Researcher

Dr Francesco Ungolo

Biography

Prior to join The School of Risk and Actuarial Studies at UNSW, Francesco Ungolo earned a Master in Insurance and Risk Management from MIB School of Management discussing a thesis on Longevity Risk modelling under the supervision of Prof. Ermanno Pitacco in January 2015. Meanwhile, he worked for a year as Risk Management consultant where he was part of the model validation team for the calculation of Solvency II capital requirements. In...view more

Prior to join The School of Risk and Actuarial Studies at UNSW, Francesco Ungolo earned a Master in Insurance and Risk Management from MIB School of Management discussing a thesis on Longevity Risk modelling under the supervision of Prof. Ermanno Pitacco in January 2015. Meanwhile, he worked for a year as Risk Management consultant where he was part of the model validation team for the calculation of Solvency II capital requirements. In September 2015 he joined Heriot-Watt University (Edinburgh, UK) to pursue the PhD program in Actuarial Mathematics under the supervision of Dr. Torsten Kleinow and Prof. Angus Macdonald, and the collaboration of Dr. Stephen Richards, completed in May 2019. From March 2019 to September 2022 he worked as Postdoctoral Researcher in Statistics at Technology University of Eindhoven (NL, Mar. 2019-Mar.2021), and at Technical University of Munich (GE, March 2021-September 2022). He is currently a qualifying actuary for the Institute and Faculty of Actuaries UK.

His expertise lies in the analysis and development of statistical models for the analysis of complex actuarial datasets involving, among other things, cases of corrupted data, such as missing data for some lives, or the combined use of different datasets in order to return more robust estimates of mortality rates. Another key research theme is the analysis and the development of stochastic mortality models for the analysis of single and multiple populations, with a closer, albeit nonexclusive, focus on continuous time affine mortality models. The particular application lies within the analysis of individual savings and retirement decision making with emphasis on the development of innovative product solutions using LTC, health, annuities and life insurance.

My Research Activities

I am currently involved in a project aimed at the development of affine mortality models, their estimation and application within the analysis of individual savings and retirement decision making with emphasis on the development of innovative product solutions using LTC, health, annuities and life insurance.

Another key theme of my research is the development of statistical models for the joint analysis of dependent events.

My Research Supervision

Supervision keywords

bayesian analysis

Areas of supervision

Stochastic mortality modelling
Annuity portfolio hedging strategies
Mixture models
Statistical methods for the analysis of actuarial datasets:
- Address the problem of missing data
- Joint modelling of dependent outcomes, e.g. husband-wife lifetimes, frequency-severity of non-life insurance claims, competing risks, multiple decrement tables
- Dealing with the impossibility of using protected individual characteristics (e.g. gender, ethnicity, medical history) in pricing insurance policies
- Bayesian methods for the analysis of large dimensional datasets (e.g. using telematics data)
Computational methods for asset-liability management of insurance companies
Causal methods for policyholder decision making