Richard Verrall

Richard Verrall has been at City University since 1987. He is an Honorary Fellow of the Institute of Actuaries (1999), an Associate Editor of the British Actuarial Journal, the North American Actuarial Journal and Insurance: Mathematics and Economics, and a Principle Examiner for the Actuarial Profession. Courses for industry include: Statistics for Insurance: an introductory course aimed at non-specialists, such as underwriters, in the uses of statistics in risk assessment; Stochastic Claims Reserving: a specialist course for actuaries and statisticians on how to apply statistical methods to reserving for non-life companies; Bayesian Actuarial models: an introductory course in Bayesian methods for premium rating, reserving, etc; General Insurance Premium Rating; How to use Generalised Linear Models for setting and assessing premiums; Mortality Estimation; Mortality Tables and Projections and the way these can be used to cost annuities and similar products.

Qualifications

MA, MSc and PhD.

Fellowships

• Honorary Fellow, Institute of Actuaries, Dec 1999 – present
• Fellow and Chartered Statistician, Royal Statistical Society, 1982 – present

Memberships of Professional Organisations

Fellow and Chartered Statistician, Royal Statistical Society, 1982 – present

Awards

• Casualty Actuarial Society (2007) Best paper in Variance
• Institute of Actuaries (2002) Highly Commended Paper
• Highly Commended Paper. Stochastic Claims Reserving in General Insurance. Institute of Actuaries, 2002.
• Institute of Actuaries (1999) Honorary Fellow Hon FIA
• Casualty Actuarial Society (1993) Casualty Actuarial Society's prize paper
• First prize in the Casualty Actuarial Society's prize paper competition on the variability of loss reserves, 1993. The paper was entitled Statistical Methods for the Chain Ladder Technique.

Expertise

Primary Topics

• Actuarial Science
• Actuarial Statistics
• Econometric & Statistical Methods
• Insurance
• Mathematical & Quantitative Methods
• Simulation Methods
• Statistics

Additional Topics

• Bayesian Statistics
• Non-life Insurance
• Risk Management

Industries/Professions

insurance

Research Topics

• Stochastic Claims Reserving http://www.cassknowledge.com/article.php?id=371&title=Stochastic+claims+reserving+in+general+insurance
• The Ogden Tables These are used by lawyers in determining compensation awards http://www.cassknowledge.com/article.php?id=392&title=Calculating+compensation+for+loss+of+future+earnings%3A+estimating+and+using+work+life+expectancy
• Mortality rate estimation and projection

Chapters (7)

• Butt, Z., Haberman, S., Verrall, R. and Wass, V. (2009). Estimating and using work life expectancy in the United Kingdom. In Ward, J. and Thornton, R.J. (Eds.), Personal Injury and Wrongful Death Damages Calculations: A Trans-Atlantic Dialogue (pp. 103–134). USA: Emerald. ISBN 978-1-84855-302-6.
• Verrall, R.J. and Creagh, I. (2008). Higher Education Governance and Management Reform: systemic corporate governance reform at City University, London. In Mazza, C., Quattrone, P. and Riccaboni, A. (Eds.), European Universities in Transition: Issues, models, and cases (pp. 205–220). Cheltenham: Edward Elgar Publishing. ISBN 978-1-84844-141-5.
• Verrall, R. and Hesselager, O. (2004). Claims Reserving in Non-Life Insurance. In Teugels, and Sundt, (Eds.), Encyclopedia of Actuarial Science Wiley. ISBN 0-470-84676-3.
• Verrall, R. (2004). Claims Reserving Using Credibility Methods. In Teugels, and Sundt, (Eds.), Encyclopedia of Actuarial Science Wiley. ISBN 0-470-84676-3.
• Verrall, R. (2004). Kalman Filter Reserving Methods. In Teugels, and Sundt, (Eds.), Encyclopedia of Actuarial Science Wiley. ISBN 0-470-84676-3.
• Verrall, R. (2004). Resampling. In Teugels, and Sundt, (Eds.), Encyclopedia of Actuarial Science Wiley. ISBN 0-470-84676-3.
• Verrall, R. and England, P.D. (1992). Modelling Excess Mortality of Diabetics: Generalised Linear Models and Dynamic Estimation. Advances in GLIM and Statistical Modelling. Proceedings of the GLIM92 Conference and the 7th International Workshop on Statistical Modelling, Munich, 13–17 July 1992 (pp. 78–84). Springer-Verlag. ISBN 978-0-387-97873-4.

