Douglas Wright

Joined Scottish Provident Life Assurance in Edinburgh in October 1991, after completing a BSc (Hons) in Actuarial Science and Statistics and Heriot-Watt University. Returned to Heriot-Watt in October 1993 to begin a PhD entitled "A Stochastic Approach to Pension Scheme Funding and Asset Allocation" under the supervision of Dr Mary Hardy.

After completion of the PhD, joined the Department of Actuarial Science and Statistics at City University as a lecturer in Actuarial Science in January 1997.

Appointed Course Director for the Diploma/MSc in Actuarial Management in October 2000, and for the Diploma/MSc in Actuarial Science in October 2004.

Promoted to Senior Lecturer in Actuarial Science in July 2004.

Re-appointed Course Director for MSc in Actuarial Management in January 2008.

Qualifications

BSc and PhD.

Memberships of Professional Organisations

Fellow, Institute and Faculty of Actuaries, Oct 2004 – present

Expertise

Primary Topics

• Actuarial Science
• Asset Valuation
• Econometric & Statistical Methods
• Pension Funds
• Portfolio Choice
• Risk Management

Additional Topics

• Financial Economics
• Life Insurance

Industries/Professions

• financial services
• insurance

Research

Co-supervised Feng Zhou in his PhD looking at applications of agent-based in non-life insurance markets and now looking at extending this work further.

Continuing use of loss aversion (and other ideas from behavioural finance) in investment decisions with regard to retirement savings.

Recently started work with Professor Les Mayhew looking at options for using pension savings on retirement.

Research Topics

• Optimal asset allocation for defined contribution pension schemes under loss aversion
• Effect of inter-temporal substitution of optimal asset allocation
• Application of agent-based models in actuarial science

Journal Articles (6)

• Mayhew, L., Smith, D. and Wright, I. (2017). The effect of longevity drift and investment volatility on income sufficiency in retirement. Insurance: Mathematics and Economics . doi:10.1016/j.insmatheco.2017.09.013.
• Blake, D., Wright, D. and Zhang, Y. (2014). Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners. Journal of Economic Dynamics and Control, 38(1), pp. 105–124. doi:10.1016/j.jedc.2013.11.001.
• Blake, D., Wright, D. and Zhang, Y. (2013). Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion. Journal of Economic Dynamics and Control, 37(1), pp. 195–209. doi:10.1016/j.jedc.2012.08.001.
• Haberman, S., Khorasanee, M.Z., Ngwira, B. and Wright, I.D. (2003). Risk measurement and management of defined benefit pension schemes: A stochastic approach. IMA Journal of Management Mathematics, 14(2), pp. 111–128. doi:10.1093/imaman/14.2.111.
• Haberman, S., Day, C., Fogarty, D., Khorasanee, M.Z., McWhirter, M., Nash, N., Ngwira, B., Wright, I.D. and Yakoubov, Y. (2003). A Stochastic Approach to Risk Management and Decision Making in Defined Benefit Pension Schemes. British Actuarial Journal, 9(03), pp. 493–586. doi:10.1017/S135732170000427X.
• Wright, I.D. (1998). Traditional Pension Fund Valuation in a Stochastic Asset and Liability Environment. British Actuarial Journal, 4(04), pp. 865–901. doi:10.1017/S1357321700000210.

Course Directorship

• 2008 - present, MSc in Actuarial Management, Director
• 2000 - 2006, MSc in Actuarial Management, Director

Editorial Activity

Journal of Risk and Insurance, Referee, 2010 – present.