PROFESSOR ROBERT JOHN THOMSON, Ph.D., F.A.S.S.A.
CURRICULUM VITAE
Date of birth: 28 July 1945
EDUCATION
Matriculated: St Stithians College, 1962 first class
Suid-Afrikaanse Akademie: Afrikaanse Taaleksamens: Hoёr eksamen, 1962
University:
UCT 8/12/1966: B.Sc., mathematics and mathematical statistics
Wits 25/11/2004: Ph.D.: The Development and Application of Models in
Actuarial Science
Professional: Fellow of the Institute of Actuaries, London, 9/10/1972
CAREER
1967–72
1972–76
1976–81
1981–93
1993–
Old Mutual: Department Head, Actuarial Development, with effect from 1971
Africa Enterprise: responsible for administration, finance and certain ecumenical
liaison functions
Chamber of Mines of South Africa: Actuary
J A Carson & Partners: partner with effect from 1982
School of Statistics and Actuarial Science, University of the Witwatersrand:
Positions held:
1993–2001
visiting professor
2001–2010
professor
2011–
professor emeritus
Committee service:
1996–2003
Science Faculty Research Committee
1997–1999
Senate Committee on Salaries and Conditions of Service
1998–2010
Senate
1998–2002
Director, Stochastic Solutions
ARTICLES
Recognised journals
1
Stochastic investment models: the case of South Africa, British Actuarial
Journal 2(3), 1996, 765–801;
2
Non-parametric likelihood enhancements to parametric graduations, British
Actuarial Journal 5(1), 1999, 197–236;
3
A re-evaluation of the South African bond exchange-actuaries indices,
Investment Analysts Journal, 53, 2001, 19–28;
4
Assets, liabilities and risk, Orion 17 (1/2), 2001, 29–54
5
The management of risk by burial societies in South Africa, South African
Actuarial Journal 2, 2002, 83–128 (co-author: Deborah Posel)
6
The use of utility functions for investment channel choice in defined-contribution
retirement funds: I: defence, British Actuarial Journal 9(3), 2003, 653–709
7
8
13
14
15
The use of utility functions for investment channel choice in defined-contribution
retirement funds: II: a proposed system, British Actuarial Journal 9(4), 2003,
903–958
The pricing of liabilities in an incomplete market using dynamic mean–variance
hedging, Insurance: Mathematics and Economics 36, 2005, 441–55
9
A typology of models used in actuarial science, South African
Actuarial Journal 6, 2006, 19–36
10
Stochastic models for actuarial use: the equilibrium modelling of local
markets. ASTIN Bulletin 39(1), 2009, 339–70 (co-author: Dmitri Gott)
11
The application of expected-utility theory to the choice of investment
channels in a defined-contribution retirement fund. ASTIN Bulletin 39(2),
2009, 615–47 (principal author: Shaun Levitan)
12
Modelling the market in a risk-averse world: the case of South Africa.
South African Actuarial Journal 10, 2010, 109–36
The arbitrage-free equilibrium pricing of liabilities in an incomplete market:
application to a South African retirement fund. South African Actuarial
Journal, 11, 1–41, 2011
The CAPM reconsidered: tests in real terms on a South African market portfolio
comprising equities and bonds. South African Actuarial Journal, 11, 43–84,
2011 (principal author: T.L. Reddy)
The capital-asset pricing model reconsidered: tests in real terms on a South
African market portfolio comprising equities and bonds. forthcoming in South
African Actuarial Journal, 13 (co-author: T.L. Reddy)
Conference papers1
1
Preservation of pension rights, 31st Annual Conference, Association of Pension
and Provident Funds of South Africa, 1981
2
The determination of the deduction for remarriage from the pecuniary loss of a
widow, Proc. 10th Conf. Int. Ass. of Consulting Actuaries, 1986 and
Transactions of the Actuarial Society of South Africa 7(1), 1987;
3
Supplementation of low pensions, Transactions of the Actuarial Society of South
Africa 7, 1989, 138–64;
4
AIDS and the valuation of pension funds, Transactions of the Actuarial Society
of South Africa 8, 1990;
5
A stochastic investment model for actuarial use in South Africa, Transactions of
the Actuarial Society of South Africa 10, 1994, 72–143;
6
A methodology for the modelling of interest rates and other economic variables
with reference to the money and capital markets of South Africa, 5th
International AFIR Colloquium, 1995(II), 905–26;
7
The immunisation of the results of the valuation of a pension fund against
changes to the valuation rate of interest, Transactions of the Actuarial Society of
South Africa 11, 1996 640–87;
8
Whittaker-Henderson likelihood enhancements to parametric graduations,
Transactions of the Actuarial Society of South Africa 11(2), 1996, 418–36;
9
Strategies for the management of a defined contribution retirement fund,
Transactions of the Actuarial Society of South Africa 11(3), 309–43;
10
Investment channel choice in defined contribution retirement funds: the use of
1
Whilst the acceptance of these papers has been subject to review and the proceedings of these conferences
have all been published or made available to participants in bound or electronic form, the rigour of reviewing
varies. Some of these papers are prior versions of papers listed under “Recognised journals” above.
