Topics 2016 v1

Actuarial
Science and Quantitative Finance

Fourthyear Projects
(BUS4029H and BUS4053H) Topics list 2016
Likely date of presentation: 24/ 2/2016

Contents
Introduction ........................................................................................................................................................................ 3
CM1: Estimating the outstanding claims liabilities of the Road Accident Fund using basic chain
ladder methodology ............................................................................................................................................ 4
CM2: Estimating the outstanding claims liabilities of the Road Accident Fund using the
BornhuetterFerguson method ...................................................................................................................... 5
CM3: Evaluating the client value of telcosurance on the African continent ............................................. 6
DB1: Estimating the extent of subsistence farming in South Africa ............................................................ 7
DB2: Assessing mens takeup of the old age grant ............................................................................................ 8
DS1: An alternative explanation of the equity risk premium puzzle in South Africa ........................... 9
DS2: The relationship between income and mortality in employed populations, and the impact of
other factors on this relationship ............................................................................................................... 10
EF1: Systematic Testing of Systematic Trading Strategies. .......................................................................... 11
EF2: Alternative and New methods for measuring fund performance ................................................... 12
EF3: Static Replication of Capped Variance Swaps .......................................................................................... 13
EG1: Relative importance of idea generation and risk management ....................................................... 14
EG2: Value risk premia and economic conditions ............................................................................................ 15
HO1: Global risk aversion and emerging market exchange rate sentiment .......................................... 16
IlM1: Retrenchment insurance: An overview .................................................................................................... 17
IM: General remarks ..................................................................................................................................................... 18
IM1: Maximum penalized likelihood, the EM algorithm and alternatives ............................................. 18
IM2: Hidden Markov models for longitudinal data ......................................................................................... 19
IM3: Reversibility in Markov chains and hidden Markov models ............................................................. 20
JC1: Comparison of loss reserving techniques based on runoff triangles ............................................ 22
JL1: The use of imputations in the expenditure data of the NIDS dataset ............................................. 23
JL2: The relationship between income and expenditure in South African Households ................... 24
JL3: Application of the behavioural lifecycle hypothesis to retirement saving and consumption
.................................................................................................................................................................................. 25
JT1: Event Study: Investigating the impact of external events on stock markets ............................... 26
JW1: SCR Optimisation for a nonlife insurer..................................................................................................... 27
JW2: Cyber insurance in South Africa ................................................................................................................... 28

JW3: How suitable is Regulation 28 for young investors? ............................................................................ 29
JW4: Modelling with Uber .......................................................................................................................................... 30
LA1: An analysis of student funding in South Africa ....................................................................................... 31
LdT1: SA matriculants math results vs. ability. Are the numbers telling the truth? An updated
analysis .................................................................................................................................................................. 32
LdT2: Canterbury earthquakes, an analysis of payment and development patterns for insurance
claims ..................................................................................................................................................................... 33
LdT3: Impact on the buying behaviour of an already underinsured nation, emerging effects of the
2015 Income Tax Act amendment to Disability Income Insurance ............................................. 34
LdT4: An analysis of UCT students success in the Actuarial professional exams .............................. 35
MM1: Analysis of currency risk, with a particular focus on currency pegs ........................................... 36
MS1 Shares must fall?: Identifying short selling predictors ..................................................................... 37
PB1: Gap analysis: Are postretirement healthcare needs met by South African financial
products? .............................................................................................................................................................. 38
PB2: Communication of endoflife PMB benefits to consumers ............................................................... 39
RD1: Simple calculations from census data and interpretations thereof ............................................... 41
RD2: Investigation of census results ...................................................................................................................... 42
RD3: Examining whether CoaleKisker fits old age mortality for select lives ...................................... 43
RD4: Patterns of marriage in South Africa .......................................................................................................... 44
RD5: Rewrite newASSA as xlsx ................................................................................................................................ 45
RD6: Relationship of mortality in employed age range to that in postretirement ........................... 46
RD7: Relational models of mortality and insurance and pension mortality ......................................... 47
SMe1: SCR Optimisation for a life insurer ........................................................................................................... 48
SM1: A study of the Actuarial Science degree programmes in South Africa ......................................... 49
SM2: Pricing a zero coupon bond in a two factor interest rate affine model ........................................ 50
SM3: A stochastic volatility model and its application to pricing a European contingent claim .. 51
TV1: Examination of South African Equity Long/Short Hedge Funds ..................................................... 52
TV2: Examination of South African Market Neutral Funds .......................................................................... 53
VA1: Fertility and womens employment in South Africa ............................................................................. 54
Further topic ideas and supervisors ...................................................................................................................... 55
Topic choice forms ........................................................................................................................................................ 56
Introduction
This document lists the topics proposed by all the lecturers in Actuarial Science at UCT, plus
many others who have very kindly offered to supervise projects. See the end of this document
for detailed instructions on how you express your preferences; but note that it is possible to create
a topic of your own, supervised by someone not on this list. In that case, however, you will have
to approach the supervisor and establish that he/she is willing to take on this responsibility, and
we will have to make sure that the supervision arrangements are satisfactory. In this case, you
should therefore give your proposed topic as your first choice but still follow the instructions in
other respects.
With each topic there is a code indicating availability: A indicates a topic available to Actuarial
Science students and Q a topic available to Quantitative Finance students, with AQ obviously
indicating availability to both. We will endeavour, as far as is possible, to allocate students their
first choice, subject to a reasonable distribution across supervisors. This may, however, not be
possible in all cases. Note, for instance, that there are supervisors who have listed a choice of
topics but who are limited in the number of students that they can supervise in total.
Forms are supplied (at the end of this document) for you to indicate your choices, and to
provide us with contact information.
Ideally you should contact the supervisors of projects you are unsure about to help you make
up your mind, but should you wish to select a topic from those suggested by supervisors outside
UCT Actuarial Science, you must make contact with the supervisor to discuss the topic before
you hand in your topic choices.
Rob Dorrington (course convenor)
CM1: Estimating the outstanding claims liabilities of the

Road Accident Fund using basic chain ladder
methodology
Supervisor
Organisation
Contact details
Project Topic
Title
Code
Max students
Description
Coetzee Marais
UCT
coetzee.marais@uct.ac.za
Estimating the outstanding claims liabilities of the Road Accident Fund using
basic chain ladder methodology
A
1
The Road Accident Fund (RAF) is a state fund that was set up by the Road
Accident Fund Act of 1996. The RAF provides compulsory cover to all users
of South African roads against injuries sustained or deaths arising from
accidents involving motor vehicles within the borders of South Africa. This
cover is in the form of indemnity insurance to persons who cause the accident,
as well as personal injury and life insurance to victims of motor vehicle
accidents and their families.
This project entails estimating the outstanding liability for claim payments
due by the RAF by applying the basic chain ladder (BCL) method to
homogeneous groups of claims data.
Skills required This project will require students to analyse a data set from the RAF and set
up a chain ladder valuation model. Basic data manipulation (in R, SAS or
similar) is needed, as well as a firm grasp of run-off triangles as per ASSA
subject A204 (CT6).
Data sources
A data set on RAF claims will be made available.
Recommended RAF Annual Report 2015 (available at http://www.raf.co.za)
reading
Boland, P. J. (2007). Claims Reserving and Pricing with Run-Off Triangles.
Statistical and Probabilistic Methods in Actuarial Science. Boca Raton: Chapman &
Hall.
RAF Commission 2002. Funding Road Accident Compensation. Report of the
Road Accident Fund Commission. Satchwell, K.M.
CM2: Estimating the outstanding claims liabilities of the

Road Accident Fund using the BornhuetterFerguson
method
Supervisor
Organisation
Contact details
Project Topic
Title
Code
Max students
Description
Coetzee Marais
UCT
Estimating the outstanding claims liabilities of the Road Accident Fund using
the Bornhuetter-Ferguson method
A
1
The Road Accident Fund (RAF) is a state fund that was set up by the Road
Accident Fund Act of 1996. The RAF provides compulsory cover to all users
of South African roads against injuries sustained or deaths arising from
accidents involving motor vehicles within the borders of South Africa. This
cover is in the form of indemnity insurance to persons who cause the accident,
as well as personal injury and life insurance to victims of motor vehicle
accidents and their families.
This project entails estimating the outstanding liability for claim payments
due by the RAF by applying the Bornhuetter-Ferguson (BF) method to
homogeneous groups of claims data.
Skills required This project will require students to analyse a data set from the RAF and set
up a chain ladder valuation model. Basic data manipulation (in R, SAS or
similar) is needed, as well as a firm grasp of run-off triangles as per ASSA
subject A204 (CT6).
Data sources
A data set on RAF claims will be made available.
Recommended RAF Annual Report 2015 (available at http://www.raf.co.za)
reading
Boland, P. J. (2007). Claims Reserving and Pricing with Run-Off Triangles.
Statistical and Probabilistic Methods in Actuarial Science. Boca Raton: Chapman &
Hall.
RAF Commission 2002. Funding Road Accident Compensation. Report of the
Road Accident Fund Commission. Satchwell, K.M.
CM3: Evaluating the client value of telcosurance on the

African continent
Supervisor
Organisation
Contact details
Project Topic
Title
Code
Max students
Description
Skills required
Coetzee Marais
UCT
Evaluating the client value of telcosurance on the African continent
A
2
It has often been stated that insurance penetration across Africa stands at less
than 1 percent. The latest distribution channel to increase this percentage has
been dubbed telcosurance and involves using mobile telephones as a
distribution method for microinsurance products, often on an embedded bases
alongside non-insurance products.
This project involves a detailed evaluation of the various forms of life
insurance products offered on an embedded basis by telecommunications
companies across Africa and includes a study of the
Type of cover provided
How sums assured are determined
Typical sums assured
Value for money
From the above, a conclusion should be drawn on whether telcosurance holds
value for clients in Africa.
This project will require students to convert information available in the public
domain on life insurance products offered by telecommunications companies
and typical client spending patterns to expected cover levels.
Data sources
This project will rely solely on commercial data available in the public domain.
Recommended Churchill, C. (2006). Protecting the Poor A Microinsurance Compendium Geneva:
reading
International Labour Organization
Levin, P. (2014). Promising starts in mobile microinsurance: Tigo Senegal and
Telenor Pakistan
http://opportunity.org/news/blog/2012/09/microensure-ghanacrosses-one-million-milestone-for-number-of-lives-insured
DB1: Estimating the extent of subsistence farming in

