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Researchers at UCD

researcher

Shane Whelan

Lecturer

School Of Mathematical Sciences
James Joyce Library Building
Belfield
Dublin 4

Tel: +353 1 7167155
Email: shane.whelan@ucd.ie

Biography

Qualifications
BSc (Mathematical Sciences, UCD, 1985),
PhD (Actuarial Mathematics, Heriot-Watt, 2003)
FFA (Fellow of the Faculty of Actuaries in Scotland from 1994)
FSAI (Fellow of the Society of Actuaries in Ireland from 1994)
FSA (Fellow of the Society of Actuaries (US) from 2004, ASA from 1996)
Fellow of the Royal Statistical Society from 1997.


Learned Societies

Managing Editor of British Actuarial Journal from 2010.
Guest Editor Special Issue of British Actuarial Journal on Mortality Modelling in 2009 Council Member of the Statistical and Social Inquiry Society of Ireland from 2003;
Honorary Secretary of the Statistical and Social Inquiry Society of Ireland, 2005-2008.
Council Member of Faculty of Actuaries (UK ), 2001-2004.
Council Member of the Society of Actuaries in Ireland, 1998-2001.


External Examiner

BSc in Actuarial Science University of East Anglia, 2009 to date;

MSc/PDip in Actuarial Science, Southampton University , 2009 to date;

PhD Thesis, School of Mathematics, University of Nairobi in 2010;

BSc in Actuarial Science in City University, London , 2004-2009;

Postgraduate Programme, School of Business, Waterford, 2005 -2007;

Dublin City University in Financial Economics (Mathematical Sciences), 1999-2005;



Other

Member of the Central Statistics Office (CSO) Expert Group on Population Projections (National and regional) and Labour Force Projections from 2007.

Adviser to CSO on mortality modelling, 2007 to date.

 

Career Summary
On graduating from UCD with a degree in the Mathematical Sciences in 1985, I began as an actuarial student with Duncan C. Fraser & Co., a long established partnership of actuaries. I worked closely with the senior partner, Brian S. Reddin, on civil litigation and pensions. In 1990, I joined New Ireland Investment Managers where I was an investment analyst and later a fund manager. From 1996, I played a senior management role with Friends First (previously Friends Provident in Ireland) where I was a company director and head of strategy.


Over the period between my joining in 1996 and leaving in 2000, Friends First were ranked number one in the important pension managed fund category. With my fellow directors, we formed the investment department into a separate investment company and were successful in growing new business, both segregated and unitised. Funds under management grew from £700 million in 1996 to £3,500 million by 2000. At the time of my departure, I was second in command (Deputy Investment Director) of Friends First Asset Management.


In the summer of 2000 I established my own actuarial consultancy, specialising in financial research work. Clients included the Irish Association of Pension Fund, Hibernian Investment Managers, several IFSC companies, and three actuarial consultancy firms with projects ranging from attempting to change the real interest rate in assessing damages in court cases to advising one of Europe's leading investment consultancies on the strategic direction of their business in Europe.


I joined the Department of Statistics in UCD at the start of September 2001 where I lecture final year undergraduate and Masters' students in Stochastic Modelling, final year students in Institutional Investment, in Asset-Liability Modelling, in Actuarial Risk Management and courses in general statistics. In September 2004, I was appointed Head of Department, which was renamed the Department of Statistics and Actuarial Science. From September 2005, I am a member of the new School of Mathematical Sciences. When Director of the BAFS degree programme I was successful in having it fully Accredited by the Institute and Faculty of Actuaries (UK) with the most exemptions from the professional actuarial exams of all undergraduate courses in Europe (i.e., CT1-8 and CA1). I am Director of Professional Work Placement for BAFS since 2008.

