This page contains details of my classes and related datasets and programs.

I am not teaching while at the National Treasury.    However, the following lecture notes are a synthesis of the course material I developed for the MSc in Actuarial Finance while I was at Imperial College.    Please note that the contents are copyright.  Please contact me for permission to distribute these notes, either electronically or in hard copy, and provide proper attribution for their use.

The course deals with the application of various tools from academic economics and finance to different aspects of pension funds.  Were I to rewrite the lectures today, I think a fair amount would change given what I have learned while at National Treasury.   

Lecture 1 - Demography

Lecture 2 - Life cycle models

Lecture 3 - Household portfolios

Lecture 4 - State pensions

Lecture 5 - Pensions and labour markets

Lecture 6 - Behavioural economics

Lecture 7 - Agency costs

Lecture 8 - Annuities markets

Lecture 9 - Regulation and other topics 

Lecture 10 - Corporate finance

Lecture 11 - Pension funding and accounting

Lecture 12 - Credit and longevity risk

Lecture 13 - Modelling DB risk

Lecture 14 - Viewing pensions as options, with application to insurance

Lecture 15 - Financial theory of DC plans

Lecture 16 - Investments for pensions 

A list of some of the academic papers referred to in the class, which acts as a compendium of important academic papers in pensions, can be downloaded here.

The texts for the class, upon which some of the material depend, were Pension Finance and Pension Economics, by Prof David Blake and published by Wiley.