Actuarial Expertise

Dornheim and Brazauskas Win 2013 Variance Prize

The Variance Prize for papers published in Variance volume 7 has been awarded to Harald Dornheim and Vytaras Brazauskas for their paper “Case Studies Using Credibility and Corrected Adaptively Truncated Likelihood Methods.” The winning paper presents a new likelihood-based approach for robust-efficient fitting of mixed linear models.

The Variance Prize honors original thinking and research in property-casualty actuarial science and is awarded to the author or authors of the best paper published in each volume year. To be eligible, a paper must show original research and the solution of advanced insurance problems.

The judges said: “The new approach possesses favorable large- and small-sample properties, yielding potentially more accurate premiums when extreme outcomes are present in the data. The authors explore and demonstrate the application of these methods to pricing in several areas, including property-casualty insurance, health care, and real estate risks.”

Harald Dornheim, ASA, CERA, completed his Ph.D. in mathematical statistics at the University of Wisconsin-Milwaukee on the topic of robust-efficient fitting of mixed linear models for risk pricing in insurance. He is currently employed as actuarial consultant at KPMG in Zurich. Prior to that, he worked as actuary for PwC and Deloitte. He has expertise in valuation and economic capital modeling, MCEV, internal models (Solvency II, Swiss Solvency Test), due diligence, and audit in (non-)life and health. Dr. Dornheim is a Fellow of the German (DAV) and Swiss (SAV) Actuarial Association and recently qualified for the FRM certification.

Vytaras Brazauskas, Ph.D., ASA, is a professor in the department of mathematical sciences at the University of Wisconsin-Milwaukee. He is an Associate of the Society of Actuaries, an Academic Correspondent of the Casualty Actuarial Society, a member of the American Statistical Association and the American Risk and Insurance Association, and has served as president of the Milwaukee Chapter of the American Statistical Association. His areas of expertise are actuarial science, quantitative risk management and robust statistics.

The winning paper is published in Variance volume 7, number 2.

Donna Royston is publications production coordinator for the CAS.