Professional

 

Associations

Association: Society of Actuaries in Ireland, Function/Role: Fellow + Former Member of Council
Association: Faculty of Actuaries in Scotland, Function/Role: Fellow + Former Council Member
Association: Royal Statistical Society from 1997., Function/Role: Fellow
Association: Society of Actuaries (US) from 2004., Function/Role: Fellow
Association: Statistical and Social Inquiry Society of Ireland , Function/Role: Council Member + Former Honorary Secretary
                       

Publications

Books

Whelan, S.F.; (2002) Prudent Pension Planning. : Hibernian Investment Managers. [Details]
Whelan, S.F.; (1999) From Canals to Computers: The Friends First Guide to Long-Term Investment in Ireland. : Friends First. [Details]

Book Chapters

Whelan, S.; (2010) 'The Quantification of Investment Risk for Pension Funds (Chapter 1)' In: Pension Fund Risk Management. US: Chapman Hall. [Details]
Whelan, S.; (2009) 'Principles and Practice of Assessing Damages for Personal Injury and Wrongful Death in Ireland' In: Personal Injury and Wrongful Death Damages Calculations: A Trans-Atlantic Dialogue. US: Emerald Press/Elsevier. [Details]
Whelan, S.; (2008) 'An Ideal Crisis' In: Risk Management: The Current Financial Crisis, Lessons Learned and Future Implications. US: Society of Actuaries (US), the Casualty Actuarial Society, & the Canadian Institute of Actuaries. [Details]
Whelan, S.; (2008) 'Actuaries' Evaluation of the Utility of Financial Economics' In: Fabozzi, F (eds). Handbook of Finance. New York: John Wiley & Sons. [Details]

Edited Books

Whelan, S (Ed.). (2009) British Actuarial Journal, Vol 15, Supplement. UK: Institute & Faculty of Actuaries. [Details]

Peer Reviewed Journals

Whelan, S.; (2009) 'Contribution to Discussion of 100 Years of State Pension: Learning from the Past by Tony Salter, Andrew Bryans, Colin Redman, & Martin Hewitt'. British Actuarial Journal, . [Details]
Whelan, S.; (2008) 'Contribution to Discussion of Scoping Mortality Research (Report of the Mortality Research Steering Group) by C. Macdonald'. British Actuarial Journal, . [Details]
Whelan, S.; (2009) 'Live Long and Prosper'. British Actuarial Journal, 15 (Supplement):3-15. [Details]
Whelan, S.; (2009) 'Mortality in Ireland at Advanced Ages: Part 1: Crude Rates, 1950-2006'. Annals of Actuarial Science, 4 (1):33-66. [Details]
Whelan, S.; (2009) 'Mortality in Ireland at Advanced Ages: Part 2: Graduated Rates, 1950-2006'. Annals of Actuarial Science, 4 (1):67-104. [Details]
Whelan, S & Moloney, M.; (2009) 'Pension Insecurity in Ireland'. Journal of the Statistical and Social Inquiry Society of Ireland, XXXVIII, (2008/2009) :75-104. [Details]
Whelan, S.; (2008) 'Projecting Population Mortality for Ireland'. Journal of the Statistical and Social Inquiry Society of Ireland, XXXVII, (2007/2008) :135-163. [Details]
Whelan, S.; (2007) 'Defining and Measuring Risk in Defined Benefit Pension Funds'. Annals of Actuarial Science, 2 (1):54-66. [Details]
Whelan, S.; (2005) 'Discussion on Equity Risk Premium: Expectations Great and Small, Derrig, R.A. & Orr, E.D'. North American Actuarial Journal, 9 (1):120-124. [Details]
Whelan, S.; (2007) 'Demographic trends and the future of pensions in the UK'. Journal of Statistical & Social Inquiry Society of Irl, XXXVI . [Details]
Whelan, S.; (2007) 'Valuing Ireland's Pension System'. Quarterly Economic Commentary, :55-80. [Details]
Whelan, S.F. with Brian Lucey; (2001) 'A Promising Timing Strategy in Equity Markets'. Journal of the Statistical and Social Inquiry Society of Ireland, XXXI :74-110. [Details]
Whelan, S.; (2006) 'Trends in Mortality Statistics in Northern Ireland'. Journal of Statistical & Social Inquiry Society of Irl, XXXV :237-247. [Details]
Whelan, S. F., Lucey, B.; (2004) 'Monthly and semi-annual seasonality in the Irish Equity market 1934-2000'. Applied Financial Economics, 14 :203-208. [Details]
Whelan, S. F.; (2003) 'Promises, Promises: Defined Pension Schemes in a Cynical Age'. Irish Banking Review, :48-62. [Details]
Whelan, S.F.; (2002) 'Evolution of the Asset Distribution of Irish Pension Funds'. Irish Banking Review, :42-52. [Details]
Whelan, S.F. with David Bowie and John Hibbert; (2001) 'A Primer in Financial Economics'. British Actuarial Journal, 8 (I):27-74. [Details]
Whelan, S.F.; (2001) 'Investing the National Pensions Reserve Fund'. Irish Banking Review, :31-47. [Details]
Whelan, S.F.; (2000) 'CPI: Impact on the Retired'. Quarterly Economic Commentary, :43-55. [Details]

