Russell Gerrard

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.

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, Jan 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/Professions

sports

Geographic Areas

Europe - Eastern

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

Journal Articles (17)

• Ballotta, L., Gerrard, R. and Kyriakou, I. (2017). Hedging of Asian options under exponential Lévy models: computation and performance. European Journal of Finance, 23(4), pp. 297–323. doi:10.1080/1351847X.2015.1066694.
• 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.
• Asimit, A.V. and Gerrard, R. (2016). On the worst and least possible asymptotic dependence. Journal of Multivariate Analysis, 144, pp. 218–235. doi:10.1016/j.jmva.2015.11.004.
• 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.
• Gerrard, R.J., Dubrovina, N., Boyko, V., Zamiatin, P., Gurov, A., Sushkov, S., Lazirskiy, V., Ivanova, Y. and 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.
• Gerrard, R., Guillén, M., Nielsen, J.P. and Pérez-Marín, A.M. (2014). Long-run savings and investment strategy optimization. The Scientific World Journal, 2014 . doi:10.1155/2014/510531.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.

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.