Andrés Villegas is an Associate Professor 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 Bayes Business School (formerly Cass) 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.
Holzmann R; Alonso Garcia J; Labit Hardy H; Villegas Ramirez A, 2020, 'Non-Financial Defined Contribution (NDC) schemes and heterogeneity in longevity: Proposals for re-design', in Holzmann R; Palmer E; Palacios R; Sacchi S(ed.), Progress and Challenges of Nonfinancial Defined Pension Schemes, Work Bank, http://dx.doi.org/10.1596/978-1-4648-1453-2
Journal articles | 2025
Kabuche D; Sherris M; Villegas AM; Ziveyi J, 2025, 'Return smoothing in pooled annuity products', Decisions in Economics and Finance, http://dx.doi.org/10.1007/s10203-025-00505-0
Journal articles | 2025
Pittarello G; Hiabu M; Villegas AM, 2025, 'Replicating and Extending Chain-Ladder via an Age–Period–Cohort Structure on the Claim Development in a Run-Off Triangle', North American Actuarial Journal, http://dx.doi.org/10.1080/10920277.2025.2496725
Journal articles | 2025
Villegas AM; Bajekal M; Haberman S, 2025, 'Modelling mortality by cause of death and socio-economic stratification: an analysis of mortality differentials in England', Decisions in Economics and Finance, http://dx.doi.org/10.1007/s10203-025-00511-2
Journal articles | 2024
Kabuche D; Sherris M; Villegas AM; Ziveyi J, 2024, 'Pooling functional disability and mortality in long-term care insurance and care annuities: A matrix approach for multi-state pools', Insurance: Mathematics and Economics, 116, pp. 165 - 188, http://dx.doi.org/10.1016/j.insmatheco.2024.02.006
Journal articles | 2024
Nguyen H; Sherris M; Villegas AM; Ziveyi J, 2024, 'Scenario selection with LASSO regression for the valuation of variable annuity portfolios', Insurance Mathematics and Economics, 116, pp. 27 - 43, http://dx.doi.org/10.1016/j.insmatheco.2024.01.006
Journal articles | 2024
Villegas AM; Bajekal M; Haberman S; Zhou L, 2024, 'Key Drivers of Long-Term Rates of Mortality Improvements in the United States: Period, Cohort, and Cause of Death Analysis, 1959–2016', North American Actuarial Journal, 28, pp. 187 - 217, http://dx.doi.org/10.1080/10920277.2023.2167834
Journal articles | 2022
Huang Z; Sherris M; Villegas AM; Ziveyi J, 2022, 'Modelling USA Age-Cohort Mortality: A Comparison of Multi-Factor Affine Mortality Models †', Risks, 10, http://dx.doi.org/10.3390/risks10090183
Journal articles | 2022
Kessy SR; Sherris M; Villegas AM; Ziveyi J, 2022, 'Mortality forecasting using stacked regression ensembles', Scandinavian Actuarial Journal, 2022, pp. 591 - 626, http://dx.doi.org/10.1080/03461238.2021.1999316
Journal articles | 2022
Li S; Hardy HL; Sherris M; Villegas AM, 2022, 'A Managed Volatility Investment Strategy for Pooled Annuity Products', Risks, 10, http://dx.doi.org/10.3390/risks10060121
Journal articles | 2022
Sridaran D; Sherris M; Villegas AM; Ziveyi J, 2022, 'A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS', Astin Bulletin, 52, pp. 247 - 289, http://dx.doi.org/10.1017/asb.2021.29
Journal articles | 2021
Hunt A; Villegas AM, 2021, 'Mortality Improvement Rates: Modeling, Parameter Uncertainty, and Robustness', NORTH AMERICAN ACTUARIAL JOURNAL, http://dx.doi.org/10.1080/10920277.2021/006068
Journal articles | 2020
Mayhew L; Harper G; Villegas AM, 2020, 'An investigation into the impact of deprivation on demographic inequalities in adults', Annals of Actuarial Science, 14, pp. 358 - 383, http://dx.doi.org/10.1017/S1748499520000068
Journal articles | 2019
Gómez FA; Londoñon JA; Villegas AM, 2019, 'Present value of pensions in the Public-defined Benefit Plan in Colombia', Cuadernos De Economia Colombia, 38, pp. 173 - 206, http://dx.doi.org/10.15446/cuad.econ.v37n76.60002
Journal articles | 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, 22, pp. 161 - 181, http://dx.doi.org/10.1080/10920277.2017.1377621
Journal articles | 2018
Román S; Villegas AM; Villegas JG, 2018, 'An evolutionary strategy for multiobjective reinsurance optimization', Journal of the Operational Research Society, 69, pp. 1661 - 1677, http://dx.doi.org/10.1057/s41274-017-0210-y
Journal articles | 2018
Villegas AM; Millossovich P; Kaishev VK, 2018, 'StMoMo: Stochastic mortality modeling in R', Journal of Statistical Software, 84, http://dx.doi.org/10.18637/jss.v084.i03
Journal articles | 2017
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, 47, pp. 631 - 679, http://dx.doi.org/10.1017/asb.2017.18
Journal articles | 2015
Hiabu M; Martínez-Miranda MD; Nielsen JP; Spreeuw J; Tanggaard C; Villegas AM, 2015, 'Global polynomial kernel hazard estimation', Revista Colombiana De Estadistica, 38, pp. 399 - 411, http://dx.doi.org/10.15446/rce.v38n2.51668
Journal articles | 2015
Hunt A; Villegas AM, 2015, 'Robustness and convergence in the Lee-Carter model with cohort effects', Insurance Mathematics and Economics, 64, pp. 186 - 202, http://dx.doi.org/10.1016/j.insmatheco.2015.05.004
Journal articles | 2014
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, 18, pp. 168 - 193, http://dx.doi.org/10.1080/10920277.2013.866034
Journal articles | 2012
Villegas AM; Medaglia AL; Zuluaga LF, 2012, 'Computing bounds on the expected payoff of Alternative Risk Transfer products', Insurance Mathematics and Economics, 51, pp. 271 - 281, http://dx.doi.org/10.1016/j.insmatheco.2012.03.012
Kabuche D; Sherris M; Villegas A; Ziveyi J, Pooling Functional Disability and Mortality in Long-Term Care Insurance and Care Annuities: A Matrix Approach for Multi-State Pools, http://dx.doi.org/10.2139/ssrn.4479051
Preprints |
SriDaram D; Sherris M; Villegas A; Ziveyi J, A Group Regularisation Approach for Constructing Generalised Age-Period-Cohort Mortality Projection Models, http://dx.doi.org/10.2139/ssrn.3790991