11
12
13
14
15
16
17
18
19
23
24
25
26
27
28
29
utility functions, 8th International AFIR Colloquium, 1998, 489–508;
A defence of expected utility theory for certain actuarial applications,
Transactions of the Actuarial Society of South Africa 12(1), 1998, 174–234;
An analysis of the utility functions of members of retirement funds, 10th
International AFIR Colloquium, 2000, 615–30;
A re-evaluation of the South African Bond Exchange–Actuaries Indices,
convention of the Actuarial Society of South Africa, 24 October 2000
Burial societies in South Africa: risk, trust and commercialisation, convention of
the Actuarial Society of South Africa, 31 October 2001, with DB Posel
The pricing of the liabilities of a defined-benefit retirement fund, convention of
the Actuarial Society of South Africa, 31 October 2002
The pricing of liabilities in an incomplete market using dynamic mean–variance
hedging with reference to an equilibrium market model, 13th International AFIR
Colloquium, 2003, 1, 221–35, convention of the Actuarial Society of South
Africa, 19 November 2003
A typology of actuarial models, convention of the Actuarial Society of South
Africa, 14 October 2004
Report of the Public Interest Task Group, convention of the Actuarial Society of
South Africa, 9 November 2005, with M Lowther et al
Stochastic models for actuarial use: the equilibrium modelling of local
markets, convention of the Actuarial Society of South Africa, 12 October
2006, 17th International AFIR Colloquium, 2007, with D.V. Gott
21
The application of expected-utility theory to the choice of investment
channels in a defined-contribution retirement fund, 17th International AFIR
Colloquium, 2007, convention of the Actuarial Society of South Africa, 13
November 2007, with S. Levitan
22
Modelling the market in a risk-averse world, 18th International AFIR
Colloquium, 2008, convention of the Actuarial Society of South Africa, 23
October 2008
The arbitrage-free equilibrium pricing of liabilities in an incomplete market:
application to a South African retirement fund, convention of the Actuarial
Society of South Africa, 20 May 2009, 19th International AFIR Colloquium,
2009
The capital-asset pricing model: the case of South Africa, International Congress
of Actuaries, 2010 with T.L. Reddy
Prudence revisited: the use of expected-utility theory for decision-making by the
trustees of a retirement fund. 21st International AFIR Colloquium, 2011;
Retirement Matters Seminar, Actuarial Society of South Africa, 6th June, 2011
The CAPM reconsidered: tests in real terms on a South African market portfolio
comprising equities and bonds. 21st International AFIR Colloquium, 2011,
Convention of the Actuarial Society of South Africa, 8th November 2011,
with T.L. Reddy
Long run se voet: debunking the mantra of the equity cult. Convention of the
Actuarial Society of South Africa, 8th November 2011
The capital-asset pricing model rises from the dead: elliptical symmetry of real
returns in South Africa and its implications for long-term actuarial modelling.
22nd International AFIR Colloquium, 2012
How a single-factor CAPM works in a multi-currency world. Convention of the
Actuarial Society of South Africa, 16th October 2012, with Ş. Şahin and T.L.
Reddy
30
The quantification of type-2 prudence in asset allocation by the trustees of a
retirement fund. Convention of the Actuarial Society of South Africa, October–
November 2013, with T.L. Reddy
Other journals
1
The determination of the deduction for remarriage from the pecuniary loss of a
widow. De Rebus 241, 1988, 67–70
2
Human values in Africa today, SA Quaker News, 2003
3
Identity politics in South Africa: lessons from the people. Chiedza.