South Africa
Supervisor
Debbie Budlender
Organisation
N/A
Contact details debbie.budlender@gmail.com or 0214479852 or 0825796697

Project Topic/ Estimating the extent of subsistence farming in South Africa
Title
Code
A (Actuarial Science only)
Max students
Up to 2 subject to max of 2 for both topics
Description
This project will explore available data sources and estimates of the extent of
subsistence farming in South Africa. Extent could be measured, among others,
by the number (and characteristics/profile) of the individuals and households
engaged in this activity, as well as the size of production, whether measured
in financial or other terms. The focus will be on relatively current data sources
(rather than a historical examination) and, in particular, on survey sources.
The project will compare the different estimates, suggest reasons for
differences between them, and suggest improved ways of determining the
extent of subsistence farming. A wellwritten paper could be of interest for
academic journals.
Skills required The student will need to analyse large household survey and similar datasets,
which will require use of Stata or a similar package. The student will also need
to be able to use Excel to compare estimates, derive new estimates, and the
like. The project might require a small number of interviews, for example with
Statistics South Africa in respect of how they derive national accounts
estimates, or other researchers who have investigated this area. A key skill
will be the ability to search for and review literature.
Data sources
There are several publicly available (and free) datasets that can be used for
this project. These include Statistics South Africas General Household Survey
and Income and Expenditure Survey, and the National Income Dynamics
Survey. The student may, in doing this project, discover further data sources.
Recommended Aliber M & Mdoda L. 2015. The direct and indirect economic contribution of
reading
smallscale black agriculture in South Africa in Agrekon 54(2): 1837. (The
project will not be expected to produce complicated analysis such as that
presented in this article. The article is, instead, suggested because (a) it
discusses one of the kay data sources and (b) it lists further references that
can be followed up.)

DB2: Assessing mens takeup of the old age grant

Supervisor
Organisation
Contact details
Project Topic/
Title
Code
Max students
Description
Debbie Budlender
N/A
debbie.budlender@gmail.com or 0214479852 or 0825796697
Assessing mens takeup of the old age grant

Up to 2 subject to max of 2 for both topics
Up until the late 2000s, men were eligible for the state old age grant at age 65,
while women were eligible at age 60. Currently, both women and men are
eligible from age 60. The equalisation was phased in over a period of three
years, with men aged 63 and 64 years qualifying as from 1 April 2008; men
aged 61 and 62 years qualifying as from 1 April 2009 and men aged 60 years
from 1 April 2010 after the Roberts court case challenged the
constitutionality of different ages for men and women. However, even with
equalisation, takeup of the grant may differ for men and women. In
particular, men may be less likely to pass the means test because of prior
employment.
This project will explore takeup of the old age grant by men (comparing
it to that of women) over a period from before age equalisation to date. The
exploration will, at the least, be based on analysis of household survey data
and data obtained from the South African Social Security Agency (SASSA)
which manages grants. The papers relating to the court challenge should also
be discussed.
A wellwritten paper could be of interest for academic journals.
Skills required The student will need to analyse large household survey and similar datasets,
which will require use of Stata or a similar package. The student will need to
be able to use Excel to compare estimates, and the like. The student will also
need to review literature relating to previous analysis of old age grants, and
relevant policy and legislation, including documents relating to the court case
that resulted in equalisation for men and women.
Data sources
There are several publicly available (and free) datasets that can be used for
this project. These include Statistics South Africas General Household Survey
and the National Income Dynamics Survey. The supervisor will assist the
student in obtaining data from SASSA and documents from the court case.
Recommended HagenZanker, J., Morgan, J. & Meth, C., 2011. South Africa's cash social
reading
security grants: Progress in increasing coverage. Overseas Development
Institute gives basic background on the grants.
DS1: An alternative explanation of the equity risk

premium puzzle in South Africa
Supervisor
Organisation
Contact details
Project Topic/
Title
Code
Max students
Description
Dave Strugnell
MMI/UCT
dave.strugnell@uct.ac.za
An alternative explanation of the equity risk premium puzzle in South Africa
AQ
1
The foundation for this project will be a review of selected international and
South African literature on the quantification and evolution of the equity risk
premium (ERP. A key issue in this literature is the existence of the so-called
equity risk premium puzzle: the incompatibility of the observed level of the
ERP with standard economic models. On this foundation will be built the
following:
1. an update and reassessment of the key piece of South African
literature on the topic, Hassan and Van Biljon (2010); and
2. the application of one or both of a habit formation or prospect
theory-based model to the South African data, in search of an
alternative explanation of the empirical ERP.
Skills required
An interest in mathematical economics and long-term investment decisionmaking, an ability to search and review literature and R programming skills (or
a strong desire to learn).
Data sources
Per-capita consumption and financial market data will ned to be obtained from
electronic sources available in the Library (Bloomberg, Datastream).
Recommended Campbell, J. (2003). Consumption-based asset pricing, in G. Constantinides,

reading
M. Harris and R. Stulz (eds), Handbook of the Economics of Finance, vol. 1B,
Elsevier, Amsterdam.
Mehra, R. and Prescott, E. (1985). The equity premium: A puzzle, Journal of
Monetary Economics 15: 145161.
Rietz, T. (1988). The equity risk premium: A solution, Journal of Monetary
Economics 22: 117131.
Hassan, S. and Van Biljon, A. (2010). The equity premium and risk-free rate
puzzles in a turbulent economy: Evidence from 105 years of data from
South Africa, South African Journal of Economics 78(1): 2339.
DS2: The relationship between income and mortality in

employed populations, and the impact of other factors on
this relationship
Supervisor
Organisation
Contact details
Project Topic
Title
Code
Max students
Description
Dave Strugnell
MMI/UCT
dave.strugnell@uct.ac.za
The relationship between income and mortality in employed populations, and
the impact of other factors on this relationship
A
1
It is generally accepted that there is an inverse relationship between income
level and mortality risk. The student taking on this project will be provided
with a set of experience data which reveal an interesting anomaly, and asked
(on the foundation of a review of the literature on the relationship between
income and mortality) to propose and, where possible, test several hypotheses
for the cause of this anomaly. It should be stressed that a properly-synthesised
and intelligently-interpreted literature review is as important an objective of
this research project as the specific life insurance application.
Skills required
An interest in life insurance, an ability to search and review literature, creative

problem-solving skillset and R programming skills (or a strong desire to learn).
Data sources
Mortality experience data will be provided.
Recommended Dowd, Albright, Raghunathan, Schoeni, LeClere and Kaplan. 2011. Income
reading
and mortality in the USA over three decades, International Journal of
Epidemiology 40(1):183-188.
Backlund, Sorlie and Johnson. 1999. A comparison of the relationships of
education and income with mortality: the National Longitudinal Mortality
Study, Social Science and Medicine 49(10): 1373-1384.
McDonough, Duncan, Williams and House. 1997. Income dynamics and adult
mortality in the United States, 1972 through 1989, American Journal of Public
Health 87(9): 1476-1483.
Wilkinson, R.G. 1992. Income distribution and life expectancy, British Medical
Journal 304(6820): 165-168.
Snyder and Evans. 2006. The effect of income on mortality: Evidence from
the Social Security Notch, Review of Economics and Statistics 88(3): 482-495.
Relevant working papers of the Continuous Mortality Investigation of the
Institute and Faculty of Actuaries and Continuous Statistical Investigation
committee of the Actuarial Society of South Africa.
EF1: Systematic Testing of Systematic Trading Strategies.

Supervisor
Organisation
Contact details
Project Title
Code
Max students
Description
Emlyn Flint
Peregrine Securities
emlynf@peregrine.co.za
Systematic Testing of Systematic Trading Strategies
Q
1 (subject to a maximum of 2 students on the 3 topics)
Systematic trading includes any strategy where a buy/sell signal is generated
from a rules-based quantitative process. The use of moving averages for asset
timing is a simple example. Such systems are currently in vogue. Unfortunately,
most of these systems are simply back-tested curve-fitting exercises. This
project tackles three areas in this field:
1. Review the existing statistical methodologies in place for testing
systematic trading strategies.
2. Test the different testing methodologies under a range of simulated
market conditions and simulated strategies
3. Consider a new testing method whereby you construct transition
matrices of probabilities, return lost and durations for highly
controlled scenarios looking at specific market shapes (crash,
sideways, saw-tooth, etc). Test the effect of changes in trend,
volatility, jump size and jump frequency under simulation.
Ultimately, the goal is to build a novel simulation testing framework that allows
one to give a success score to a systematic trading strategy.
Skills required Good computer programming skills are a definite plus.
Some idea of Monte Carlo simulation and the various stochastic processes used
in finance is also useful.
Data sources
Most data will be simulated.
Any required price data is easy to obtain from Bloomberg, INet or Datastream.
Recommended 1) Aronson (2011), Evidence-Based Technical Analysis, Ch 5 and 6
reading
2) Corradi & Swanson (2011), The White Reality Check and Some of Its
Recent Extensions
3) Bailey et al (2013), Psueudo-mathematics and Financial Charlatanisn: The
impact of backtest overfitting on out-of-sample performance
4) Peterson (2015), Developing & Backtesting Systematic Trading Strategies
5) Pardo (2008), The evaluation and optimization of trading strategies
EF2: Alternative and New methods for measuring fund

performance
Supervisor
Organisation
Contact details
Project Title
Code
Max students
Description
Emlyn Flint
emlynf@peregrine.co.za
Alternative and New methods for measuring fund performance
AQ
Measuring fund performance and persistence in fund performance is a muchstudied topic in finance. However, there have been several recent advances in
the quantitative measurement of fund performance.
In this project, the student will initially review several of the latest
techniques proposed in this space. Of these methods, the student will
specifically focus on the idea of using Markov models and transition
probability matrices to estimate persistence in fund performance.
Finally, the student will consider the novel idea of using survival analysis to
model the time between a fund moving from high to low rank percentiles.
From this analysis, the hazard function will be used to determine whether any
funds display persistence (or anti-persistence) in performance.
Therefore, while the project tackles a fairly well-researched area, the focus
here is only on recent and/or novel quantitative techniques
Skills required Solid statistical grounding.
Strong knowledge of Markov modelling (and actual model estimation).
There is no literature on the use of survival analysis in fund analysis so the
student must be prepared to apply ideas from other research fields.
Data sources
Fund data can be easily accessed from INet or Datastream. The fund data will
need some manipulation prior to analysis.
Recommended 1) Keywood (2015), Testing for persistent outperformance among South
reading
African unit trusts
2) Metallin-Saez et al (2014) On the Robustness of Persistence in Mutual Fund
Performance.
3) Gilbert (2016), Are South African fund managers really that good? SAFA
presentation
4) Hereil et al (2013), Mutual Fund Ratings and Performance Persistence
EF3: Static Replication of Capped Variance Swaps