Journal Articles (55)

• Kaishev, V.K., Dimitrova, D.S., Haberman, S. and Verrall, R.J. (2016). Geometrically designed, variable knot regression splines. Computational Statistics, 31(3), pp. 1079–1105. doi:10.1007/s00180-015-0621-7.
• Verrall, R.J. and Wuthrich, M.V. (2015). Parameter Reduction in Log-normal Chain-ladder Models. European Actuarial Journal, 5(2), pp. 355–380. doi:10.1007/s13385-015-0114-7.
• Nielsen, J.P., Verrall, R., Miranda, M.D.M., Hiabu, M. and Agbeko, T. (2014). Validating the Double Chain Ladder Stochastic Claims Reserving Model. Variance: advancing the science of risk, 8(2), pp. 138–160.
• Martinez-Miranda, M.D., Nielsen, J.P., Verrall, R. and Wüthrich, M.V. (2013). Double chain ladder, claims development inflation and zero-claims. Scandinavian Actuarial Journal, 2015(5), pp. 383–405. doi:10.1080/03461238.2013.823459.
• Martínez Miranda, M.D., Nielsen, J.P., Sperlich, S. and Verrall, R. (2013). Continuous Chain Ladder: Reformulating and generalizing a classical insurance problem. Expert Systems with Applications, 40(14), pp. 5588–5603. doi:10.1016/j.eswa.2013.04.006.
• Martínez-Miranda, M.D., Nielsen, J.P. and Verrall, R. (2013). Double Chain Ladder and Bornhuetter-Ferguson. North American Actuarial Journal, 17(2), pp. 101–113. doi:10.1080/10920277.2013.793158.
• England, P.D., Verrall, R.J. and Wuthrich, M. (2012). Bayesian over-dispersed Poisson model and the Bornhuetter & Ferguson claims reserving method. Annals of Actuarial Science, 6(2), pp. 258–283. doi:10.1017/S1748499512000012.
• Miranda, M.D.M., Nielsen, J.P. and Verrall, R. (2012). Double chain ladder. ASTIN Bulletin, 42(1), pp. 59–76. doi:10.2143/AST.42.1.216071.
• Verrall, R., Hössjer, O. and Björkwall, S. (2012). Modelling claims run-off with reversible jump markov chain Monte Carlo methods. ASTIN Bulletin, 42(1), pp. 35–58. doi:10.2143/AST.42.1.2160711.
• Sithole, T., Haberman, S. and Verrall, R. (2012). Second international comparative study of mortality tables for pension fund retirees. British Actuarial Journal, 17(3), pp. 650–671. doi:10.1017/S1357321712000207.
• Verrall, R.J. and Wüthrich, M.V. (2012). Reversible Jump Markov Chain Monte Carlo Method for Parameter Reduction in Claims Reserving. North American Actuarial Journal, 16(2), pp. 240–259. doi:10.1080/10920277.2012.10590639.
• Verrall, R.J. (2012). Ancient or Modern? Annals of Actuarial Science, 6(1), pp. 1–4. doi:10.1017/S1748499511000376.
• Verrall, R.J. and Haberman, S. (2011). Automated Graduation using Bayesian Trans-dimensional Models. Annals of Actuarial Science, 5(2), pp. 231–251. doi:10.1017/S1748499511000248.
• Björkwall, S., Hössjer, O., Ohlsson, E. and Verrall, R. (2011). A generalized linear model with smoothing effects for claims reserving. Insurance: Mathematics and Economics, 49(1), pp. 27–37. doi:10.1016/j.insmatheco.2011.01.012.
• Miranda, M.D.M., Nielsen, B., Perch Nielsen, J. and Verrall, R. (2011). Cash flow simulation for a model of outstanding liabilities based on claim amounts and claim numbers. ASTIN Bulletin, 41(1), pp. 107–129. doi:10.2143/AST.41.1.2084388.
• Haberman, S., Khalaf-Allah, M. and Verrall, R. (2011). Entropy, longevity and the cost of annuities. Insurance: Mathematics and Economics, 48(2), pp. 197–204. doi:10.1016/j.insmatheco.2010.10.005.
• Verrall, R., Nielsen, J.P. and Jessen, A.H. (2010). Prediction of RBNS and IBNR claims using claim amounts and claim counts. ASTIN Bulletin, 40(2), pp. 871–887. doi:10.2143/AST.40.2.2061139.