Also at Centre for Civil Society, University of KwaZulu-Natal,
www.ukzn.ac.za/ccs
EDITORIALS IN RECOGNISED JOURNALS
The launch of the South African Actuarial Journal. South African Actuarial Journal, 1, 2001,
139
The value of the liabilities of a financial institution. South African Actuarial Journal, 2, 2002,
147–50
The principles governing the function of a professional journal and the editor’s relationship with
the publishing body. South African Actuarial Journal, 3, 2003, 113–6
Is actuarial science really a science? South African Actuarial Journal, 4, 2004, 97–103
African values and actuarial science. South African Actuarial Journal, 5, 2005, 169–72
Paradigm lost? South African Actuarial Journal, 6, 2006, 37–44
Geographical focus: an outmoded idea? South African Actuarial Journal, 7, 2007, 185–88
On changing jackets. South African Actuarial Journal, 8, 2008, 93–5
On writing actuarial science. Annals of Actuarial Science 5(1), 2011, 1–6
The long run se voet: debunking the mantra of the equity cult. South African Actuarial Journal
11, 2011, 135–47
Modelling the future: ergodicity and the science of the actuary. forthcoming in South African
Actuarial Journal 13
POSTGRADUATE THESES, DISSERTATIONS AND RESEARCH REPORTS SUPERVISED
Completed2
1998–2000 YS Stander
2004–2006 S Levitan
M.Sc. Bond indices in South Africa
MCRR A practical examination of Thomson’s expected utility
framework and its application for investment channel
choice in defined contribution funds
2003–2006 TA AbromowitzMCRR How to make hedge funds more accessible to the South
African investor
2004–2007 A Asher
Ph.D. The design of retirement schemes: possibilities and
imperatives
2003–2008 S Metcalfe
MCRR An empirical investigation of sector correlation
forecasting
techniques and the potential benefits to investors
2
This list comprises only those students who completed their postgraduate qualifications
under my sole supervision. MCRR: M.Sc. by coursework and research report; my supervision
was of the research component only.
2004–2009 D Gott
M.Sc. A stochastic model of asset returns for use in life office
applications (degree awarded with distinction)
2003–2010 M Greenwood M.Sc. Market valuation of pension liabilities
2003–2010 R Singh
M.Sc. A comparison of the methods used to determine the
portfolio credit loss distribution and the pricing of
synthetic CDO tranches
2006–2011 C Zheng
M.Sc. The market-consistent valuation of guaranteed annuity
options
PAPERS REFEREED FOR RECOGNISED JOURNALS
1998
1999
1999
2001
2002
2003
2004
2010
2011
British Actuarial Journal
British Actuarial Journal
Orion
British Actuarial Journal
Journal of Actuarial Practice
Orion
Computational Statistics and Data Analysis
ASTIN Bulletin
Annals of Actuarial Science
EDITORSHIP
1999–
2007–2012
2010–
Editor, South African Actuarial Journal (including an annual editorial; see
above)
Editorial Committee, Australian Actuarial Journal
Associate Editor, Annals of Actuarial Science
AWARDS
1962:
2000:
2004:
2006:
St Stithians College:
Actuarial Society of South Africa:
Actuarial Society of South Africa:
Actuarial Society of South Africa:
2007: Actuarial Society of South Africa:
2008:
2008:
2009:
2011:
Actuarial Society of South Africa:
Actuarial Society of South Africa:
Actuarial Society of South Africa:
Association of South African Black
Actuarial Professionals
Academic dux
President's Award
RGA prize for the best published paper
Swiss Re prize for the best paper on risk (with
Dmitri Gott)
Swiss Re prize for the best paper on risk (with
Shaun Levitan)
RGA prize for the best convention paper
Swiss Re prize for the best paper on risk
RGA prize for the best convention paper
Certificate of merit for contribution to excellence
in the actuarial profession in South Africa
PROFESSIONAL AND COMMUNITY INVOLVEMENT
Actuarial Society of South Africa
1966–
member
1996
1996–2000
1997–2000
1998–2001
1999–2008
2008–2011
2011–
2004–
Continuous Statistical Investigations Committee
Retirement Matters Committee
Investments Committee
Council
Research Committee (convenor)
Research Committee (secretary)
Research Committee
Enterprise & Financial Risks Committee
Institute of Actuaries
1966–2009
member
2010–
affiliate member
International Actuarial Association
2009–
AFIR Committee
Other
Ceasefire Campaign:
steering committee
convenor, arms reduction working group
Religious Society of Friends (Quakers):
Johannesburg Monthly Meeting