Jaap Spreeuw

Jaap graduated with an MSc. in Actuarial Science at the University of Amsterdam in 1993. After an interlude of about two years (assistant pensions consultant followed by alternative national service) he started as a Ph.D student in Actuarial Science at the same University in 1995. He completed his Ph.D research in 1999 with a thesis entitled "Heterogeneity of Hazard Rates in Insurance". After that he became a postdoctoral researcher for one year. In November 2000 he joined the Department of Actuarial Science and Statistics at City University as a Lecturer in Actuarial Science. Jaap has been a full member of the Dutch Actuarial Association since his MSc. graduation in 1993. He became a Fellow of the Institute of Actuaries in the autumn of 2004. He was promoted to Senior Lecturer in Actuarial Science in July 2007. Currently he is one of the Course Directors for BSc Actuarial Science.

Qualifications

MSc (Actuarial Science) and PhD (Actuarial Science).

Memberships of Professional Organisations

• Fellow, Institute and Faculty of Actuaries, Dec 2004 – present
• Full Member, Actuarieel Genootschap (Dutch Actuarial Association), Oct 1993 – present

Languages

Dutch; Flemish.

Expertise

Primary Topics

• Actuarial Science
• Actuarial Statistics
• Annuities
• Econometric & Statistical Methods
• Insurance
• Risk Modelling

Additional Topics

• Econometrics
• Life Insurance
• Multivariate statistics
• Stochastic Processes

Industries/Professions

insurance

Research

The following research topics have led to publications:

1) Investigating the broken-heart effect: a model for short-term dependence between the remaining lifetimes of joint lives (with I. Owadally) 2) Relationships between Archimedean copulas and utility functions. 3) A nonparametric visual test of mixed hazard models (with J.P. Nielsen and S.F. Jarner)

Research Topics

• Kernel hazard estimation
• Evolution of coupled lives' dependency across generations and pricing impact This project, together with Prof Elisa Luciano and Dr Elena Vigna from University of Turin, is a follow-up project of "Modelling stochastics dependence of coupled lives".
• Archimedean copulas derived from utility functions
• A Markov chain model of mortality projection calibrated to data

Chapters (2)

• Spreeuw, J. (2007). Afhankelijkheden in het Markov model (Dependencies in the Markov model). In Van Heerwaarden, A., Willemse, W.J. and Leuven, G. (Eds.), Sensei in het actuariaat, Liber Amicorum voor prof.dr. Henk Wolthuis AAG (pp. 153–161). University of Amsterdam. ISBN 978-90-90-22007-9.
• Spreeuw, J. (1998). The impact of proportional mortality profit distribution on solidarity. (pp. 661–678).

Journal Articles (15)

• Luciano, E., Spreeuw, J. and Vigna, E. (2016). Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities. Risks, 4(2), pp. 16–16. doi:10.3390/risks4020016.
• Hiabu, M., Martínez-Miranda, M.D., Nielsen, J.P., Spreeuw, J., Tanggaard, C. and Villegas, A.M. (2015). Global polynomial kernel hazard estimation. Revista Colombiana de Estadistica, 38(2), pp. 399–411. doi:10.15446/rce.v38n2.51668.
• Spreeuw, J. (2014). Archimedean copulas derived from utility functions. Insurance: Mathematics and Economics, 59, pp. 235–242. doi:10.1016/j.insmatheco.2014.10.002.
• 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.
• Spreeuw, J., Nielsen, J.P. and Jarner, S.F. (2013). A nonparametric visual test of mixed hazard models. SORT, 37(2), pp. 153–174.
• Spreeuw, J. and Karlsson, M. (2009). Time deductibles as screening devices: Competitive markets. Journal of Risk and Insurance, 76(2), pp. 261–278. doi:10.1111/j.1539-6975.2009.01298.x.
• Luciano, E., Spreeuw, J. and Vigna, E. (2008). Modelling stochastic mortality for dependent lives. Insurance: Mathematics and Economics, 43(2), pp. 234–244. doi:10.1016/j.insmatheco.2008.06.005.
• Spreeuw, J. (2006). Two approximations of the present value distribution of a disability annuity. Journal of Computational and Applied Mathematics, 186(1 SPEC. ISS.), pp. 217–231. doi:10.1016/j.cam.2005.03.071.
• Spreeuw, J. (2006). Types of dependence and time-dependent association between two lifetimes in single parameter models. Scandinavian Actuarial Journal, 2006(5), pp. 286–309.
• Spreeuw, J. (2005). Analytical approximations of moments of discount factors in a time-continuous Markov chain interest model. INSURANCE MATHEMATICS & ECONOMICS, 37(2), pp. 393–393.
• Spreeuw, J. (2005). The probationary period as a screening device: The monopolistic insurer. GENEVA Risk and Insurance Review, 30(1), pp. 5–14. doi:10.1007/s10836-005-1104-5.
• Spreeuw, J. (2005). Upper and lower bounds of present value distributions of life insurance contracts with disability related benefits. Tijdschrift voor Economie en Management, 50(1), pp. 115–160.
• Spreeuw, J. and Wolthuis, H. (2000). Actuarial Models for Disability Insurance. Insurance: Mathematics and Economics, 27(3), pp. 397–398. doi:10.1016/S0167-6687(00)00061-5.
• Spreeuw, J. and Goovaerts, M. (1998). Prediction of claim numbers based on hazard rates. Insurance: Mathematics and Economics, 23(1), pp. 59–69.
• Spreeuw, J. (1996). Solidarity in group life insurance. Blätter der DGVFM, 22(4), pp. 817–827. doi:10.1007/BF02808409.

Course Directorship

• 2006 - present, BSc Actuarial Science, Director
• 2004 - 2006, BSc Actuarial Science, Assistant Director
• 2014 - 2015, BSc Foundation Actuarial Science, Director

Editorial Activities (9)

• North American Actuarial Journal, Referee, 2015 – present.
• Asia-Pacific Journal of Operational Research, Referee, 2014 – present.
• Annals of Actuarial Science, Referee, 2013 – present.
• ASTIN Bulletin: The Journal of the International Actuarial Association, Referee, 2013 – present.
• Decisions in Economics and Finance, Referee, 2012 – 2014.
• Journal of Multivariate Analysis, Referee, 2012.
• Mathematical and Computer Modelling, Referee, 2011 – 2012.
• Scandinavian Actuarial Journal, Referee, 2004 – present.
• Insurance: Mathematics and Economics, Referee, 2003 – present.