• Butt, Z., Haberman, S., Verrall, R. and Wass, V. (2010). Work life expectancy: Calculating compensation for loss of future earnings. Measurement and Control, 43(5), pp. 146–151.
• Liu, H. and Verrall, R.J. (2010). Bootstrap Estimation of the Predictive Distributions of Reserves Using Paid and Incurred Claims. Variance, 4(2), pp. 121–135.
• Liu, H. and Verrall, R. (2009). Predictive distributions for reserves which separate true IBNR and IBNER claims. ASTIN Bulletin, 39(1), pp. 35–60. doi:10.2143/AST.39.1.2038055.
• Liu, H. and Verrall, R. (2009). A Bootstrap estimate of the predictive distribution of outstanding claims for the schnieper model. ASTIN Bulletin, 39(2), pp. 677–689. doi:10.2143/AST.39.2.2044653.
• Verrall, R.J. and Bryden, D. (2009). Calendar Year Effects, Claims Inflation and the Chain-ladder Technique. Annals of Actuarial Science, 4(2), pp. 287–301. doi:10.1017/S1748499500000749.
• Butt, Z., Haberman, S., Verrall, R. and Wass, V. (2008). Calculating compensation for loss of future earnings: Estimating and using work life expectancy. Journal of the Royal Statistical Society. Series A: Statistics in Society, 171(4), pp. 763–800. doi:10.1111/j.1467-985X.2007.00539.x.
• Cowell, R.G., Verrall, R.J. and Yoon, Y.K. (2007). Modeling operational risk with Bayesian networks. Journal of Risk and Insurance, 74(4), pp. 795–827. doi:10.1111/j.1539-6975.2007.00235.x.
• Verrall, R. (2007). Obtaining Predictive Distributions for Reserves Which Incorporate Expert Opinion. Variance (Casualty Actuarial Society), 1(1), pp. 53–80.
• Khalaf-Allah, M., Haberman, S. and Verrall, R. (2006). Measuring the effect of mortality improvements on the cost of annuities. Insurance: Mathematics and Economics, 39(2), pp. 231–249. doi:10.1016/j.insmatheco.2006.02.005.
• Verrall, R.J. and England, P.D. (2006). Predictive Distributions of Outstanding Liabilities in General Insurance. Annals of Actuarial Science, 1(2), pp. 221–270. doi:10.1017/S1748499500000142.
• Verrall, R.J. and England, P.D. (2005). Incorporating expert opinion into a stochastic model for the chain-ladder technique. Insurance: Mathematics and Economics, 37(2 SPEC. ISS.), pp. 355–370. doi:10.1016/j.insmatheco.2005.04.005.
• Verrall, R.J. (2004). A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving. North American Actuarial Journal, 8(3), pp. 67–89. doi:10.1080/10920277.2004.10596152.
• England, P.D. and Verrall, R.J. (2002). Stochastic Claims Reserving in General Insurance. British Actuarial Journal, 8(03), pp. 443–518. doi:10.1017/S1357321700003809.
• Verrall, R. and England, P. (2001). A Flexible Framework for Stochastic Claims Reserving. Proceedings of the Casualty Actuarial Society (US), 88 - Part 1(168), pp. 1–38.
• Sithole, T.Z., Haberman, S. and Verrall, R.J. (2000). An investigation into parametric models for mortality projections, with applications to immediate annuitants' and life office pensioners' data. Insurance: Mathematics and Economics, 27(3), pp. 285–312.
• Verrall, R.J. (2000). An investigation into stochastic claims reserving models and the chain-ladder technique. Insurance: Mathematics and Economics, 26(1), pp. 91–99.
• Verrall, R.J. and England, P.D. (2000). Comments on: “A comparison of stochastic models that reproduce chain ladder reserve estimates”, by Mack and Venter. Insurance: Mathematics and Economics, 26(1), pp. 109–111. doi:10.1016/S0167-6687(99)00040-2.
• England, P. and Verrall, R. (1999). Analytic and bootstrap estimates of prediction errors in claims reserving. Insurance: Mathematics and Economics, 25(3), pp. 281–293.
