Researcher of the Month Dr. Carolyn Njenga- Insurer Longevity Risk Modelling
Mrs, mummy, and then a Dr. is how Carolyn Ndigwako Njenga summarizes who she is. A young motivated actuarial researcher who has achieved great strides in life especially in academia, and has still managed to be the best wife and mother to her family. The mother of two is proud of her achievements and is set to go further when opportunities present themselves.
Carolyns research involved modeling the longevity (a nicer way of thinking of mortality) risk of Australians. Her research impacted the prescribed method of calculating the longevity stress margin applied in determining risk-based capital for annuity products.
Carolyn is a lecturer and the Academic Director at Strathmore Universitys School of Finance and Applied Sciences (SFAE).
What is your Background?
For my education background: I attended Precious Blood Riruta High School where I got a mean grade of A- in the KCSE national examinations. After high school between 2002-2005 I pursued a Bachelor of Science in Actuarial Science (BSc) from Jomo Kenyatta University of Agriculture and Technology (JKUAT) where I graduated with a 1st class honors. In 2006 I studied the Master of Science in Applied Statistics (also at JKUAT).
My next academic venture was my PhD. I received a scholarship from the University of New South Wales (UNSW) in Sydney, Australia, where I was a PhD candidate in Actuarial studies between 2008 and 2012.
After finishing my undergraduate I chose to work before applying for my masters, so I took up an internship position at Alexander Forbes Brokers, now Eagle Africa. Although my work environment was good, I knew I needed to go back to school and do a masters because I wanted work in academia. I always loved teaching; I used to be called a professor by my friends. While doing that internship in 2005, I was offered a position to be a teaching assistant which I took based on my passion for teaching and this was the beginning of my postgraduate studies journey. The course I studied for as my Masters Degree from 2006 was not exactly in line with what I had studied for my undergrad but I signed up for it anyway because as an academic I had to pursue a masters and it was the closest course to actuarial science available locally. In order to remain in the Actuarial field, I applied for a masters in Actuarial Science abroad because at the time there were no local postgraduate actuarial programs.
Due to my good undergraduate grades and a research project I did, I was advised to apply for a PhD instead of a masters by research. I submitted my application with a lot of skepticism since there was only one spot being offered for admission. During that period of application, I got engaged and once I received the offer I was conflicted on whether to stay and get married or leave to study. My fiancé (now my husband) pushed me to go for the PhD stating that any opportunity to study would build our family in the end and that is far much better than any other option. I therefore took up the offer and worked at starting the program in March 2008.
What was your PhD Research on?
My Thesis Title is: Longevity Risk Modelling with Application to Insurer Longevity Risk Based Capital Stress Margins
At UNSW, a PhD thesis needed to make three original contributions to the existing body of knowledge. My research included analyzing trends in mortality in developed countries, building a dynamic mortality model for Australia and then applying the model in a risk-based scenario. This is important because in todays business environment insurers and regulators need to identify and understand the risks that are dominant. They then manage the risks primarily by holding capital. In previous regimes, the amount of capital to hold was not a true reflection of the amount of risk borne by a company. We are now shifting towards regulations that require players in the financial services to hold capital commensurate with the amount of risk they have exposed themselves to risk-based capital.
I was keen on finding out how mortality varies with time since this will directly affect how long (and consequently how much) pension schemes and annuity providers will need to pay their members. I worked at analyzing the uncertainty surrounding how long people will live.
People are living longer and there is a lot of uncertainty as to how much mortality levels will improve in the long run. This is of key interest to providers of life insurance and life annuities since it has a direct influence on their cash-flows.
In the regulations that were to be introduced in Australia (remember this was work that was completed in 2011 so things have changed somewhat) some aspects were similar to those in Solvency II (the European insurance regulations set up to guide insurance companies on how much capital they should hold). The Australian Prudential Authority (APRA)’s requirement was similar to that in Solvency II as the level of capital must be sufficient to meet unexpected shocks (stress) over a one year horizon and also meet its obligations to its policyholders up to the end of that one year horizon with a probability of 99.5%. This involved assuming that a 1 in 200 year event would happen i.e. mortality rates would suddenly drop drastically. The quantification of the word drastically was (and still is) a contentious definition. In Solvency II it was defined as 25% drop while in my findings it was at most 15%. After a discussion – during the QIS (Quantitative Impact Studies) of the then proposed regulations – where I presented my work they re-defined the description of drastic to a more realistic 20% drop in mortality rates.
My supervisor was Professor Michael Sherris. He was the Australian Actuary of the year 2007 (amongst many other accolades).
For a while I was the only person with a PhD in Actuarial Science in Kenya.
After the PhD
I worked for about 6 months as a research assistant after completing and submitting my PhD thesis for examination in August 2011. I worked at the Australian Research Councils Centre of Excellence in Population Ageing Research (CEPAR) at the Australian School of Business. I was exposed to industry-academia collaborative projects. Those are very fruitful.
My husband and I had discussed settling in Australia but my heart was not there at the time. As a result we chose to move back to Kenya.
Benefits of the PhD to you
During my PhD candidature, I received the 2009 Asia-Pacific Risk and Insurance Association Harold D. Skipper Best Paper in Global Insurance Award. That was really wonderful!
I learnt a lot during this period. My supervisors system of how research can be done effectively: slow and steady like a marathon; not fast and in bursts like a sprint. Therefore every week I had to meet my supervisor and I needed to have progressed a step ahead. It worked! And I got to live my life while at it. I summarize it as: one year into my PhD I got married; one year later, I had my first child; then one year after that, I handed in my thesis.
By the way I got my PhD when I was 29 years old.
Challenges faced while doing the PhD
- My first challenge was with the finances as the money I had for stipend was adequate but not as much as I would have desired. It was better when I started working as a research assistant and tutor. Thankfully, with time they revised the stipend up because the cost of living in Sydney was expensive.
- My first year was also challenging as I was remotely planning my wedding from Australia (which is in a VERY different time zone), and also generally the fact that my family was far and I was all by myself.
- The last six months of my PhD were harrowing as one of my close relatives in Kenya was diagnosed with a terminal disease and although I wanted to be there for them I was far away.
Are you a Natural A Student?
No. I do not think am a natural A student, I pass in the subjects I am interested in. I read quite a fair bit, but not more than other people. In high school we were taught to get our 8 hours of sleep at night, and read between 6am and 9pm in a day. I therefore practiced the same system even while at university for my undergrad. Later in life I had to modify things a bit.
What motivates you to do well?
I dont gauge myself with other people, I set my own goals. I always ask myself if I have done my absolute best; if the outcomes turn out to be less than others it should not matter as I had done my best; if the outcome is better – kudos to me.
Plans for the next 5-10 years
I seek to qualify as a Fellow of the Institute and Faculty of Actuaries (UK).
Do you look up to anyone?
I do not have a role model but I do have certain people I admire: my mother, who was very resilient and nothing would hold her down.
I also look up to my former PhD supervisor who was good at what he did and had very good work ethics all while being humble, humorous and easygoing.
Advise to Aspiring PhD Students
I would advise them to plan themselves i.e. time, finances, goals and other commitments carefully. This is because undertaking quality doctoral research is not easy and requires a whole lot of time and dedication. Set clear little goals and achieve them, which will lead to the bigger goal.
I would also advise them to allow life to happen, but having their goals and working steadily.
I love cooking, I can make pasta from scratch. 🙂 I also love watching food channels to try out new things.