Other Journals

Whelan, S.; (2006) 'Bull and Bear or Simply All Bull? Risk & Rewards' Society of Acturies 48 :22-30. [Details]

Conference Publications

Whelan, S. F., Lucey, B.; (2002) How to Profitably Exploit Seasonalities in Equity Markets 22nd International Symposium on Forecasting 2002 Trinity College, Dublin, , 24-JUN-02 - 24-JUN-02 [Details]
Whelan, S.; (2002) The Tail Index of the Irish Equity Market Annual Conference of the Irish Economic Association , 12-APR-02 - 12-APR-02 [Details]
Whelan, S.; (2002) Actuaries' Contributions to Financial Economics Actuarial Teachers & Researchers Conference Christchurch, Oxford, , 08-JUL-02 - 09-JUL-02 [Details]
Whelan, S.F. with Brian Lucey, TCD; (2001) A Promising Timing Strategy in Equity Markets Statistical and Social Inquiry Society of Ireland on 4th December 2001 Dublin, , 04-DEC-01 [Details]
Whelan, S.F.; (1999) The Frequency of Extreme Movements in the Irish Equity Market 1999 Investment Conference of the Faculty & Institute of Actuaries, UK Scotland, [Details]
Whelan, S.; (1999) Stock Market Crashes Actuarial Teachers Conference Oxford, UK, [Details]
Whelan, S.; (1999) The Euro & Life Assurance: Lessons from Ireland 1999 Life Conference of the Institute & Faculty Birmingham, UK, [Details]
Whelan, S.; (1998) Portfolio Repositioning for the Euro 1998 Investment Conference of the Society of Actuaries in Ireland [Details]
Whelan, S.; (1998) Tell-Tails of Investment Returns Conference on Financial Modelling jointly organised by the School of Mathematics, Trinity College Dublin and The Irish Centre for the Transfer of Advanced Computing Technology [Details]
Whelan, S.; (2006) Not Such a Great Controversy: Actuarial Science, Financial Economics & Pension Fund Investment Strategies International Congress of Actuaries Paris, France, , 01-JUN-06 - 01-JUN-06 [Details]
Whelan, S.; (2006) A Constructive Critique of Pension Policy in Ireland. Proceedings of the 21st Annual Conference of the Foundation for Fiscal Studies (48pp) 21st Annual Conference of the Foundation for Fiscal Studies Dublin, Ireland, , 29-MAR-06 - 29-MAR-06 [Details]
Whelan, S.; (2005) Pension Provision in Ireland for 21st Century Delivered to the Irish Association of Pension Funds Annual Benefits Conference, 22nd September 2005 Radisson SAS St Helen¿s Hotel, Dublin , , 22-SEP-05 - 22-SEP-05 [Details]
Whelan, S.; (2004) Measuring Investment Risk in Pension Funds Delivered to the Society of Actuaries in Ireland, 24th February 2004 and a UK version delivered on 27th July 2004 at Staple Inn, London to a joint meeting of the UK Actuarial Profession, INQUIRE , and UKSIP [Details]
Whelan, S.; (2003) Phynance: Pioneering Approaches by Physicists to Model Markets Actuarial Teaching & Research Conference 2003 University of Kent (Canterbury), , 07-JUL-03 - 08-JUL-03 [Details]
Whelan, S.; (2003) Prudent Pension Planning Delivered to the Dublin Chamber of Commerce, 20th May, 2003, and again to the Irish Institute of Pension Managers on 29th May 2003 [Details]
Whelan, S.; (2002) 102 Years of Financial , Economics Half-day Seminar on Financial Economics, Institute & Faculty of Actuaries Staple Inn, London, , 16-SEP-02 - 16-SEP-02 [Details]