Supervisor
Emlyn Flint
Organisation
Contact details emlynf@peregrine.co.za

Project Title
Static Replication of Capped Variance Swaps
Code
Max students
Description
A variance swap is a derivative that allows the investor to trade the spread
between future realised volatility and current implied volatility. The exchangetraded, fully margined version of this contract is called a variance future.
In this project, the student will first familiarise themselves with and then
summarise the underlying pricing theory, usage and replication strategies of
variance swaps. The student will then price a variance swap and give an
indication of its greeks under simulated market conditions and conduct general
sensitivity analyses. Finally, the issue of variance swap replication via a static
portfolio of options will be discussed and tested in terms of hedging implied
volatility exposure, with particular emphasis on real-world constraints.
Skills required
This is a heavily mathematical project aimed at students inclined towards

derivative pricing. There will be a steep learning curve.
The simulations will require some level of competency with Excel or some
programming language.
Data sources
Peregrine will provide the necessary implied volatility data. The JSE website
also provides implied volatility data. Otherwise, most data will be simulated.
Recommended 1) Demeterfi et al (1999), More Than You Ever Wanted To Know About
reading
Volatility Swaps
2) Bossu et al (2005), Just What You Need To Know About Variance Swaps
3) Allen et al (2006), Variance Swaps (JP Morgan report)
4) Flint et al (2014), A Guide to South African Volatility (Peregrine report,
available on request)
5) Kotz and Joseph (2008), SAFEX Variance Futures
6) Carr & Lee (2005), Volatility Derivatives

EG1: Relative importance of idea generation and risk

management
Supervisor
A/Prof Evan Gilbert
Organisation
University of Stellenbosch
Contact details egilbert@sun.ac.za;
082-331-5007
Project Topic Investment Management
Title
Relative importance of idea generation and risk management
Code
AQ
Max students
2
Description
Investment performance is a combination of identifying a good investment
idea and an appropriate risk management process. The downside of risk
management, however, is that is can be seen to be a drag on performance. The
following comment from Warren Buffet highlights this point: Diversification
is protection against ignorance. It makes little sense if you know what you are
doing. This study investigates the extent of the trade-off between risk
management and returns using a trend following strategy as the investment
idea and a range of risk management approaches.
This is a challenging topic and will require a student with who is comfortable
with modelling in R and who is open to spending some time working on the
definition of the research topic itself (i.e. you will not be spoon-fed!).
Skills required Ability to code in R (or willingness to learn it).
Data sources
Bloomberg/Datastream/INET
A/Prof Gilbert will help with sourcing the necessary data
Recommended Sections 2.4 2.8 of Vanini, Paolo, Asset Management (February 5, 2016).
reading
Available
at
SSRN:
http://ssrn.com/abstract=2710123
or
http://dx.doi.org/10.2139/ssrn.2710123.
EG2: Value risk premia and economic conditions

Supervisor
Organisation
Contact details
Project Topic
Title
Code
Max students
Description
A/Prof Evan Gilbert

University of Stellenbosch
egilbert@sun.ac.za; 082-331-5007
Investment Management
Value risk premia and economic conditions
AQ
2
A new innovation in the investment arena is the development of systematic
investment alternatives to traditional discretionary investment managers.
Following the work of Fama and French (1992, 1993, 2012) and Carhart (1997)
amongst others multiple indices have been created in an attempt to isolate
various risk premia such as value, size, momentum and quality in equity
markets. As a result investors can now buy low cost index tracking funds to
access these premia. These are exciting alternatives to both traditional active
fund managers and plain vanilla market index tracking funds.
However, it seems that not all of these premia are rewarded consistently.
This then raises the question of what market conditions are conducive for what
strategies? Are there certain conditions (either from a macro-environmental
perspective or any other way of defining markets) that can be identified where
certain strategies would work better or worse than others?
While the primary focus of this research exercise will be on explaining the
timing of the outperformance of the value factor it could be expanded to
additional factors (e.g. momentum and quality) if time allows it.
This is a challenging research topic as the methodology is less clearly defined.

It will require some familiarity with econometric techniques and modelling in
R.
Bloomberg/Datastream
Data sources
Various index providers e.g. S&P, FTSE/JSE
(A/Prof. Gilbert will help obtain the relevant indices from these providers)
Recommended Fama, E. F.; French, K. R. (1992). "The Cross-Section of Expected Stock
Returns". The Journal of Finance 47 (2): 427.
reading
doi:10.1111/j.1540-6261.1992.tb04398.x. JSTOR 2329112
Carhart, M. M. (1997). "On Persistence in Mutual Fund Performance". The
Journal of Finance 52: 5782. doi:10.1111/j.1540-6261.1997.tb03808.x.
JSTOR 2329556
Griffin, J. M. (2002). "Are the Fama and French Factors Global or Country
Specific?". Review of Financial Studies 15 (3): 783803.
doi:10.1093/rfs/15.3.783. JSTOR 2696721
Fama, E. F.; French, K. R. (2012). "Size, value, and momentum in international
stock returns". Journal of Financial Economics 105 (3): 457.
doi:10.1016/j.jfineco.2012.05.011.
Skills required
HO1: Global risk aversion and emerging market exchange

rate sentiment
Supervisor
Organisation
Contact details
Project Topic/
Title
Code
Max students
Description
Hanjo Odendaal
Eighty20 Consulting
021 4600440 hanjo.odendaal@eighty20.co.za
Global risk aversion and emerging market exchange rate sentiment
AQ
1 (maybe 2)
In recent years, emerging market (EM) volatility has come to the fore, as larger
and more abrupt changes in portfolio positions are shifting market dynamics.
These shifts are mainly due to an increase in global risk aversion since the
financial crisis in 2008 and are causing a one-size-fits-all sentiment towards
most developing economies. In turn, these portfolio adjustments cause
disruption and unjustified market volatility through EM contagion.
The academic convention to quantify the convergence of market volatility
currently involves using Dynamic Conditional Correlation Multivariate Garch
models to track time varying correlations among the EMs. In a recent paper, a
new time-series clustering technique was proposed (Fritz, 2012). This
technique might be applied in the same line of thought to extrapolate whether
any fundamental change in co-movements, among the EM, have occurred
since the 2008 financial crises through pre and post clustering of the various
exchange rates.
Skills required Imperative to write concisely and informatively to an uninformed audience.
An ability to search and review literature and understand recently developed
methodologies for which information and practical examples are sparse. The
use of R programming language as your tool of analysis
Data sources
Various sources such as Google Finance, Yahoo Finance and Quandl has APIs
to pull this information directly into R
Recommended Ananchotikul, N. and Zhang, M.L., 2014. Portfolio Flows, Global Risk
reading
Aversion and Asset Prices in Emerging Markets (No. 14-156). International
Monetary
Katzke, N., 2013. South African Sector Return Correlations: using DCC and
ADCC Multivariate GARCH techniques to uncover the underlying dynamics (No.
17/2013).
Fritz, H., Garca-Escudero, L.A. and Mayo-Iscar, A., 2012. tclust: An r
package for a trimming approach to cluster analysis. Journal of Statistical
Software, 47(12), pp.1-26.
Vilar, J.A., Alonso, A.M. and Vilar, J.M., 2010. Non-linear time series
clustering based on non-parametric forecast densities. Computational
Statistics & Data Analysis, 54(11), pp.2850-2865. Review of House Price

IlM1: Retrenchment insurance: An overview

Supervisor
Illana Melzer
Organisation
Eighty20 Consulting
Contact details
021 4600440 illana@eighty20.co.za
Project Topic/ A review of house price indices in South Africa

Title
Code
Max students
Description
A number of house price indices exist in South Africa. The research will
document why house price indices are important, who uses them and what
decisions they inform. It will explore the methodologies underlying existing
indices in South Africa, compare them to methodologies used in other
countries and track their performance to identify time periods when they move
in different directions. It will also assess the extent to which existing indices
are fit for purpose given the diverse nature of residential property markets in
South Africa.
Skills required
An ability to search and review literature and assess methodologies for

developing indices.
Data sources
Various house price indices plus documentation on methodologies to be

sourced from entities that generate house price indices
Recommended Handbook on Residential Property Prices Indices (RPPIs) published by

reading
Eurostat (2013)
Residential property price statistics across the globe by Michela Scatigna,
Robert Szemere and Kostas Tsatsaronis (2014)
Hedonic - Based Price Indexes for Housing : Theory, Estimation, and Index
Construction by Nancy E. Wallace
Review of House Price Index: case of RESIDEX for Bhopal in India
by Sumit Gothi and Sanjeev Kumar*, International Journal of Engineering
Research & Technology, November 2013
Property Valuation Methods and Data in the United States, Charles A.
Calhoun, 2001
IM: General remarks

My research interests, and my suggested topics, fall in the areas of statistics, applied probability and
(to some extent) optimization. All my topics involve some mathematics, although it is not deep
mathematics, and some computing, typically most easily done in R. I have for a long time been
interested in hidden Markov models (MacDonald and Zucchini, 1997), and more recently I have
also worked on alternatives to the EM algorithm (MacDonald, 2014). I am happy to give an
introductory lecture on either topic. It is recognized that reading your way into a topic of this kind
is a large part of the job.
As I am on sabbatical in the first semester, some of the supervision will have to be done by
email.
IM1: Maximum penalized likelihood, the EM algorithm

and alternatives
Supervisor
Organisation
Contact details
Project Topic/Title
Code
Max students
Description
Iain MacDonald
UCT
iain.macdonald@uct.ac.za; 021 650 2473
Maximum penalized likelihood, EM algorithm and alternatives
A
2 (subject to overall max of 3 per supervisor)
There are statistical estimation problems where penalized
maximum likelihood seems more sensible than unpenalized.
Equivalently, a prior distribution corresponding to the penalty
is put on the parameter(s). Some would use the EM algorithm
to solve such problems; see Lee and Pawitan (2014). But there
are simple alternatives; see MacDonald and Lapham (2016).
Survey the field of maximum penalized likelihood, and tackle
some larger-scale problems of this kind by methods other than
EM. The problems discussed by MacDonald and Lapham
have only a single parameter.
Skills required
Probability and Statistics at third-year level. Interest in

optimization, and some computing skills (e.g. in R).
Any relevant data in the literature or elsewhere.
Heinze et al. (2013), Azzalini and Arellano-Valle (2013), Lee and
Pawitan (2014), MacDonald and Lapham (2016).
Data sources
Some references
IM2: Hidden Markov models for longitudinal data

