Ulm University is one of the world’s leading universities in the field of insurance science. As further proof of this, local Ulm researcher Professor An Chen and her former PhD student Dr Fangyuan Zhang were awarded a highly prestigious publication prize by the global umbrella organisation for actuaries.
The International Actuarial Association’s (IAA) Chris Daykin Prize 2023 was awarded to the two researchers for their publication in the ASTIN Bulletin on the subject of pensions. The ASTIN Bulletin is one of the world’s leading journals in actuarial science, a field of business mathematics that focuses on the assessment and management of financial risks in insurance and investments. Professor Motonobu Kanagawa (EURECOM University, France) was also involved in the award-winning publication. Professor Kanagawa, who has been collaborating with Professor Chen for many years, was a further prize recipient. The Chris Daykin Prize is named after the influential British actuary Christopher David Daykin.
“We are thrilled to receive this award. It further increases the visibility of our academic research throughout the world and also demonstrates that Ulm University is one of the top locations in the field of actuarial science”, says Professor An Chen, who heads the Institute of Insurance Science at Ulm University. The internationally renowned scientist conducts research into insurance-related issues with a focus on pension planning. Her primary expertise is in the areas of life insurance and pension systems. Dr Fangyuan Zhang came to Ulm University from the renowned Chinese Fudan University via the Master of Finance double degree programme and completed her doctorate here in 2022. Since 2023, she has been a senior research engineer at the EDHEC Risk Climate Impact Institute in Nice, France.
The award-winning article by the three researchers is entitled “Intergenerational risk sharing in a defined contribution pension system: analysis with Bayesian optimization”. In their paper, the researchers analyse a collective defined contribution pension system with multiple overlapping generations. To do this, they solve a mathematically complex problem, a so-called Bayesian optimisation. Specifically, they analyse for which people and under which conditions the standard of living can be improved by intergenerational risk sharing. The results show that intergenerational risk sharing in volatile financial markets leads to an increase in welfare, in particular for risk-averse individuals. The analyses are of high relevance for both research and practice, for example with respect to the design of pension funds in corporate pension schemes.
Not only does Ulm University make an important contribution to research in the field of actuarial mathematics and actuarial science, but also in the area of teaching. As part of their business mathematics programme, students at the University can take all the necessary examinations in fundamental knowledge to qualify as an actuary. Qualified specialists such as these are in high demand on the job market. In addition, the University offers a master’s degree programme with intensive in-company training in the field of actuarial science, which combines the degree programme with in-depth practical experience at leading companies in the industry.
Ulm University is one of the top five universities in the world in the field of actuarial science and risk management, according to the most renowned international ranking list in the field. In the University of Nebraska-Lincoln’s UNL Global Research Rankings of Actuarial Science and Risk Management Insurance for 2024, Ulm University once again achieved an excellent ranking (5th place) in the category of non-business schools. In Germany, Ulm University was ranked number one.
Literature reference:
An Chen, Motonobu Kanagawa, Fangyuan Zhang. Intergenerational risk sharing in a defined contribution pension system: analysis with Bayesian optimization; in: ASTIN Bulletin, 17 May 2023 (published online)
Text and mediacontact: Andrea Weber-Tuckermann
Translation: Kate Gaugler