Published Reports

Whelan, S.; (2005) Pension Provision in Ireland for 21st Century. Irish Association of Pension Funds, Dublin. [Details]
     

Newspaper Articles

Whelan, S.; (2009) State Must Take Over Pensions to Plug the ¿30bn Gap. Opinion piece in Irish Independent, 15 January 2009. Newspaper Articles [Details]
Whelan, S.; (2008) Private Pension Promises are only as Secure as Junk Bonds. Opinion piece in Sunday Business Post, 14 December 2008. Newspaper Articles [Details]
Whelan, S.; (2006) Reforming our Pensions. Newspaper Articles [Details]
Whelan, S.; (2005) Pensions Crisis: What Crisis? Opinion piece in Sunday Business Post (Ireland), 16th October 2005. Newspaper Articles [Details]

Dissertations/Theses

Whelan, S.; (2003) Actuarial Investigations in Irish Capital Markets. Dissertations/Theses [Details]
 

Reports

Whelan, S.F.; (2000) CPI: Impact on the Retired (Published by the Irish Association of Pension Funds). Reports [Details]
Whelan, S.F.; (2000) Investing the National Pensions Reserve Fund (Published by the Irish Association of Pension Funds). Reports [Details]
 

Invited Seminars

Whelan, S.F.; (2001) Empirical Regularities & Statistical Complexities in Modelling the Markets. Invited Seminars [Details]
Whelan, S.F.; (2000) ART and the Actuary in the 21st Century. Invited Seminars [Details]
Whelan, S.F.; (2000) The Unconditional Distribution of Irish Equity Market Returns. Invited Seminars [Details]
Whelan, S.F.; (1999) 99 Years of Financial Economics. Invited Seminars [Details]
Whelan, S.F.; (2003) An Illuminating Shadow: The Light Cast by Irish Capital Markets History on Some Current Debates in Financial Economics. Invited Seminars [Details]
Whelan, S.F.; (2002) Participated in a debate on the real rate of return to compensate for personal injury. Invited Seminars [Details]
Whelan, S.F.; (2002) 101 Years of Financial Economics. Invited Seminars [Details]
 

Presented Papers

Whelan, S.; (2001) A Promising Timing Strategy in Equity Markets. Presented Papers [Details]
Whelan, S.; (1998) Irish Financial Markets: An Actuarial Retrospective. Presented Papers [Details]
Whelan, S.; (1998) Night Fears of an Irish Fund Manager. Presented Papers [Details]
Whelan, S.; (1997) Determination of Exchange Rates: An Overview. Edinburgh: Presented Papers [Details]
Whelan, S.; (1997) The Value of the Irish Pound. Presented Papers [Details]
Whelan, S.; (1995) Derivatives: Principles & Practice. Presented Papers [Details]
Whelan, S.; (2007) Equity Risk Premium - Is there a magic number?. Presented Papers [Details]
Whelan, S., John Armstrong, Colm Guiry and Aisling Kennedy; (2006) Mortality Trends in Ireland. Presented Papers [Details]
Whelan, S.; (2004) Report on Investment Risk in DB Pension Schemes. Presented Papers [Details]
 

