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David Garrick Halmstad Prize

The David Garrick Halmstad Prize is given annually for the best published paper on actuarial research. A committee of the Society of Actuaries' Education and Research Section examines major English language actuarial journals, nominates outstanding papers, reviews the selected articles and votes for the best paper. The results of these proceedings are submitted to the Research Committee of The Actuarial Foundation for ratification. This award follows the year of publication rather than the actual calendar year.


2011 David Garrick Halmstad Prize Honorees

The 2011 David Garrick Halmstad Prize was awarded to the authors of two papers published in 2008: On Systematic Mortality Risk and Risk-minimization with Survivor Swaps by Mikkel Dahl, Martin Teilmann Melchior and Thomas Møller; and Hierarchical Insurance Claims Modeling by Edward W. Frees and Emiliano A. Valdez.


Past David Garrick Halmstad Prize Honorees


Author(s) Title/Reference

Philippe Artzner
Freddy Delbaen
Jean-Marc Eber
David Heath
Hyejin Ku

"Coherent Multiperiod Risk Adjusted Values and Bellman’s Principle"
2006 David Blake,
Andrew J.G. Cairns,
Kevin Dowd, PhD
“Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk” Published in Astin Bulletin, Vol. 36, no1, 2006, pp. 79-120
2005 Geoffrey H. Hancock
John Manistre
Variance of the CTE Estimator
2004 Leslaw Gajek
Dariusz Zagrodny
“Reinsurance Arrangements Maximizing Insurer’s Survival Probability,” Journal of Risk and Insurance, Vol. 71, 421-435
2003 A. S. Macdonald,
H. R. Waters,
- C. T.Wekwete,
BSc,MSc, PhD
"The Genetics of Breast and Ovarian Cancer I: A Model of Family History"
"The Genetics of Breast and Ovarian Cancer II: A Model of Critical Illness Insurance," Scandinavian Actuarial Journal, 1-50
2002 Dr. Thomas Moller “On Valuation and Risk Management at the Interface of Insurance and Finance,” British Actuarial Journal, 8, IV, pp. 787–827
Dr. Martin Schweizer “From Actuarial to Financial Valuation Principles,” Insurance: Mathematics and Economics, 2001, Volume 28, Issue 1, pp. 31–47
2000 Hans U. Gerber,
Ph.D., ASA

Elias S.W. Shiu,
Ph.D., ASA
"Investing for Retirement: Optimal Capital Growth and Dynamic Asset Allocation," NAAJ, April 2000, Vol. 4, No. 1, pp. 42-62 pdf
1999 Uwe Schmock "Estimating the Value of the Wincat Coupons of the Winterthur Insurance Convertible Bond: A Study of the Model Risk," ASTIN Bulletin, Vol. 29, No. 1, 1999, pp. 101-163 pdf
1998 Hans U. Gerber,
Ph.D., ASA

Elias S. W. Shiu,
Ph.D., ASA
"On the Time Value of Ruin," NAAJ, January 1998, Vol. 2, No.1, pp. 48-78 pdf
"Pricing Perpetual Options for Jump Processes," NAAJ, July 1998, Vol. 2, No. 3, pp. 101-112 pdf
1997 Edward W. Frees,
Ph.D., FSA

Yueh-Chuan King,

Marjorie Rosenberg,
Ph.D., FSA

Virginia Young,
Ph.D., FSA

Siu-Wai Lai,
Ph.D., ASA
"Forecasting Social Security Actuarial Assumptions," NAAJ, October 1997, Vol. 1, No. 4, pp. 49-82 pdf
1996 Edward W. Frees,
Ph.D., FSA

Jacques Carriere,
Ph.D., FSA

Emiliano Valdez,
Ph.D., FSA
"Annuity Valuation with Dependent and Mortality," Journal of Risk and Insurance, June 1996, Vol. 63, No. 2, pp. 229-261
1995 Gregory C. Taylor,
Ph.D., FIA., FIAA.
"An Equilibrium Model of Insurance Pricing and Capitalization," Journal of Risk and Insurance, Sept 1995, Vol. 62, No. 3, pp.409-446
1994 Hans U. Gerber,
Ph.D., ASA

