Andres Villegas Ramirez

Senior Lecturer

Andrés Villegas is a Senior Lecturer at the School of Risk and Actuarial Studies and an Associate Investigator at the ARC Centre of Excellence in Population Ageing Research (CEPAR) where he was previously a Research Fellow. Andrés completed his doctoral studies at Cass Business School in London focusing on the modelling and projection of mortality. Before his doctoral studies he obtained an MSc degree in Industrial Engineering from Universidad de Los Andes (Colombia) and worked as a risk analyst at one of the biggest Colombian life insurance companies. Andrés’s research interests include mortality modelling, longevity risk management and the application of analytics techniques in actuarial science and finance.

publications

Journal articles
add
Mayhew L; Harper G; Villegas AM, 2020, 'An investigation into the impact of deprivation on demographic inequalities in adults', Annals of Actuarial Science, vol. 14, pp. 358 - 383, http://dx.doi.org/10.1017/S1748499520000068
2020
Gómez FA; Londoñon JA; Villegas AM, 2019, 'Present value of pensions in the Public-defined Benefit Plan in Colombia', Cuadernos de Economia (Colombia), vol. 38, pp. 173 - 206, http://dx.doi.org/10.15446/cuad.econ.v37n76.60002
2019
Román S; Villegas AM; Villegas JG, 2018, 'An evolutionary strategy for multiobjective reinsurance optimization', Journal of the Operational Research Society, vol. 69, pp. 1661 - 1677, http://dx.doi.org/10.1057/s41274-017-0210-y
2018
Alai DH; Arnold (Gaille) S; Bajekal M; Villegas AM, 2018, 'Mind the Gap: A Study of Cause-Specific Mortality by Socioeconomic Circumstances', North American Actuarial Journal, vol. 22, pp. 161 - 181, http://dx.doi.org/10.1080/10920277.2017.1377621
2018
Villegas AM; Millossovich P; Kaishev VK, 2018, 'StMoMo: Stochastic mortality modeling in R', Journal of Statistical Software, vol. 84, http://dx.doi.org/10.18637/jss.v084.i03
2018
Villegas AM; Haberman S; Kaishev VK; Millossovich P, 2017, 'A COMPARATIVE STUDY of TWO-POPULATION MODELS for the ASSESSMENT of BASIS RISK in LONGEVITY HEDGES', ASTIN Bulletin, vol. 47, pp. 631 - 679, http://dx.doi.org/10.1017/asb.2017.18
2017
Hiabu M; Martínez-Miranda MD; Nielsen JP; Spreeuw J; Tanggaard C; Villegas AM, 2015, 'Global polynomial kernel hazard estimation', Revista Colombiana de Estadistica, vol. 38, pp. 399 - 411, http://dx.doi.org/10.15446/rce.v38n2.51668
2015
Hunt A; Villegas AM, 2015, 'Robustness and convergence in the Lee-Carter model with cohort effects', Insurance: Mathematics and Economics, vol. 64, pp. 186 - 202, http://dx.doi.org/10.1016/j.insmatheco.2015.05.004
2015
Villegas AM; Haberman S, 2014, 'On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England', North American Actuarial Journal, vol. 18, pp. 168 - 193, http://dx.doi.org/10.1080/10920277.2013.866034
2014
Villegas AM; Medaglia AL; Zuluaga LF, 2012, 'Computing bounds on the expected payoff of Alternative Risk Transfer products', Insurance: Mathematics and Economics, vol. 51, pp. 271 - 281, http://dx.doi.org/10.1016/j.insmatheco.2012.03.012
2012
Working Papers
add
Lu Q; Hanewald K; Villegas AM; Wang X, 2020, Subnational old-age mortality modeling: Accounting for underreporting in a Bayesian framework, 2020/23, http://dx.doi.org, https://www.cepar.edu.au/publications/working-papers/subnational-old-age-mortality-modeling-accounting-underreporting-bayesian-framework
2020
Villegas Ramirez A; Hunt A, 2020, Mortality Improvement Rates: Modeling, Parameter Uncertainty and Robustness, 2020/28, http://dx.doi.org, https://www.cepar.edu.au/sites/default/files/IR_NAAJsubmission.pdf
2020
Holzmann R; Alonso Garcia J; labit hardy H; Villegas Ramirez A, 2017, NDC Schemes and Heterogeneity in Longevity: Proposals for Redesign, CEPAR Working Paper Series, 2017/18, http://dx.doi.orghttps://www.cepar.edu.au/sites/default/files/2017_WP18_NDC_Schemes_and_Heterogeneity_in_Longevity_0.pdf
2017
Book Chapters
add
Holzmann R; Alonso Garcia J; Labit Hardy H; Villegas Ramirez A, 2019, 'NDC Schemes and Heterogeneity in Longevity: Proposals for Redesign', in Holzmann R; Palmer E; Palacios R; Sacchi S (ed.), Progress and Challenges of Nonfinancial Defined Pension Schemes, Work Bank, http://dx.doi.org/10.1596/31637
2019
Software / Code
add
Villegas Ramirez AM; Millossovich P; Kaishev VK, 2016, StMoMo: An R Package for Stochastic Mortality Modelling, CRAN, R package, Published: 02 February 2016, Software / Code, http://cran.r-project.org/package=StMoMo
2016
Other
add
2015, A methodology for assessing basis risk ‐ Abstract of the London Discussion, Cambridge University Press (CUP), http://dx.doi.org/10.1017/s1357321715000197
2015