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"|
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.|
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.
"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.|