Invited Lectures

Whelan, S.F.; (2000) Investing in the Future, Irish Association of Pension Funds, Annual Conference. Invited Lectures [Details]
Whelan, S.F.; (2000) Particle Finance: The Future of Investing, 13th Colloquium, The Actuary in the 21st Century Challenge and Change. Invited Lectures [Details]
Whelan, S.F.; (2000) Mathematics & Markets, Dublin Area Mathematics Colloquium. Invited Lectures [Details]
Whelan, S.F.; (2003) Investing Endowments: The Investment Manager's Perspective. Invited Lectures [Details]
               

Research Papers

Whelan, S.F.; (2001) Irish Pension Funds: Size, Growth and Composition of Assets. Research Papers [Details]
                                   

Articles

Whelan, S.; (2009) One Nation in Old Age. Irish Pensions Magazine. Vol. 9, April 2009, 20-21. Articles [Details]
Whelan, S.; (2007) Individual Retirement Accounts are Less Efficient than State Pensions, Finance, Vol. 21, No. 7, 10, August 2007. Articles [Details]
Whelan, S.F.; (2000) Actuary of the Millennium?. Articles [Details]
Whelan, S.F.; (2001) Academics and Fund Managers Bury the Hackett. Articles [Details]
Whelan, S.; (2007) Orthodox Investment Advice/Controversial Actuarial Advice. The Actuary (UK), April 2007. Articles [Details]
Whelan, S.F.; (2000) For the long run, bet on politically powerful equity. Articles [Details]
Whelan, S.F.; (2000) Irish Financial History in Brief. Articles [Details]
Whelan, S.; (2007) A Principled Approach to the National Pensions Debate, Irish Pensions Magazine, Vo. 2 Spring 2007, 12-15. [Cover Story]. Irish Pensions Magazine: Articles [Details]
Whelan, S.; (2006) A Private not Public Matter: Ireland's Pension Crisis. Articles [Details]
Whelan, S.; (2006) Factoring Human Nature into Pensions Policy. Articles [Details]
Whelan, S.; (2006) Not Such a Great Controversy: Actuarial Science and Financial Economics, The Actuary (US), Dec/Jan 2006/07 [Cover Story], 16-23. Articles [Details]
Whelan, S.; (2006) Phelim Boyle. The Actuary (UK), Sept 2006, 27-28. Articles [Details]
Whelan, S.; (2005) Global Science Divided by local Professions. Articles [Details]
Whelan, S.; (2005) Econophysics: Making Money before Doomsday. Articles [Details]
Whelan, S.; (2005) RPI: A Really Profligate Index? Significance, Vol. 2, Issue 2, 66-68 (June 2005. Articles [Details]
Whelan, S.; (2004) If the Boots don't fit. Letters. Articles [Details]
Whelan, S.; (2004) The Sky in Falling!. Articles [Details]
Whelan, S.F.; (2002) Actuaries' Contributions to Financial Economics. Articles [Details]
Whelan, S.; (2002) The Actuary and the Nobel Prize, Letters. Articles [Details]
Whelan, S.F.; (2002) Beating the Market. Articles [Details]
     

Research

Research Interests

Actuarial Science, Mortality, Pension Funds, Capital Markets

Dr Whelan is currently the Managing Editor of the British Actuarial Journal, having previously been a Guest Editor. Shane's research interests are in all aspects of actuarial science, especially (a) mortality modelling (b) pension funds (design, funding and investment strategies), and (c) modelling capital and investment markets.

His career to date and current research interests have been profiled in the September 2005 issue of Significance (the Magazine of the Royal Statistical Society). Much of Shane's research is available from his personal website at www.ucd.ie/statdept/staff/shane/