Supervisor
Organisation
Contact details
Project Topic/Title
Code
Max students
Description
Skills required
Data sources
Some references
Iain MacDonald
UCT
Hidden Markov models (HMMs) for longitudinal data
A
Hidden Markov time-series models are relatively simple
models for time series whose nature makes models with a
normal marginal distribution (e.g. Gaussian ARMA processes)
inappropriate. Longitudinal data, known as panel data in the
econometric literature, consist of K time series of the same type
of observation on each of K subjects. Examples of application
include time series of disease status for each of a number of
(independent) subjects, and recordings of brain activity on
each of a number of sleeping subjects.
Your job would be to provide a brief review of HMMs for
longitudinal data (including the use of random effects), and
then to discuss in particular how missing data (both
noninformative and informative) can be allowed for in such
models. You will be required to provide illustrative examples
of the computations involved.
Probability and Statistics (e.g. maximum likelihood estimation)
at the level of our third-year courses. Interest in optimization,
and some computing skills (e.g. in R).
Any relevant data available in the literature or elsewhere.
Maruotti (2011, 2015), Bartolucci et al. (2013), Zucchini et al.
(2016: Ch. 13).
IM3: Reversibility in Markov chains and hidden Markov

models
Supervisor
Organisation
Contact details
Project Topic/Title
Code
Max students
Description
Skills required
Data sources
Some references
Iain MacDonald
UCT
Reversibility in Markov chains and hidden Markov models
A
A random process is said to be reversible if its
finitedimensional distributions are invariant under timereversal. The most commonly used time-series models,
Gaussian ARMA processes, are reversible. But there are
applications for which reversible models seem inappropriate;
see McCausland (2007) for economic examples, and see
McGibbon et al. (2014) for a (complex) application to
molecular dynamics. Your job is to survey the concept of
reversibility as it applies to Markov chains and hidden Markov
models, and to provide examples of the fitting and
interpretation of both reversible and non-reversible models.
The connection with copulas must also be explored.
Probability and Statistics at third-year level. Interest in
optimization, and some computing skills (e.g. in R).
Any relevant data available in the literature or elsewhere.
MacDonald and Zucchini (1997: pp. 105108), McCausland
(2007), Beare and Seo (2014), McGibbon et al. (2014).

References
Azzalini, A. and Arellano-Valle, R. B. (2013). Maximum penalized likelihood estimation for
skew-normal and skew-t distributions. Journal of Statistical Planning and Inference, 143, 419433.
Bartolucci, F., Farcomeni, A., and Pennoni, F. (2013). Latent Markov Models for Longitudinal Data.
Chapman & Hall/CRC Press, Boca Raton,
Florida.
Beare, B. K. and Seo, J. (2014). Time irreversible copula-based Markov models. Econometric
Theory, 30, 923960.
Heinze, G., Ploner, M., and Beyea, J. (2013). Confidence intervals after multiple imputation:
combining profile likelihood information from logistic regressions. Statistics in Medicine, 32, 5062
5076.
Lee, W. and Pawitan, Y. (2014). Direct calculation of the variance of maximum penalized
likelihood estimates via EM algorithm. The American Statistician, 68(2), 9397.
MacDonald, I. L. (2014). Numerical maximisation of likelihood: A neglected alternative to EM?
International Statistical Review, 82(2), 296308.
MacDonald, I. L. and Lapham, B. M. (2016). Even more direct calculation of the variance of a
maximum penalized-likelihood estimator. The American Statistician. To appear.
MacDonald, I. L. and Zucchini, W. (1997). Hidden Markov and Other Models for Discrete-valued Time
Series. Chapman & Hall, London.
Maruotti, A. (2011). Mixed hidden Markov models for longitudinal data: An overview.
International Statistical Review, 79(3), 427454.
Maruotti, A. (2015). Handling non-ignorable dropouts in longitudinal data: a conditional model
based on a latent Markov heterogeneity structure. TEST, 24, 84109.
McCausland, W. J. (2007). Time reversibility of stationary regular finitestate Markov chains.
Journal of Econometrics, 136, 303318.
McGibbon, R. T., Ramsundar, B., Sultan, M. M., Kiss, G., and Pande, V. S. (2014).
Understanding protein dynamics with L1-regularized reversible hidden Markov models. Journal
of Machine Learning Research, Proceedings of the 31st International Conference on Machine Learning, Beijing,
China, 2014, 32.
Zucchini, W., MacDonald, I. L., and Langrock, R. (2016). Hidden Markov Models for Time Series:
An Introduction Using R. Chapman & Hall/CRC, London and Boca Raton, Florida, second
edition.
JC1: Comparison of loss reserving techniques based on

runoff triangles
Supervisor
Organisation
Contact details
Project Topic/
Title
Code
Max students
Description
John-Craig Clur
Gen Re
John.Clur@genre.com; 021 412 7746
Comparison of loss reserving techniques based on run-off triangles

2
The chain-ladder and the Bornhuetter-Ferguson reserve estimation methods
are the most common methods used in insurance. It is very important to know
how accurate the resulting estimates are. The broad aim of this project is to
review and compare different reserve estimation methods used by insurance
companies under various scenarios. The idea is to simulate the claims
experiences for an insurance company over time and determine how accurate
the reserves generated by the different methods are.
Skills required Basic understanding of run-off triangles (Bornhuetter-Ferguson, chain-ladder
and Cape-Code method), methods in simulating data from a specific
distribution, Excel and VBA coding.
Data sources
The project will require a simulation analysis to be conducted, which will
generate the data.
Recommended Barnett, G. and Zehnwirth, B. (1998). Best estimates for reserves. Casualty
reading
Actuarial Society, Fall Forum.
Bornhuetter, R.L., and Ferguson R.E. (1972). The Actuary and IBNR.
Proceedings of the Casualty Actuarial Society, 59 (112), 181-195.
Mack, T. (1994). Which stochastic model is underlying the chain-ladder model.
Insurance: Mathematics and Economics, 15, 133-138.
Schmidt, K.D. (2006). Methods and models of loss reserving based on run-off
triangles: A unifying survey. Casualty Actuarial Society Forum Fall 2006, 269317.
Verrall, R. J. (2000). An investigation into stochastic claims reserving models
and the chain-ladder technique. Insurance: Mathematics and Economics, 26,
91-99.
JL1: The use of imputations in the expenditure data of the

NIDS dataset
Supervisor
Joanna Legutko
Organisation
UCT
Contact details Joanna.legutko@uct.ac.za

Project Topic/ The use of imputations in the expenditure data of the NIDS dataset
Title
Code
A/Q
Max students
2 (subject to max of 5 in total for supervisor)
Description
The National Income Dynamics dataset collects detailed information on South

African households income and expenditure. The dataset utilises imputation
techniques to account for missing data. The aim of this project is to review the
quality of data collected and consider the extent to which imputations are used;
whether they are appropriate and valid; and potentially suggest how the
imputations could be improved. If appropriate, the study can be limited to
households with retired members in particular.
Skills required
The students will be using STATA so a willingness to learn this package is

essential.
Data sources
We will use the NIDS (National Income Dynamics Study) data set, which
consists of 3 waves.
Recommended Finn, A., et al. "Expenditure: Report on NIDS Wave 1." NIDS Technical Paper,
SALDRU (Southern Africa Labour and Development Research Unit), Cape
reading
Town (2009).
http://www.nids.uct.ac.za/publications/technical-papers/111-nidstechnical-paper-no4/file
JL2: The relationship between income and expenditure in

South African Households
Supervisor
Joanna Legutko
Organisation
UCT

Project Topic/ The relationship between income and expenditure in South African
Title
Households
Code
Max students
Description
The National Income Dynamics Study (NIDS) collects information on the

expenditure and income of households. We are interested in the relationship
between the two to what extent does expenditure follow income, and
therefore how are savings or debt generated? And how does this relationship
change over the life-cycle?
Skills required
The students will be using STATA so a willingness to learn this package is

essential.
Data sources
We will use the NIDS (National Income Dynamics Study) data set, which
consists of 3 waves.
Recommended Heckman, James. "Life cycle consumption and labor supply: An explanation of the
relationship between income and consumption over the life cycle." The American
reading
Economic Review 64.1 (1974): 188-194.
Finn, A., M. Leibbrandt, and I. Woolard. "Income and expenditure inequality:

Analysis of the NIDS Wave 1 dataset." National Income Dynamics Study, NiDS
Discussion Paper 5 (2009).
JL3: Application of the behavioural lifecycle hypothesis

to retirement saving and consumption
Supervisor
Joanna Legutko
Organisation
UCT

Project Topic/ Application of the behavioural life-cycle hypothesis to retirement saving and
Title
consumption
Code
Max students
Description
The behavioural life-cycle hypothesis, first posited by Shefrin and Thaler in

1988, suggests that humans are unlikely to follow the pure life-cycle hypothesis
posited by traditional economists. Instead, humans are prone to framing,
mental accounting, and other behavioural biases which make them behave
irrationally. This project is a detailed literature review of how this theory can
be applied to preparing and experiencing retirement in particular. The student
is expected to review existing research relating to this, as well as to suggest
avenues for future research which could cast light on this aspect of the
hypothesis.
Skills required
Literature review
Data sources
No data required
Recommended Shefrin, Hersh M., and Richard H. Thaler. "The behavioral lifecycle
hypothesis." Economic inquiry 26.4 (1988): 609-643.
reading
JT1: Event Study: Investigating the impact of external

events on stock markets
Supervisor
Janri Theron
Organisation
Milliman
Contact details
janri.theron@milliman.com
Project Topic/ Event Study: Investigating the impact of external events on stock markets
Title
Code
AQ
Max students
Up to 2 (subject to max of 2 for JT1+MM1)
Description
Stock markets are affected by external events. The purpose of the research
would be to determine the extent to which share prices of individual
companies are affected by external events. A particular focus will be to answer
the following two questions:
Can it be statistically proven that shares in different sectors

(industries) react differently to external events?
Is there a relationship between the liquidity of shares and the level of
reaction to external events?
An example that can be investigated is the markets reaction to the recent

removal of Minister of Finance Nhlanhla Nene, and the markets subsequent
reaction to the reinstatement of Minister Pravin Gordhan. However, other
events may also be considered by the student.
Skills required
Data manipulation in Excel

