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The Halmstad Prize

The Halmstad Prize

The David Garrick Halmstad prize is given annually for actuarial research in memory of David Halmstad, an Associate of the Society, for his significant contributions to actuarial science and research. Funds for the prize were contributed in Mr. Halmstad's memory by his friends and colleagues.

To select the best paper on actuarial research published each year, a committee of the Society's Education and Research Section examines major English language actuarial journals, nominates outstanding papers, reviews the selected articles, and votes for the best paper. The results of these proceedings are submitted to The Actuarial Foundation Research Committee for ratification. This award follows the year of publication rather than the actual calendar year.

Year of Publication   Author(s) Title of Paper and Reference
2008 Mickkel Dahl, Martin Teilman Melchior, Thomas Melchior, Thomas Møllerz "On Systematic Mortality Risk and Risk-Minimization with Survivor Swaps"
  Edward W. Frees, Emiliano A. Valdez "Hierarchical Insurance Claims Modeling"
2007 Philippe Artzner; Freddy Delbaen; Jean-Marc Eber; David Heath; Hyejin Ku "Coherent Multiperiod Risk Adjustment and Bellman's Principle," Annals of Operations Research, 152, 5-22, July 2007
2006 Andrew J.G. Cairnes, David Blake, Kevin Dowd "Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk," ASTIN Bulletin, May 2006, Vol. 36, Issue 1, pp. 79–120
2005 Geoffrey H. Hancock & John Manistre "Variance of the CTE Estimator"
2004