Elias S. W. Shiu,
Ph.D., ASA
"Martingale Approach to Pricing Perpetual American Options," ASTIN Bulletin, Vol. 24, 1994, pp. 195-220 pdf
"Option Pricing by Esscher Transforms," TSA, Vol. XLVI, 1994, pp. 99-140 pdf
1993 Knut K. Aase "Equilibrium in a Reinsurance Syndicate: Existence, Uniqueness and Characterization," ASTIN Bulletin, Vol. 23, no. 2, 1993, pp. 185-211 pdf
"Premiums in a Dynamic Model of a Reinsurance Market," Scandinavian Actuarial Journal, 1993, pp. 134-160
1992 James A. Tilley,
Ph.D., FSA
"An Actuarial Laymen's Guide to Building Stochastic Interest Rate Generators," TSA, Vol. XLIV, 1992, pp. 509-538 pdf
1991 Patrick L. Brockett,
"Information Theoretic Approach to Actuarial Science: A Unification and Extension of Relevant Theory and Application," TSA, Vol. XLIII, 1991, pp. 73-114 pdf
1990 Edward W. Frees,
Ph.D., FSA
"Stochastic Life Contingencies with Solvency Considerations," TSA, Vol. XLII, 1990, pp. 91-129 pdf

Hal W. Pederson

Elias S.W. Shiu,
Ph.D., ASA

A. Eric Thorlacius,

"Arbitage-Free Pricing of Interest-Rate Contingent Claims," TSA, Vol. XLI, 1989, pp. 231-265 pdf
1988 Henrik Ramlau-Hansen "The Emergence of Profit in Life Insurance," Insurance: Mathematics and Economics, Vol. 7, 1988, pp. 225-236

F. Delbaen

J. Haezendonck

"Classical Risk Theory in an Economic Environment," Insurance: Mathematics and Economics, Vol. 6, 1987, pp. 85-16
C.D. Daykin
G.D. Bernstein
S.M. Coutts
E.R.F. Devitt,
G.B. Hey
D.I.W. Reynolds
P.D. Smith
"Assessing the Solvency and Financial Strength of a General Insurance Company," Journal of the Institute of Actuaries, Vol. 114, Pt. 2, 1987, pp. 227-309
1986 Ragnar Norberg "A Contribution to Modeling of INBR Claims," Scandinavian Actuarial Journal, No. 3-4, 1986, pp. 155-203
1985 Robert P. Clancy,
"Options on Bonds and Applications to Product Pricing," TSA, Vol. XXXVII, 1985, pp. 97-151 pdf
1984 James D. Broffitt,
Ph.D., ASA
"Maximum Likelihood Alternatives to Actuarial Estimators of Mortality Rates," TSA, Vol. XXXVI, 1984, pp. 77-142 pdf
1983 Anders Martin-Lof "Premium Control in an Insurance System, An Approach Sharing Feedback and Persisting," Scandinavian Actuarial Journal, No. 1, 1983, pp. 1-27
1982 L.A. Balzer,
"Control of Insurance Systems with Delayed Profit/Loss Sharing Feedback and Persisting Unpredicted Claims," Journal of the Institute of Actuaries, Vol. 109, 1982, pp. 285-313
1981 Newton L. Bowers, Jr.,

James C. Hickman,
Ph.D., FSA

Cecil J. Nesbitt,
Ph.D., FSA
"Dynamics of Pension Funding: Contribution Theory," TSA, Vol. XXXI, 1979, pp. 93-119 pdf
1980 William S. Jewell,
"Models in Insurance: Paradigms, Puzzles, Communications, and Revolutions," Transactions, 21st International Congress of Actuaries, Zurich, June 19, 1980, Vol. S, pp. 87-130
1979 James C. Hickman,
Ph.D., FSA

Robert B. Miller,
"Bayesian Bivariate Graduation and Forecasting," ARCH, 1979.3, pp. 99-136 pdf
1978 Phelim P. Boyle,
"Immunization Under Stochastic Models of the Term Structure," Journal of the Institute of Actuaries, Vol. 105, Pt. II, 1978, pp. 177-187. Also ARCH, 1980.1, pp. 19-29 pdf



About David Garrick Halmstad

David Garrick Halmstad was an Associate of the Society of Actuaries who made significant contributions to actuarial science and research. Funds for the David Garrick Halmstad Prize prize were contributed in Mr. Halmstad's memory by his friends and colleagues. The Actuarial Foundation continues to support the prize in his memory through the James C. H. Anderson Memorial Fund.