Modelling to be performed in statistical software (SAS, R, or other)
Data sources
Share price data for all companies listed on the JSE will be provided in Excel
format.
Recommended It would be recommended that the student does some reading on Event Study.
reading
This information can easily be obtained from internet searches.
JW1: SCR Optimisation for a nonlife insurer

Supervisor
Jeanine Wilson
Organisation
KPMG
Contact details
082 450 3562/Jeanine.wilson@kpmg.co.za
Project Topic/ SCR Optimisation for a non-life insurer

Title
Code
Max students
Description
The capital requirement to demonstrate that an insurance company is solvent

under the SAM requirements is described by the technical specifications from
the FSB. Insurance companies have spent significant resources and money to
ensure that the SCR calculation is correct and understood. These figures have
been provided to the FSB through a number of different reports. It is not only
necessary for insurance companies to ensure that they are calculating this
correctly but now to ensure that they are holding the correct assets and mix of
risks to ensure they optimise the amount of capital that is held under the SAM
regulations. The research will require investigation on the different aspects that
insurers can use to move to optimising their SCR requirement.
Skills required
Understanding of SAM regulation, Excel skills, an ability to search and review

literature.
Data sources
Data is available on this topic as it is a widely researched topic at the moment.
Recommended To be provided later

reading
JW2: Cyber insurance in South Africa

Supervisor
Jeanine Wilson
Organisation
KPMG
Contact details 082 450 3562/Jeanine.wilson@kpmg.co.za

Project Topic/ Cyber insurance in South Africa
Title
Code
Max students
Description
Cyber insurance is one of the newest forms of non-life insurance in South

Africa. The research will look into the risks within cyber insurance and the
importance of it in South Africa and also look into pricing, reserving,
reinsuring and capital management that is required. This will be a literature
review which will focus on bringing the information available on Cyber
insurance into a single research document. The research will look to
understand what insurers are doing with regards to Cyber Insurance, including
the cyber insurance claims that have occurred.
Skills required
An ability to search and review literature. Skills to interview people who are in
the insurance industry.
Data sources
This is a topic that is growing with interest throughout the world however since
it is so new there is very little data available. There are a number of insurers
who are offering this insurance and so they have some research available on
the topic. Students will struggle to get as much information as they may have
hoped but they will be able to find articles and information on the internet
especially on insurers websites. The students will be provided advice and
guidance on where to look for information.

reading
JW3: How suitable is Regulation 28 for young investors?

Supervisor
Jeanine Wilson
Organisation
KPMG
Contact details 082 450 3562/ Jeanine.wilson@kpmg.co.za

Project Topic/ How suitable is Regulation 28 for young investors?
Title
Code
AQ
Max students
Description
This research will focus on the investment environment in South Africa. It will
explore the options and feasibility for young investors by considering
Regulation 28 as well as long term investment returns based on high risk
investment funds. The objective of the study will be to determine, for a young
investor with 25-40 years to retirement, if it would be optimal to take the tax
impact (PAYE) now and at retirement (income tax) and invest in a high risk
high return fund or invest in a pension fund with tax savings which is
constrained by Regulation 28. This will all be based on historical investments
in the South African market and will look to discover if there is an optimal
point for the investment in both options.
Skills required
Excel skills, research skills, understanding investment returns and familiarity

with theoretical approaches.
Data sources
The data sources are available as these need to be available from the unit trusts
in the investment market. This will require gaining information from
investment managers. They will not be provided to the student, the student
will need to request these from asset managers, although the supervisor is
willing to assist.
Recommended Regulation 28 from the FSB.

reading
JW4: Modelling with Uber

Supervisor
Jeanine Wilson
Organisation
KPMG
Contact details 082 450 3562/ Jeanine.wilson@kpmg.co.za

Project Topic/ Modelling with Uber
Title
Code
AQ
Max students
Description
This research is intended to take statistical knowledge and modelling skills and
apply them to a real world example. This research will look into the cost of
owning and running ones own vehicle this will include depreciation, car
maintenance, petrol, etc., and will require the student to research the costs of
these as well as anticipated future costs. This will then be compared to the
costs of using public transport such as Uber, MyCiti and Rea Vaya. The
research will determine the point in terms of kilometres driven in a specific
period is it optimal to move between using private transport to public transport
based on a cost analysis?
Skills required
Statistical understanding, Excel or other statistical packages, stochastic

modelling, an ability to research past costs and understand inflation and other
trends.
Data sources
The data required for this research is all readily available on the internet. The
student will need to access the data themselves and understand what data is
relevant and which is not. There may be issues in terms of which data to use
as there is a lot of data available and some may not be of good quality.

reading
LA1: An analysis of student funding in South Africa

Supervisor
Learoy Alcock
Organisation
KPMG
Contact details Learoy.alcock@kpmg.co.za

Project Topic/ An analysis of student funding in South Africa
Title
Code
Max students
Description
Student fees have dominated South African news over recent years. The
research will investigate the funding system in place in South Africa, looking
into how this system can be optimised to achieve its social objectives.
Skills required
Familiarity with theoretical approaches, Excel, an ability to search and review

literature.
Data sources
Data sources are available and will be provided to the students under
confidentiality agreements. There is research available on this topic.

reading
LdT1: SA matriculants math results vs. ability. Are the

numbers telling the truth? An updated analysis
Supervisor
Organisation
Contact details
Project Topic/
Title
Code
Max students
Description
Skills required
Data sources
Recommende
d reading
Landi du Toit
UCT
0216505156/ landi.dutoit@uct.ac.za
SA matriculants math results vs. ability. Are the numbers telling the truth? An
updated analysis.
A
1 (subject to a max of 4 students per supervisor)
This research is sparked by interest in the wellbeing of South African education
quality and will explore possible trends of published performance vs.
underlying learner ability. An analysis will be done on National Senior
Certificate math performance compared to tertiary performance in first year by
UCT Actuarial Science students
Data analysis, excel/ other statistical software.
UCT database anonomised.
http://www.education.gov.za/Programmes/Research/tabid/838/Default.asp
x
O'Reilly-Bargate, Karen. (2002). School matriculation as an indicator of success
in an accounting programme at Technikon Natal, Thesis (M.Com. (Accounting))-University of Cape Town, 2002.
C. Carmichael & J. A. Taylor. (2005). Analysis of student beliefs in a tertiary
preparatory mathematics course, International Journal of Mathematical Education in
Science and Technology 36(7): 713-719.
Dorrington, RE & Vergeest, F. (1988). An analysis of the performance of
actuarial students from the University of Cape Town, Transactions of the Actuarial
Society of South Africa VII(Part II): 461506.
Ubuz, B. (2011). Factors associated with success in a calculus course: an
examination of personal variables, International Journal of Mathematical Education
in Science and Technology 42(1),112.
LdT2: Canterbury earthquakes, an analysis of payment

and development patterns for insurance claims
Supervisor
Organisation
Contact details
Project Topic/
Title
Code
Max students
Description
Landi du Toit
UCT
Canterbury earthquakes, an analysis of payment and development patterns for
insurance claims
A
As recent as a few days ago, on 14 February 2016 Christ Church was hit by a
5.7 magnitude earthquake, the quake was a reminder for residents of the much
larger 6.3 magnitude one, almost exactly five years ago, that flattened swaths
of the city and left 185 people dead. Media reports that stalled insurance claims
have left thousands of residents feeling little has changed in the five years since
the quake. This research will consider literature on Canterbury earthquakes and
analyse the latest earthquake insurance payment and development patterns as
published by the New Zealand society of Actuaries.
Skills required Data analysis, excel/ other statistical software.
Data sources
New Zealand Society of Actuaries, Canterbury Earthquakes updated data
December 2014.
Recommended S.H. Potter , J.S. Becker, D.M. Johnston, K.P. Rossiter. An overview of the
reading
impacts of the 2010-2011 Canterbury earthquakes, International Journal of
Disaster Risk Reduction
John McClure, Emma E. H. Doyle, Justin M. Velluppillai. (2014). A tale of two
cities: Judgments about earthquake and aftershock probabilities across time
windows, International Journal of Disaster Risk Reduction
Douglas Paton, Ella Anderson, Julia Becker, Jessica Petersen. (2014).
Developing a comprehensive model of hazard preparedness: Lessons from the
Christchurch earthquake, International Journal of Disaster Risk Reduction
LdT3: Impact on the buying behaviour of an already

underinsured nation, emerging effects of the 2015
Income Tax Act amendment to Disability Income
Insurance
Supervisor
Organisation
Contact details
Project Topic/
Title
Landi du Toit
UCT
Impact on the buying behavior of an already underinsured nation, emerging
effects of the 2015 Income Tax Act amendment to Disability Income
Insurance.
Code
A
Max students
Description
As of March 2015, Disability Income premiums are no longer tax exempt,
however the benefit receivable at claim stage has changed from being taxable
as income to tax-free; meaning claimants can expect a larger payout.
The amendment may encourage a reduction in cover as previous premiums
provide a pre-tax income rather than a tax-free income. It could also
discourage the uptake of income-protection cover as individuals may value
reduced taxes today more than potential future tax-free proceeds, particularly
as chances are they may never claim on the policy. This study will analyse
Disability Income experience to identify potential emerging changes in buying
behaviour.
Skills required Data analysis, excel/ other statistical software.
Data sources
Reinsurer DI Claims experience data.
Recommended Du Toit, F., De Decker, J., & Mee, D. (2007). RGA Insurance Company
reading
of South Africa Limited and Actuarial Society of South Africa. Group
Disability Income Terminations Study.
Schriek, K., & Lewis, P. (2009). Life Insurance (IAALS). The Link Between
Disability Experience and Economic Conditions in South Africa.
True South Actuaries & Consultants. (2013). The South African Insurance
Gap in 2013. Johannesburg.
True South Actuaries & Consultants. (2015). Assessing the efficiency of
the South African insurance market in its provision of disability cover
- An update to the 2013 study. Johannesburg.

