Board Member & Advisory Panel

pic-msmithMichael B. Smith

Mr. Smith is one of the founding consulting actuary members of R-square consulting based in Northeast Florida, USA. Mr. Smith is a Fellow of the Casualty Actuarial Society, a Member of the American Academy of Actuaries, and a member of the ASTIN AFIR IACA and AWF sections of the International Actuarial Association.

Mr. Smith has provided consulting services on general insurance issues for more than twenty years, primarily as a consulting actuary with Tillinghast. Prior to becoming a consultant, Mr. Smith was associated with American Bankers Insurance Group, where his responsibilities included product development and actuarial support to senior management and the marketing divisions. Prior to that, Mr. Smith worked for Insurance Services Office, Inc. where his responsibilities included commercial insurance pricing and product development, and financial and economic analysis of insurance topics (including natural catastrophes).

Mr. Smith holds an undergraduate degree from Georgia State College and a Master’s degree from the University of Chicago.


Freddy Delbaen

One of the fathers of Risk Measure Prof. Em Dr. Freddy Delbaen is currently one of the most influential advisors of R-square RiskLab. On October 1, 1995, Freddy Delbaen was appointed full Professor at the newly founded Chair of Financial Mathematics. He directed many projects in this field. He retired end of May 2008 and is now Professor Emeritus at ETH-Zurich, Switzerland.

Freddy Delbaen has published many papers in journals dealing with pure and applied mathematics, as well as insurance and financial mathematics. He was invited Professor a lot of universities in Japan, Australia, China, Korea as well as in Canada and prestigious universities in Europe. He gave several talks as an invited speaker at international conferences such as the biannual meeting of the Bachelier Finance Society (BFS) – world’s most important society for financial mathematicians. He was also president and vice president of BFS.

His research dealt with the mathematical theory of arbitrage and the study of risk measures. Freddy Delbaen is also a recipient of the following prizes:

  • Belgian Government (prize given to young scientists)
  • Louis Empain Prize (this prize is awarded to mathematical sciences on a three year term basis. It is given by the Belgian National Science Foundation)
  • The international INA prize for Actuarial Sciences, awarded by the Accademia Nazionale dei Lincei (Rome)
  • The David Garrick Halmstad Prize for the best paper in Actuarial Sciences. (in 1987 and in 2009)

He is a Fellow of the Institute of Mathematical Statistics. Together with Schachermayer, he proved the general version of the Fundamental Theorem of Asset Pricing. Their book is the basic reference in the field. With Artzner, Eber and Heath he developed the theory of risk measures and they were among the first to criticize the use of Value at Risk (VaR). The theory of risk measures is now a topic in most meetings in finance and risk management.


Chitro Majumdar

Chitro Majumdar, is a well-respected academic with substantial experience in the financial marketplace. He has worked in responsible positions with major corporates deal with investment banks and consulting assignments in Canary Wharf in London, Zürich and New York over 15+ years and has special interests and connections in the energy industry, including in the “C” suites of major participating firms. He is an expert in investment risk, quantitative hedging strategies, derivatives & financial risk management, enterprise risk management, consulted sovereign & multi-national funds, Govt. bodies of Gulf States, Pension Funds, Wealth Funds and Monetary Authorities (Bermuda et al). In the year of 2006, Chitro has developed stochastic control based Dynamic Financial Analysis (DFA) tool for insurance and reinsurance industry. He has experience in strategic level financial & actuarial engineering, fund management, risk management and consulting experience in US, Europe, Middle East & South East Asia. Since year 2000 he is a seasoned speaker in BFSI and actuarial seminars globally and well known in the seminar circuit, he has published many articles in global magazines in the BFSI & Energy Finance domain, his other interests are also on supply chain risk management; custom risk management, energy derivatives, cost benefit efficiency modeling and telecom risk management. Chitro has presented many empirical findings on Gold & Oil strategies over the years (such as an award winning accuracy model at ASTIN 2009 in Helsinki). His academic works include a doctoral research in risk management partially worked with ETH-Zürich and MMC-Kiel; in 2004 he has introduced a new area of quantitative research technique via Non-linier Stochastic Markov chain Monte Carlo Methods in University of Harvard and currently he is working-on an advance stage research project on counterparty risk mitigation strategies and distance to default (PD) structures based asset allocations.


Maurizio Piglia

Maurizio Piglia is fund manager and advisor of R-square RiskLab. He has had a professional funds management and treasury operations career in Italy and Switzerland over the last 15 years. This has involved the management of listed equities portfolios in European and United States markets. He has also held responsibility for the treasury trading operations of an Italian bank.

He helped establish a UK Hedge Fund which uses quantitative techniques in equities and other securities markets.


Laurence Jacobs

Laurence Jacobs is an international leader in the development and application of advanced analytical methods for the identification, understanding, and prediction of customer behaviour. He has applied these techniques in the optimisation of risk and benefit in a variety of business areas, such as propensity, customer segmentation, attrition, retention, credit risk, and fraud prevention. Some of the advanced risk analysis techniques developed by Laurence were recently showcased at the World Economic Forum. Laurence holds a PhD in Theoretical Physics from the Massachusetts Institute of Technology.


