Dr Andres M Villegas Ramirez
Senior Lecturer

Dr Andres M Villegas Ramirez

Business School
Risk & Actuarial

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.
Phone
+61 2 9385 2647
E-mail
a.villegas@unsw.edu.au

Publications

  • Book Chapters | 2019
    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
  • 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, vol. 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), vol. 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, vol. 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, vol. 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, vol. 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, vol. 47, pp. 631 - 679, http://dx.doi.org/10.1017/asb.2017.18
    Journal articles | 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
    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, vol. 38, pp. 399 - 411, http://dx.doi.org/10.15446/rce.v38n2.51668
    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, vol. 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, vol. 51, pp. 271 - 281, http://dx.doi.org/10.1016/j.insmatheco.2012.03.012
    Book Chapters | 2019
    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
  • Working Papers | 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
    Working Papers | 2020
    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
    Working Papers | 2017
    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
    Software / Code | 2016
    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
    Other | 2015
    2015, A methodology for assessing basis risk ‐ Abstract of the London Discussion, Cambridge University Press (CUP), http://dx.doi.org/10.1017/s1357321715000197
    Journal articles | 2021
    Kessy SR; Sherris M; Villegas AM; Ziveyi J, 2021, 'Mortality forecasting using stacked regression ensembles', Scandinavian Actuarial Journal, pp. 1 - 36, http://dx.doi.org/10.1080/03461238.2021.1999316
    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, vol. 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), vol. 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, vol. 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, vol. 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, vol. 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, vol. 47, pp. 631 - 679, http://dx.doi.org/10.1017/asb.2017.18
    Journal articles | 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
    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, vol. 38, pp. 399 - 411, http://dx.doi.org/10.15446/rce.v38n2.51668
    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, vol. 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, vol. 51, pp. 271 - 281, http://dx.doi.org/10.1016/j.insmatheco.2012.03.012
    Journal articles | 2021
    Sridaran D; Sherris M; Villegas AM; Ziveyi J, 2021, 'A GROUP REGULARISATION APPROACH for CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS', ASTIN Bulletin, http://dx.doi.org/10.1017/asb.2021.29

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