LdT4: An analysis of UCT students success in the

Actuarial professional exams
Supervisor
Organisation
Contact details
Project Topic/
Title
Code
Max students
Description
Landi du Toit
UCT
An analysis of UCT students success in the Actuarial professional exams.
A
This project aims to track the performance of UCT Actuarial Science students
in the Actuarial exams eligible for exemption from professional exams.
Analysis will be done to identify trends and possible indicators of success.
Skills required An ability to search and review literature, some statistical analytical ability, data
collection and database-building skill, thoroughness and persistence.
Data sources
Access will be provided to the relevant UCT academic records.
Recommended Slattery, P., Dorrington, R. and Zietsman, S. (2000). An Analysis of the
reading
Performance of Actuarial Students, Paper presented at the Convention of the Actuarial
Society of South Africa.
Dorrington, R. and Vergeest, F. (1988). An Analysis of the Performance of
Actuarial Students from the University of Cape Town, Transactions of the
Actuarial Society of South Africa VII(Part II): 461506.
Ramjee, S., Sibiya, F. and Dreyer, K. (2013). The Gender Profile of the South
African Actuarial Profession, South African Actuarial Journal 13: 2137.
MM1: Analysis of currency risk, with a particular focus on

currency pegs
Supervisor
Organisation
Contact details
Project Topic
Title
Code
Max students
Description
Marissa McLeod
Milliman
marissa.mcleod@milliman.com
Analysis of currency risk, with a particular focus on currency pegs
AQ
Up to 2 (subject to max of 2 for JT1+MM1)
Many countries across the world have fixed their exchange rate against that of
another currency (which is referred to as currency pegs). Examples include the
Namibian Dollar, Swaziland Lilangeni and Lesotho Loti, which are all fixed at
a rate of 1 to the Rand for a number of years. Most recently the Nigerian Naira
has been fixed to the US Dollar (currently $1 = N119.25).
The current SAM framework in South Africa assumes the same level of
currency risk for all foreign currency exposures, regardless of whether the
foreign currency is pegged to the Rand or not. The main objective of this
research will be to assess the reasonability of this assumption.
Specifically, the objective will be to investigate whether exposures to foreign
currencies pegged to the Rand are more or less risky at various confidence
levels, compared to exposures to currencies not pegged to the Rand.
Skills required
Data manipulation in Excel

Modelling to be performed in statistical software (SAS, R, or other), or in Excel
Data sources
The project will require the student to obtain historical exchange rate data on
a range of currencies from Bloomberg (or another reputable source).
Recommended The student would need to do research to obtain a list of historical currency
reading
pegs, including the dates at which the pegs were originally introduced and the
dates at which the pegs were changed or removed (if applicable).
MS1: Shares must fall?: Identifying short selling

predictors
Supervisor
Dr Michael Paul Streatfield
Organisation
Fortitudine Vincimus Capital Advisors (Pty) Ltd

Boutique advisor of global equity long short hedge funds.
Contact details
michael@fvcadvisors.com
Project Topic/ Title
Shares must fall?: Identifying short selling predictors
Code
Max students
Description
Short selling involves selling high and buying low to benefit from
falls in asset prices. This is a hands-on investment project to explore
predictors to identify short selling candidates.
In this project, the student would explore the shorting literature to
inform hypotheses on short flags - for example, changes in short
interest - and then construct and measure their test panels success
in predicting future global equity share price deterioration. Revealing
fraud can also collapse share prices. An example of delving for
dubious behaviour is the fraud flags literature that quantitatively
scores return series in hedge funds (see Bollen & Pool (2012)).
Skills required
Keen interest in investments. Data analysis, coding skills (e.g. R), an

ability to review short selling literature, and understanding of
financial ratios. Independent thinking and curiosity.
Data sources
Financial and share data are available in Bloomberg. The researcher

will be expected to query and collect data based on metrics
established by their reading. (Screening tools and export
functionality in Bloomberg simplifies this undertaking, so no need
for laborious hand collection of data.) Appropriate transforms of
variables may require some ingenuity.
Recommended reading
Bollen, N. and V. Pool (2012). Suspicious patterns in hedge fund

returns & the risk of fraud. Review of Financial Studies, 25(9):2673
2702. Karpoff, J. M. and X. Lou (2010). Short sellers and financial
misconduct. Journal of Finance, 65(5):1879 1913.
Lamont, O. A. (2012) Go down fighting: Short sellers vs. firms.
Review of Asset Pricing Studies, 2(1):130.
PB1: Gap analysis: Are postretirement healthcare needs

met by South African financial products?
Supervisor
Organisation
Contact details
Project Topic/
Title
Code
Max students
Description
Pieter Botha
UCT
Pieter.Botha@UCT.ac.za; 021 650 5180
Gap analysis: Are post-retirement healthcare needs met by South African
financial products?
A
2
A persons future healthcare requirements are complex and uncertain, with the
complexity and uncertainty increasing with age. Medical schemes provide the
bulk of private healthcare insurance in South Africa, but not everything is or
can be covered resulting in gaps in coverage. Given these gaps, which needs
arise and which alternative or complementary products are available in South
Africa, if any, and which products are available elsewhere in the world which
could fill these gaps. It may be possible to have this study published, depending
on the quality of research output.
Skills required Big picture thinking is required given the large number of possible approaches
and sources of information. An understanding of ones healthcare needs and
how these can change over time is imperative and needs to be investigated.
An appreciation for the South African health insurance market and an
understanding of the demarcation rules governing the business of a medical
scheme and the products that can be sold by different providers is required.
This project will not require technical statistical analyses of large datasets.
Data sources
The main data sources would be published articles, the Medical Schemes Act,
the national Health Act, etc. These and other useful readings are readily
available on the internet.
Medical scheme benefit brochures are publicly available and contains a
breakdown of what is covered, or not, limits, co-payments, etc.
Students may find it helpful to consult with a financial adviser on the various
products currently available and the needs addressed by these products.
Recommended Medical schemes act - http://www.acts.co.za/medical-schemes-actreading
1998/
National Health Act - http://www.acts.co.za/national-health-act-2003/
Council for medical schemes annual report
- https://www.medicalschemes.com/publications.aspx
A Theophanides, L Wayburne, S Padayachy - africanagenda.com Looking back to look forward
J Skinner - 2007 - nber.org Are you sure youre saving enough for
retirement?
PB2: Communication of endoflife PMB benefits to

consumers
Supervisor
Organisation
Contact details
Project Topic
Title
Code
Max students
Description
Pieter Botha
UCT
Pieter.Botha@UCT.ac.za, 021 650 5180
Communication of end-of-life PMB benefits to consumers
A
2
Medical scheme benefits and the terms and conditions for eligibility for these
benefits are complex. The communication of these benefits and the attaching
terms and conditions may be ambiguous, unclear or even unavailable, adding
a further layer to the complexity. End-of-life benefits are a Prescribed
Minimum Benefit (PMB), meaning that medical schemes need to provide
these, at cost to their scheme members. Towards the end of ones life, ones
physical and/or mental ability is often severely compromised. This may result
in people not understanding which medical benefits they are eligible for and
how to claim for them. This project involves a review of the public
communication of end-of-life PMBs to scheme members by various schemes,
as well as the interpretation of these PMB regulations for end-of-life benefits
by the various schemes. Students are required to set a simple, yet objective
benchmark using both quantitative and qualitative measures, as far as possible,
for the communication of end-of-life benefits and objectively analysing various
schemes approaches to communicating these benefits and the eligibility
therefor against this benchmark. A first in this project can result in publication
of the results.
Skills required Technical statistical analysis is not required for this project, but depending on
approach selected, some basic stats may be employed and may improve the
quality of the research
A large number of approaches can be taken in setting a suitable benchmark
and evaluating the communication of scheme benefits. As such it is important
to have a clear goal from outset and to not get distracted from this goal by the
details
Good communication and articulation skills are imperative
Data sources
Medical scheme brochures and benefit guides are readily available online.
(Discovery has recently significantly improved their end-of-life benefits)
Detailed terms and conditions should be publicly available for open schemes
but might require requesting directly from the schemes.
Also, read the Medical Schemes Act, the national Health Act, etc. These and
other useful readings are readily available on the internet.
Recommended Medical schemes act - http://www.acts.co.za/medical-schemes-act-1998/
reading
National Health Act - http://www.acts.co.za/national-health-act-2003/
Council for medical schemes annual report and other PMB-related
publications - https://www.medicalschemes.com/publications.aspx
http://www.ossa.co.za/D_FP_KnowYRights.asp - descriptions and examples
of different PMB categories, etc.
B Taylor, A Taylor, D Burns, JD Rust - South African Medical , 2007 ajol.info Prescribed minimum benefitsquagmire or foundation for social
health reform?
S Ramjee, T Vieyra - Actuarial Society of South , 2014 actuarialsocietyconvention.org.za Neither here nor there: the South
African medical scheme industry in limbo

RD1: Simple calculations from census data and

interpretations thereof
Supervisor
Organisation
Contact details
Project Topic/
Title
Code
Max students
Description
Rob Dorrington
Centre for Actuarial Research, UCT
Rob.dorrington@uct.ac.za
Simple calculations from census data and interpretations thereof
A
1 (subject to maximum of 3 for all topics supervised)
Time-plotting is a method of deriving long term historical trends from
population census data by using age as a proxy for historical time. It also
provides a method for assessing the quality of census data. This project
involves applying the method to data from various censuses in South Africa
as follows (or alternatives along the same lines suggested by the student):
Estimating past fertility levels: Completed fertility for a birth cohort may be
regarded as an estimate of the period total fertility rate at the time the cohort
reaches its mean age at childbearing. This suggests that the mean numbers of
children ever born to women over age 50 years may be used to study
historical fertility trends.
Estimating past trends in numbers of births: Growth rates for standard 5
year age groups may be regarded as estimates of growth rates in past
numbers of births and be plotted over time. Given age distributions from
censuses with reference times t1 and t2, persons in the 0-4 age group at the
first and second censuses were born, respectively, during the periods [t1 - 5,
t1] and [t2 - 5, t2].
The age-specific growth rate for this age group may be regarded as an
estimate of the growth rate of numbers of births at the time mid-way
between the mid-points of these two periods, which is [(t2t1)/2]2.5. The
growth rate for this age group is plotted at this time.
Tracking proportion reaching a particular education standard over time: To
time-plot education data it is assumed, initially at least, that the distribution
of ages at which persons in a birth cohort become literate has a mean that
has been approximately constant over time. The proportion of persons
attaining a specific standard for a given age group is then plotted at the time
at which these persons reached the mean age of attaining the standard.
Skills required Excel + an ability to apply common sense to results to interpret how much is
history and how much poor data, or invalid assumptions. (Ability to work
with a statistical package (e.g. Stata) if variation in topic requires access to the
10% unit record sample)
Data sources
Census tabulations available from the Stats SA website (www.statssa.gov.za)
(SuperWeb (tabulated data) and Nesstar (for unit record data). (Links at the
foot of the home page)
Recommended Population Census as Time-Machine, Letter No. 4, which can be
reading
downloaded from http://gfeeney.com/dsitl/04-population-census-as-timemachine/

RD2: Investigation of census results

Supervisor
Organisation
Contact details
Project Topic/
Title
Code
Max students
Description
Rob Dorrington
Investigation of census results
A
The research question would be defined by the student (under the guidance
of the supervisor) after considering what data are captured by the census.
Skills required Excel + an ability to apply common sense to results to interpret, how much
is history and how much poor data, or invalid assumptions. (Ability to work
with a statistical package (e.g. Stata) if variation in topic requires access to the
10% unit record sample)
Data sources
Census tabulations available from the Stats SA website (www.statssa.gov.za)
(SuperWeb (tabulated data) and Nesstar (for unit record data). (Links at the
foot of the home page)
Recommended Questionnaires for the various censuses can be accessed from the Stats SA
reading
website (www.statssa.gov.za).