• Huber, P.P. and Verrall, R.J. (1999). The Need for Theory in Actuarial Economic Models. British Actuarial Journal, 5(02), pp. 377–395. doi:10.1017/S1357321700000507.
• Verrall, R.J. and Yakoubov, Y. (1999). A Fuzzy Approach to Grouping by Policyholder Age in General Insurance. Journal of Actuarial Practice, 7(1999), pp. 181–203.
• Verrall, R. and Renshaw, A. (1998). A Stochastic Model Underlying the Chain Ladder Technique. British Actuarial Journal, 4(4), pp. 903–923. doi:10.1017/S1357321700000222.
• Verrall, R., Booth, P., Allan, I. and Walsh, D. (1998). The Management of Risks in Banking. (with discussion). BAJ, 4 .
• Nelder, J.A. and Verrall, R.J. (1997). Credibility Theory and Generalized Linear Models. ASTIN Bulletin, 27(01), pp. 71–82. doi:10.2143/AST.27.1.563206.
• Verrall, R. (1996). Claims reserving and generalised additive models. Insurance: Mathematics and Economics, 19(1), pp. 31–43. doi:10.1016/S0167-6687(96)00000-5.
• Gavin, J., Haberman, S. and Verrall, R. (1995). Graduation by Kernel and Adaptive Kernel Methods with a Boundary Correction. Transactions of Society of Actuaries, 47, pp. 173–209.
• Verrall, R.J. (1994). A Method for Modelling Varying Run-Off Evolutions in Claims Reserving. ASTIN Bulletin, 24(02), pp. 325–332. doi:10.2143/AST.24.2.2005074.
• Verrall, R. and Boskov, M. (1994). Premium Rating by Geographic Area Using Spatial Models Proceedings, ASTIN Colloquium, 1993, Cambridge. ASTIN Bulletin, 24, pp. 131–143.
• Verrall, R. (1994). Statistical Methods for the Chain Ladder Technique. Casualty Actuarial Society Forum, Spring 1994 pp. 393–446.
• Gavin, J., Haberman, S. and Verrall, R. (1994). On the Choice of Bandwidth for Kernel Graduation. Journal of Institute of Actuaries, 121(1), pp. 119–134. doi:10.1017/S0020268100020102.
• Gavin, J., Haberman, S. and Verrall, R. (1993). Moving weighted average graduation using kernel estimation. Insurance Mathematics and Economics, 12(2), pp. 113–126. doi:10.1016/0167-6687(93)90821-6.
• Verrall, R.J. (1993). A state space formulation of Whittaker graduation, with extensions. Insurance Mathematics and Economics, 13(1), pp. 7–14. doi:10.1016/0167-6687(93)90529-X.
• Verrall, R. (1993). Review of Insurance Risk Models, a book by H. Panjer and G. Willmot. Journal of the Institute of Actuaries, 120(1), pp. 235–236. doi:10.1017/S002026810003701X.
• Verrall, R. (1993). A State Space Formulation of Whittaker-Henderson Graduation, with Extensions. Insurance: Mathematics and Economics, 13, pp. Jul–14.
• Verrall, R. (1993). Discussion of Generalised Additive Models by T. Hastie and R. Tibshirani. Journal of the Royal Statistical Society. Series B: Methodological, 55(4), pp. 788–789.
• Verrall, R. (1993). Graduation by Dynamic Regression Methods. Journal of the Institute of Actuaries, 120(1), pp. 153–170. doi:10.1017/S002026810003688X.
• Verrall, R.J. (1991). On the estimation of reserves from loglinear models. Insurance Mathematics and Economics, 10(1), pp. 75–80. doi:10.1016/0167-6687(91)90026-T.
• Verrall, R.J. (1990). Bayes and Empirical Bayes Estimation for the Chain Ladder Model. ASTIN Bulletin, 20(2), pp. 217–243. doi:10.2143/AST.20.2.2005444.
• Verrall, R.J. (1989). Modelling claims runoff triangles with two-dimensional time series. Scandinavian Actuarial Journal, 1989(2), pp. 129–138. doi:10.1080/03461238.1989.10413863.

Editorial Activities (4)

• Annals of Actuarial Science, Associate Editor, 2006 – present.
• British Actuarial Journal, Associate Editor, 1999 – 2010.
• Insurance: Mathematics and Economics, Associate Editor, 1999 – present.
• North American Actuarial Journal, Associate Editor, 1999 – present.