(2), pp. 124–125. doi:10.1080/10920277.2004.10596149.
• Owadally, and Haberman, S. (2004). Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans. North American Actuarial Journal, 8(1), pp. 21–36. doi:10.1080/10920277.2004.10596126.
• Owadally, M.I. and Haberman, S. (2003). Exponential smoothing methods in pension funding. IMA Journal of Management Mathematics, 14(2), pp. 129–143. doi:10.1093/imaman/14.2.129.
• Owadally, M.I. (2003). Pension funding and the actuarial assumption concerning investment returns. ASTIN Bulletin: Journal of the International Actuarial Association, 33(2), pp. 289–312. doi:10.1017/S0515036100013477.
• Owadally, M.I. and Haberman, S. (2001). Pension plan asset valuation. Pension Forum, 13(1), pp. 51–59.
• Iqbal Owadally, M. and Haberman, S. (1999). Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return. North American Actuarial Journal, 3(3), pp. 105–117. doi:10.1080/10920277.1999.10595837.

Course Directorship

• 2004 - 2009, MSc Actuarial Science, Director
• 2000 - 2014, MSc Actuarial Science, Admissions Tutor
• 2012 - 2014, BSc Actuarial Science Foundation Programme, Director

Subject/Academic Leadership

• 2013-2014r, MSc Actuarial Science, Acting Course Director
• Stochastic Modelling, Financial Economics; Investment

Editorial Activities (19)

• Control Systems Magazine (IEEE), Referee, Jan 2017 – present.
• Risks (ISSN 2227-9091), Referee, Nov 2016 – present.
• North American Actuarial Journal, Referee, 2016 – present.
• Journal of Risk Finance, Referee, 2014 – present.
• Journal of Risk, Referee, 2013 – present.
• ANZIAM Journal (Australian Mathematical Society), Referee, 2013 – present.
• European Actuarial Journal, Referee, 2013 – present.
• Journal of Pension Economics and Finance, Referee, 2013 – present.
• Decisions in Economics and Finance, Referee, 2012 – present.
• Journal of Risk and Insurance, Referee, 2012 – present.
• IMA Journal of Management Mathematics, Referee, 2011 – present.
• Geneva Papers on Risk and Insurance: Issues and Practice, Referee, 2010 – present.
• Applied Mathematics and Computation, Referee, 2009 – present.
• Annals of Finance, Referee, 2008 – present.
• Life and Pensions, Referee, 2007 – present.
• Journal of Actuarial Practice, Referee, 2004.
• Journal of Pension Economics and Finance, Referee, 2003.
• Insurance Mathematics and Economics, Referee, 2002.
• Geneva Papers Issues and Practice, Referee.