RD3: Examining whether CoaleKisker fits old age

mortality for select lives
Supervisor
Organisation
Contact details
Project Topic/
Title
Code
Max students
Description
Rob Dorrington
Examining whether Coale-Kisker fits old age mortality for select lives
(annuitants and lives assured)
A
Coale and Kisker (1986 & 1990) have examined the shape of the curve of
mortality rates for various national populations at advances ages (85+) and
devised a simple function for completing the mortality curve given
reasonably reliable rates up to and around age 85. The idea for this project is
to investigate how well this function fits mortality curves for select
populations (e.g. lives assured, annuitants, etc.) which have not used this
approach to estimate the rates at the advanced ages.
Skills required An ability to find and review literature on the topic and an ability to work in
Excel.
Data sources
Various standard life tables published by various actuarial (and other) bodies.
Most recent tables probably available electronically, but others may need to
be captured from published text.
Recommended Coale, AJ and E Kisker, E. 1990. Defects in data on old-age mortality in the
reading
United States: New procedures for calculating mortality schedules and life
tables at the highest ages, Asian and Pacific Population Forum 4(1): 1-31.

RD4: Patterns of marriage in South Africa

Supervisor
Organisation
Contact details
Project Topic/
Title
Code
Max students
Description
Rob Dorrington
Patterns of marriage in South Africa
A
Seemingly the most recent work published on patterns of marriage
(nationally and by province) is that by Kalule-Sabiti et al (2007) which is
based on the 2001 census. This project comprises applying similar (and
possibly other) methods to the data from both the Community Survey in
2007 and the 2011 Census and interpreting the results and changes over
time. (This research is particularly relevant for checking assumptions about
marriage in the Thembisa projection model, not that this will be part of this
project.)
Excel.
Data sources
Census and other tabulations available from the Stats SA website
(www.statssa.gov.za) (SuperWeb (tabulated data) and Nesstar (for unit record
data). (Links at the foot of the home page)
Recommended Kalule-Sabiti I, Palamuleni M, Makiwane M and Amoateng AY (2007).
reading
Family formation and dissolution patterns. In Families and households in
post-apartheid South Africa: socio-demographic perspectives. (A. Y.
Amoateng, Ed. HSRC Press, Cape Town. Available:
http://www.hsrcpress.ac.za.

RD5: Rewrite newASSA as xlsx

Supervisor
Organisation
Contact details
Project Topic/
Title
Code
Max students
Description
Skills required
Data sources
Recommended
reading
Rob Dorrington
Rewrite newASSA as xlsx
A
Currently the working version of the newASSA AIDS and Demographic
projection model is written using VBA compatible with Excel 2003. This
project focusses on recoding newASSA as xlsx and in the process also
tidying up some of the sheets. In addition the manual for users will have
to be updated. Thus the project entails, not simply recoding and rigorous
checking that the workbook reproduces exactly the numbers of the
existing version, but understanding how the model works sufficiently to
be able to tidy up some of the sheets and to be able to edit the users
manual.
A high level of ability to code in VBA and some ability to understand
how the model works and projects the demographic impact of
HIV/AIDS
None required.
Johnson L. THEMBISA version 1.0: A model for evaluating the
impact of HIV/AIDS in South Africa. Centre for Infectious
Disease Epidemiology and Research, University of Cape Town;
2014. Available: http://www.publichealth.uct.ac.za/publicationreports-0
ASSA2008 AIDS AND DEMOGRAPHIC MODELS USER
GUIDE
http://www.actuarialsociety.org.za/Societyactivities/CommitteeA
ctivities/DemographyEpidemiologyCommittee/Models.aspx
RD6: Relationship of mortality in labour force age range

to that in postretirement
Supervisor
Organisation
Contact details
Project Topic/
Title
Code
Max students
Description
Rob Dorrington
Relationship of mortality in labour force age range to that in post-retirement
A
Companies that underwrite annuities in South Africa require estimates of
post-retirement life expectancy of various groups in society defined by socioeconomic and other criteria. These estimates dont exist at the moment,
however, it may be possible to derive estimates of pre-retirement mortality
rates for these groups. This project investigates the possibility of being able
to project post retirement rates from pre-retirement rates and apply this to
some SA estimate of pre-retirement data
Excel.
Data sources
Mainly a review of the literature. Data on pre-retirement mortality to be
provided
Recommended ??? Coale, AJ and E Kisker, E. 1990. Defects in data on old-age mortality in
reading
the United States: New procedures for calculating mortality schedules and
life tables at the highest ages, Asian and Pacific Population Forum 4(1): 1-31.

RD7: Relational models of mortality and insurance and

pension mortality
Supervisor
Organisation
Contact details
Project Topic/
Title
Code
Max students
Description
Rob Dorrington
Relational models of mortality and insurance/pension mortality
A
Traditionally insurance mortality rates are graduated by parametric formula.
The purpose of this project is to consider whether graduation using relational
models has benefits for graduation of mortality rates, particularly where data
in certain age ranges (e.g. old ages) is less than perfect.
Excel.
Data sources
Various standard life tables published by various actuarial (and other) bodies.
Most recent tables probably available electronically, but others may need to
be captured from published text.
Recommended Hannerz, H. 2001. An extension of relational methods in mortality
reading
estimation, Demographic Research 4(Article 10): 337-368. doi:
http://dx.doi.org/10.4054/DemRes.2001.4.10
SMe1: SCR Optimisation for a life insurer

Supervisor
Susan Melmed
Organisation
KPMG
Contact details
Susan.melmed@kpmg.co.za
Project Topic/ SCR Optimisation for a life insurer

Title
Code
Max students
Description
The capital requirement to demonstrate that an insurance company is solvent

under the SAM requirements is described by the technical specifications from
the FSB. Insurance companies have spent significant resources and money to
ensure that the SCR calculation is correct and understood. These figures have
been provided to the FSB through a number of different reports. It is not only
necessary for insurance companies to ensure that they are calculating this
correctly but now to ensure that they are holding the correct assets and mix of
risks to ensure they optimise the amount of capital that is held under the SAM
regulations. The research will require investigation on the different aspects that
insurers can use to move to optimising their SCR requirement.
Skills required
Understanding of SAM regulation, Excel skills, an ability to search and review

literature.
Data sources
Data is available on this topic as it is a widely researched topic at the moment.

reading
SM1: A study of the Actuarial Science degree programmes

in South Africa
Supervisor
Sure Mataramvura
Organisation
UCT
Contact details
sure.mataramvura@uct.ac.za, 021 650 4705
Project Topic/Title
A study of the Actuarial Science degree programmes in South

Africa
Code
Max students
Description
It is now at least 5 years that Actuarial Society of South Africa

accredited some South African Universities to offer Actuarial
Science degrees under its ambit. The purpose of this study is to
review the degree programmes offered by all the universities with
the objective of determining whether the programmes are in line
with expectations, whether they are statistically different and
whether courses for similar exemptions are being taught at the same
levels throughout. Are there any major differences between
exemptions offered at universities and those by ASSA for the same
subjects? What are the challenges and opportunities facing Actuarial
Science education in South Africa and how do we overcome them.
What are the prospects of having Insurance as part of Actuarial
Science Education?
Skills required
General statistical methods of data collection and analysis.
Data sources
This project may involve interviews with people and so special

clearance may need to be obtained.
Recommended
reading
ASSA : www.actuarialsociety.org.za
SM2: Pricing a zero coupon bond in a two factor interest

rate affine model
Supervisor
Sure Mataramvura
Organisation
UCT
Contact details
Project Topic/Title
Pricing a zero coupon bond in a two factor interest rate affine model
Code
AQ
Max students
Description
Suppose that the term structure of interest rates is given by

R(0) 0
(1)
R(t) = 0 + 1Y1(t) + 2Y2(t),
where 0 0,1 > 0,2 > 0 are constants and Y1(t) and Y2(t) are factor
processes in the canonical two factor CIR model and given by
where B1(t) and B2(t) are independent standard Brownian motions.

In addition we also assume that 1 0,2 0,11 > 0,22 >
0,12 0 and 21 0
It is known that the price of a zero coupon bond bought at time t and
maturing at time T is
and that further Markov property arguments result in the price being of
the form B(t,T) = f(t,Y1(t),Y2(t)) for some function f(t,y1,y2).
The objective of this essay is to solve for P(t,T)
Where explicit solutions cannot be found numerical solutions should be
obtained.
Skills required
Basic understanding of derivative pricing ,stochastic processes and

numerical methods to pdes
Data sources
This is a part theoretical topic with main emphasis on ability to use

Recommended
reading
Steven E.Shreve. Stochastic Calculus For Finance II Continuous Time

Models
John C. Hull. Options, Futures and Other Derivatives.
SM3: A stochastic volatility model and its application to

pricing a European contingent claim
Supervisor
Sure Mataramvura
Organisation
UCT
Contact details
Project Topic/Title
A stochastic volatility model and its application to pricing a

European contingent claim
Code
AQ
Max students
Description
Assume that the underlying stock price of a European contingent

claim is given by the following stochastic volatility model:
dS1(t) = S1(t)dt + (t)S1(t)dB1(t),
S1(0) = s1
(4)
)
(5)
where ,,, are constants while B1(t) and B2(t) are independent
Brownian motions defined on some filtered probability space
(,P,Ft,F)
Assume also that the risk free rate is given by the deterministic
equation dS0(t) = rS0(t)dt
The objective of this project is to price a European contingent claim
with payoff F() = f(S1(T)) for some chosen f. In particular, the
following will be investigated:
Determine if a closed form solution to the generalized SDE
exists in literature and summarize how to obtain it. Where a
closed form solution exists, compare the solution for some
chosen numerical parameters with the numerical solution.
Use any chosen numerical method (e.g. Monte Carlo
simulation for approximating the value function and CrankNicolsons numerical method for PDE)
Skills required
Basic understanding of derivative pricing ,stochastic processes and