Steivan Defilla

Steivan Defilla is Director at Energy Charter Secretariat in Brussels. Steivan is one of the Advisors of R-square RiskLab. Earlier he was a Senior Energy Advisor at the SECO – Swiss State Secretariat for Economic Affairs, Division of Environment and Energy Policy, Bern, Switzerland and in his role is involved in the shaping of Swiss energy policy. He has been participating in many international energy fora and negotiations and has accumulated a great experience in analyzing short term as well as long term security of supply risks of energy systems. Outside his professional work, he is an active promoter of econophysics and has created the concept of physical purchasing power (PhPP) as a first step towards introducing more rigorous metrological principles in economics. Econophysics is a new discipline, which emerged in the mid-1990s and in the future is likely to be relevant for economics. Steivan and Chitro Majumdar have been working together in econophysics during the last couple of years. They have initiated some new measures of econophysics models in practice. Steivan is also among the organizers of the thirty first general conference of the International Association for Research in Income and Wealth IARIW in St. Gallen, Switzerland, in August 2010. In the framework of this conference, he co-organizes a parallel session on Greening and Economic Growth (2010) that primarily focuses on topics such as environmental and resource accounting, integration between the System of National Accounts (SNA) and the System of Integrated Environmental and Economic Accounting (SEEA), market failure vs. state or regulatory failure in environmental and resource economics, the acceptance or rejection of “greening” (for example, using renewable energy sources and purchasing more energy efficient appliances and vehicles), and the relationship between environmental degradation, and present and future intergenerational economic well-being.


Wim Schoutens

Wim Schoutens (Leuven, Belgium) is professor in financial engineering at the Catholic University of Leuven, Belgium. He is an advisor of Credit Risk at R-square RiskLab. He has extensive practical experience of model implementation and is well known for his consulting work to the banking industry and other institutions. He is an independent expert advisor to the European Commission on “State aid assessment of valuation of impaired assets and of asset relief measures” and has assessed in that position about EUR 1 trillion of assets.

Wim is the author of several books including “Contingent Convertibles (CoCos) : Structure and Pricing,” the first book ever on Contingent Capital and CoCo bonds (written together with Jan De Spiegeleer). Further he has been (co)author of the Wiley books “Lévy Processes in Finance”, “Lévy Processes in Credit Risk”, and “The Handbook of Convertible Bonds”. He is Managing Editor of the International Journal of Theoretical and Applied Finance and Associate Editor of Quantitative Finance, Mathematical Finance and Review of Derivatives Research and International Journal of Portfolio Analysis & Management. Further, he is series editor of the book series “Financial Engineering Explained” for Palgrave Macmillan. Finally, he is member of the Belgium CPI commission.


Rüdiger Kiesel

Rüdiger Kiesel is Europe’s first heavily practice-oriented chair of energy trading. Rüdiger is an energy advisor of R-square RiskLab. Rüdiger heads the chair for “Energy Trading and Financial Services” at the University Duisburg-Essen. Previously he has been Director of the Institute for Mathematical Finance at the University of Ulm. He also held positions as Lecturer and Reader for actuarial science and financial mathematics at Birkbeck College, University of London and London School of Economics, where he is still visiting professor. He is also a Visiting Professor at the Center of Applied Mathematics, Oslo University. His main research areas are currently risk management for power utility companies, design and analysis of Emission Trading Schemes, valuation and hedging of derivatives (interest-rate, credit- and energy-related), methods of risk transfer and structuring of risk (securitization), and the stochastic modelling of financial markets using Lévy-type processes. He is Co-author of the Springer Finance monograph Risk-Neutral Valuation (now in its second edition) and has written more than forty published research papers. He is a frequent speaker at international conferences and organized several practitioner seminars. Rüdiger consults financial institutions and regulators on (credit- and energy-) risk management, derivative pricing models and asset allocation.

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Rick Shaw

Rick Shaw is a mathematician and actuary with extensive capital modelling experience. Rick is one of the most important practice leaders of R-square RiskLab on reinsurance initiatives, M&A, internal capital model, Solvency II etc. Rick’s experience with economic capital modelling dates from the 1980s, when simulation techniques started to be applied in the insurance and finance industries. He have both developed new and reviewed existing capital models for companies in many countries.

Rick has advised the World Bank and the IMF on social security reform in the Middle East, the South Korean government on privatisation, the Singapore government on restructuring Singapore’s health care system, and the Malaysian government on consolidation of the finance industry.

In his recent capacity as Chief Actuary of the Bermuda Monetary Authority, and prior to that country leader for Tillinghast Bermuda, Rick had lead responsibility for comprehensive reviews of around twenty internal capital models of varying complexity with differing primary risk drivers. Capital modelling is highly developed in Bermuda, where the portfolio approach to underwriting means modelling is central to a company’s operations.

Rick authored the report on internal economic capital modelling published in December 2008 by the Bermuda Monetary Authority, which summarises his approach to modelling theory and practice 1. Rick has a a deep knowledge of regulatory modelling requirements in Australia and elsewhere, including FSA 2, Lloyd’s and Solvency 2 guidelines.

Rick has carried out extensive reviews of some of the portfolios of sub-prime debt that precipitated the global financial crisis.

In addition to the traditional actuarial areas of reserving, pricing and capital management, Rick been project leader on a number of mergers and acquisitions in a range of countries, and have written extensively on M&A theory and practice. Rick also has experience in establishing alternative distribution channels for insurance products.

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