Leslaw Gajek & Dariusz Zagrodny

 “Reinsurance Arrangements Maximizing Insurer’s Survival Probability,” Journal of Risk and Insurance, Vol. 71, 421–435.
2003 A. S. Macdonald, BSc, PhD, FFA; H. R. Waters, DPhil, FIA, FFA and C. T.Wekwete, BSc,MSc, PhD; "The Genetics of Breast and Ovarian Cancer I: A Model of Family History" and "The Genetics of Breast and Ovarian Cancer II: A Model of Critical Illness Insurance" Scandinavian Actuarial Journal 1-50
2002 Thomas Moller, Ph.D. “On Valuation and Risk Management at the Interface of Insurance and Finance,” British Actuarial Journal, 8, IV, pp. 787–827.
2001 Martin Schweizer, Ph.D. “From Actuarial to Financial Valuation Principles,” Insurance: Mathematics and Economics, 2001, Volume 28, Issue 1, pp. 31–47.
2000 Hans U. Gerber, Ph.D., A.S.A.
Elias S.W. Shiu, Ph.D., A.S.A. 		"Investing for Retirement: Optimal Capital Growth and Dynamic Asset Allocation," NAAJ, April 2000, Vol. 4, No. 1, pp. 42–62.
1999 Uwe Schmock "Estimating the Value of the Wincat Coupons of the Winterthur Insurance Convertible Bond: A Study of the Model Risk," ASTIN Bulletin, Vol. 29, No. 1, 1999, pp. 101–163.
1998 Hans U. Gerber, Ph.D., A.S.A.
Elias S. W. Shiu, Ph.D., A.S.A.		 "On the Time Value of Ruin," NAAJ, January 1998, Vol. 2, No.1, pp. 48–78 and "Pricing Perpetual Options for Jump Processes," NAAJ, July 1998, Vol. 2, No. 3, pp. 101–112.
1997 Edward W. Frees, Ph.D., F.S.A.
Yueh–Chuan King, Ph.D.Marjorie Rosenberg, Ph.D., F.S.A.
Virginia Young, Ph.D., F.S.A.
Siu– Wai Lai, Ph.D., A.S.A.		 "Forecasting Social Security Actuarial Assumptions," NAAJ, October 1997, Vol. 1, No. 4, pp. 49–82.
1996 Edward W. Frees, Ph.D., F.S.A.
Jacques Carriere, Ph.D., F.S.A.
Emiliano Valdez, Ph.D., F.S.A.		 "Annuity Valuation with Dependent and Mortality," Journal of Risk and Insurance, June 1996, Vol. 63, No. 2, pp. 229–261.
1995 Gregory C. Taylor, Ph.D., FIA., F.I.A.A. "An Equilibrium Model of Insurance Pricing and Capitalization," Journal of Risk and Insurance, Sept 1995, Vol. 62, No. 3, pp.409–446.
1994 Hans U. Gerber, Ph.D., A.S.A.
Elias S. W. Shiu, Ph.D., A.S.A		 "Martingale Approach to Pricing Perpetual American Opions," ASTIN Bulletin, Vol. 24, 1994, pp. 195–220. and "Option Pricing by Esscher Transforms," TSA, Vol. XLVI, 1994, pp. 99–140.
1993 Knut K. Aase "Equililbrium in a Reinsurance Syndicate: Existence, Uniqueness and Characterization," ASTIN Bulletin, Vol. 23, no. 2, 1993, pp. 185–211 and "Premiums in a Dynamic Model of a Reinsurance Market," Scandinavian Actuarial Journal 1993, pp. 134–160.
1992 James A. Tilley, Ph.D., F.S.A. "An Actuarial Laymen's Guide to Building Stochastic Interest Rate Generators," TSA, Vol. XLIV, 1992, pp. 509–538.
1991 Patrick L. Brockett, Ph.D. "Information Theoretic Approach to Actuarial Science: A Unification and Extension of Relevant Theory and Application," TSA, Vol. XLIII, 1991, pp. 73–114.
1990 Edward W. Frees, Ph.D., F.S.A. "Stochastic Life Contingencies with Solvency Considerations," TSA, Vol. XLII, 1990, pp. 91–129.
1989 Hal W. Pederson
Elias S.W. Shiu, Ph.D., A.S.A.
A. Eric Thorlacius, F.S.A.		 "Arbitage-Free Pricing of Interest-Rate Contingent Claims," TSA, Vol. XLI, 1989, pp. 231–265.
1988 Henrik Ramlau–Hansen "The Emergence of Profit in Life Insurance," Insurance: Mathematics and Economics, Vol. 7, 1988, pp. 225–236.
1987 F. Delbaen
J. Haezendonck
and
C.D. Daykin, G.D. Bernstein
S.M. Coutts, E.R.F. Devitt
G.B. Hey, D.I.W. Reynolds
and P.D. Smith		 "Classical Risk Theory in an Economic Environment," Insurance: Mathematics and Economics, Vol. 6, 1987, pp. 85–16.
and
"Assessing the Solvency and Financial Strength of a General Insurance Company," Journal of the Institute of Actuaries, Vol. 114, Pt. 2, 1987, pp. 227–309.
1986 Ragnar Norberg "A Contribution to Modeling of INBR Claims," Scandinavian Actuarial Journal, No. 3–4, 1986, pp. 155–203.
1985 Robert P. Clancy, F.S.A. "Options on Bonds and Applications to Product Pricing," TSA, Vol. XXXVII, 1985, pp. 97–151.
1984 James D. Broffitt, Ph.D., A.S.A. "Maximum Likelihood Alternatives to Actuarial Estimators of Mortality Rates," TSA, Vol. XXXVI, 1984, pp. 77–142.
1983 Anders Martin–Lof "Premium Control in an Insurance System, An Approach Sharing Feedback and Persisting" Scandinavian Actuarial Journal, No. 1, 1983, pp. 1–27.
1982 L.A. Balzer, Ph.D. "Control of Insurance Systems with Delayed Profit/Loss Sharing Feedback and Persisting Unpredicted Claims," Journal of the Institute of Actuaries, Vol. 109, 1982, pp. 285–313.
1981 Newton L. Bowers, Jr., F.S.A.
James C. Hickman, Ph.D., F.S.A.
Cecil J. Nesbitt, Ph.D., F.S.A.		 "Dynamics of Pension Funding: Contribution Theory," TSA, Vol. XXXI, 1979, pp. 93–119.
1980 William S. Jewell, Ph.D. "Models in Insurance: Paradigms, Puzzles, Communications, and Revolutions," Transactions, 21st International Congress of Actuaries, Zurich, June 19, 1980, Vol. S, pp. 87–130.
1979 James C. Hickman, Ph.D., F.S.A.
Robert B. Miller, Ph.D. 		"Bayesian Bivariate Graduation and Forecasting," ARCH, 1979.3, pp. 99–136.
1978 Phelim P. Boyle, Ph.D., F.C.I.A. "Immunization Under Stochastic Models of the Term Structure," Journal of the Institute of Actuaries, Vol. 105, Pt. II, 1978, pp. 177–187. Also ARCH, 1980.1, pp. 19–29.