Data sources
This is a part theoretical topic with main emphasis on ability to use

Recommended reading
Steven E.Shreve. Stochastic Calculus For Finance II Continuous

Time Models
John C. Hull. Options, Futures and Other Derivatives.
TV1: Examination of South African Equity Long/Short

Hedge Funds
Supervisor
Tarryn Valle
Organisation
Blue Quadrant Capital Management
Contact details
tarryn.valle@gmail.com
Project Topic/ Examination of South African Equity Long/Short Hedge Funds

Title
Code
AQ
Max students
Up to 3 (subject to an overall max of 4 students on all topics)
Description
The South African hedge fund industry is currently undergoing regulatory

change and hedge funds will soon be subject to CISA rules. This means that
both retail and qualified investors will be able to access hedge funds. Equity
long/short strategies make up the majority of the hedge fund environment,
but given the higher fees and increased risk, investors should be adequately
compensated.
This project will require students to evaluate the hedge funds within the equity
long/short category do they have a persistent long bias; is there an element
of herding (all funds chasing the same trades); what are the risk-adjusted return
profiles; what is the likelihood of capital loss for investors and other pertinent
areas of evaluation.
Skills required
Excel, stats packages, data manipulation, analytical thinking.
Data sources
The supervisor can assist in sourcing data from the primary hedge fund data
provider as well as assist in providing the necessary market data.
Recommended Background reading on hedge funds, hedge fund strategies, the South African
reading
hedge fund environment., academic literature reviewing hedge fund risk
metrics etc.
TV2: Examination of South African Market Neutral Funds

Supervisor
Tarryn Valle
Organisation
Blue Quadrant Capital Management
Contact details
tarryn.valle@gmail.com
Project Topic/ Examination of South African Market Neutral Funds

Title
Code
AQ
Max students
Up to 3 (subject to an overall max of 4 students on all topics)
Description
The South African hedge fund industry is currently undergoing regulatory

change and hedge funds will soon be subject to CISA rules. This means that
both retail and qualified investors will be able to access hedge funds.
Market neutral funds are supposed to provide steady returns that are
uncorrelated to equity markets.
This project will require students to evaluate whether market neutral funds are
indeed uncorrelated. Students will also need to examine the degree of
autocorrelation within the return streams to determine if risk are being
understated by market neutral return profiles is there systemic risk building
up within these funds given their tendency to have large derivative books?
Skills required
Excel, stats packages, data manipulation, analytical thinking.
Data sources
The supervisor can assist in sourcing data from the primary hedge fund data
provider as well as assist in providing the necessary market data.
Recommended Background reading on hedge funds, hedge fund strategies, the South African
reading
hedge fund environment., academic literature reviewing hedge fund risk
metrics etc.
VA1: Fertility and womens employment in South Africa

Supervisor
Organisation
Contact details
Project Topic Title
Code
Max students
Vissho Adjiwanou
UCT
visseho.adjiwanou@uct.ac.za
Fertility and womens employment in South Africa
A
1
Description
The recent economic growth in Africa calls on the place and role of
women in the economic sphere. It is postulated that womens labor
force participation (paid work) has, at the individual level, the double
effect of reducing their level of poverty and giving them greater voice
and agency inside and outside their households. However, it is believed
that fertility may prevent women to take full advantage of the
opportunities created by the economic growth in recent years. This
research will attempt to assess how women fertility affect their
employment and will be based in South Africa. This project is able to
provide to policymakers, timely, adequate and reliable information to
implement policies that increase employment opportunities for women,
and improve their economic positions.
Systematic literature review and analysis using the software Stata
Possibility to continue in Master level with funding
Ardington, Cally, David Lam, Murray Leibbrandt, and Alicia Menendez.
2015. Fertility and mothers labour market behaviour: Evidence from
the 2011 South African Census. A Southern Africa Labour and
Development Research Unit Working Paper Number 149. Cape Town:
SALDRU, University of Cape Town.
Skills required
Opportunity
Recommended
reading
Beguy, Donatien. 2009. The impact of female employment on fertility

in Dakar (Senegal) and Lom (Togo), Demographic Research 20(7): 97128.
Cceres-Delpiano, Julio. 2012. Can We Still Learn Something From the
Relationship Between Fertility and Mothers Employment? Evidence
From Developing Countries, Demography 49(1): 151-174.
Glick, Peter. 2002. Womens Employment and Its Relation to Childrens
Health and Schooling in Developing Countries: Conceptual Links,
Empirical Evidence, and Policies. Cornell University.

Further topic ideas and supervisors

Alternatively, should you wish to do a topic that may interest an appropriate person outside the
university, or a lecturer in another department, e.g. Mathematics, Statistics, Information Systems,
Economics, etc., you should contact her or him with the proposed topic and discuss availability
as supervisor. If you propose your own topic, you need to agree the topic with the potential
supervisor and confirm availability to supervise before you seek out approval. Ideally, the
supervisor should complete the topic template along the lines of those above and submit this to
the course convenor as soon as possible after presentation of the topics to ensure the suitability
of the topic for a 4th year project.
Topic choice forms
BUS4029H (only):
Topic choices 2016
Please complete this form and hand it in to Nikki Cavernelis in LC 5.40, by 12:00 on Friday 4
March 2016.
Although we will endeavour to assign you the topic of your first choice this cannot be guaranteed
at all, and we will not enter into any discussion on the matter afterwards.
If you wish to choose a topic that is not one of the topics identified in the list by a code like DS2,
give a description of the topic, name your proposed supervisor, and confirm that the proposed
supervisor is agreeable. Please provide your proposed supervisors contact details so that we
can make him/her aware of our specifications. In other respects, follow the standard
instructions.

Name:

Student number:

Email address:

Cellphone number:

Course code:
BUS4029H
Choose exactly one topic (A or AQ) from each of the following internal supervisors:
DS

IM

JL

LdT

RD

SK
SM
Now state your first choice from all A and AQ topics:

State also two other topics you like, from all A and AQ topics:

(At least one of these three choices must be a topic of an external supervisor.
An external supervisor is one who does not work for UCT Actuarial Science.)
BUS4053H (only):
Topic choices 2016
Please complete this form and hand it in to Nikki Cavernelis in LC 5.40, by 12:00 on Friday 4
March 2016.
Although we will endeavour to assign you the topic of your first choice this cannot be guaranteed
at all, and we will not enter into any discussion on the matter afterwards.
If you wish to choose a topic that is not one of the topics identified in the list by a code like DS2,
give a description of the topic, name your proposed supervisor, and confirm that the proposed
supervisor is agreeable. Please provide your proposed supervisors contact details so that we
can make him/her aware of our specifications. In other respects, follow the standard
instructions.

Name:

Student number:

Email address:

Cellphone number:

Course code:
BUS4053H
Choose exactly one topic (Q or AQ) from each of the following internal supervisors:
DS

IM

SM

Now state your first choice from all Q and AQ topics:

State also two other topics you like, from all Q and AQ topics:

(At least one of these three choices must be a topic of an external supervisor.
An external supervisor is one who does not work for UCT Actuarial Science.)

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Actuarial

Science and Quantitative Finance

JW2: Cyber insurance in South Africa ................................................................................................................... 28

CM1: Estimating the outstanding claims liabilities of the

CM2: Estimating the outstanding claims liabilities of the

CM3: Evaluating the client value of telcosurance on the

DB1: Estimating the extent of subsistence farming in

Contact details debbie.budlender@gmail.com or 0214479852 or 0825796697

A (Actuarial Science only)

Up to 2 subject to max of 2 for both topics

DB2: Assessing mens takeup of the old age grant

A (Actuarial Science only)

DS1: An alternative explanation of the equity risk

Recommended Campbell, J. (2003). Consumption-based asset pricing, in G. Constantinides,

DS2: The relationship between income and mortality in

An interest in life insurance, an ability to search and review literature, creative

Mortality experience data will be provided.

EF1: Systematic Testing of Systematic Trading Strategies.

EF2: Alternative and New methods for measuring fund

EF3: Static Replication of Capped Variance Swaps

Contact details emlynf@peregrine.co.za

Static Replication of Capped Variance Swaps

1 (subject to a maximum of 2 students on the 3 topics)

This is a heavily mathematical project aimed at students inclined towards

EG1: Relative importance of idea generation and risk

EG2: Value risk premia and economic conditions

A/Prof Evan Gilbert

This is a challenging research topic as the methodology is less clearly defined.

HO1: Global risk aversion and emerging market exchange

IlM1: Retrenchment insurance: An overview

021 4600440 illana@eighty20.co.za

Project Topic/ A review of house price indices in South Africa

An ability to search and review literature and assess methodologies for

Various house price indices plus documentation on methodologies to be

Recommended Handbook on Residential Property Prices Indices (RPPIs) published by

IM: General remarks

IM1: Maximum penalized likelihood, the EM algorithm

Probability and Statistics at third-year level. Interest in

IM2: Hidden Markov models for longitudinal data

IM3: Reversibility in Markov chains and hidden Markov

JC1: Comparison of loss reserving techniques based on

A (Actuarial Science only)

JL1: The use of imputations in the expenditure data of the

Contact details Joanna.legutko@uct.ac.za

2 (subject to max of 5 in total for supervisor)

The National Income Dynamics dataset collects detailed information on South

The students will be using STATA so a willingness to learn this package is

JL2: The relationship between income and expenditure in

Contact details Joanna.legutko@uct.ac.za

2 (subject to max of 5 in total for supervisor)

The National Income Dynamics Study (NIDS) collects information on the

The students will be using STATA so a willingness to learn this package is

Finn, A., M. Leibbrandt, and I. Woolard. "Income and expenditure inequality:

JL3: Application of the behavioural lifecycle hypothesis

Contact details Joanna.legutko@uct.ac.za

2 (subject to max of 5 in total for supervisor)

The behavioural life-cycle hypothesis, first posited by Shefrin and Thaler in

JT1: Event Study: Investigating the impact of external

Up to 2 (subject to max of 2 for JT1+MM1)

Can it be statistically proven that shares in different sectors

An example that can be investigated is the markets reaction to the recent

Data manipulation in Excel

JW1: SCR Optimisation for a nonlife insurer