Mary Hardy | Statistics and Actuarial Science

Contact Information:
Mary Hardy

Research:

My research focuses on risk management strategies for long term contingent risks. The work is problem-driven, using theory and methodology from financial engineering, statistics and actuarial science. Much of my current research seeks to measure and promote fairness, efficiency and transparency in the design and implementation of insurance and pension risk solutions.

Education:

BSc Mathematics, Royal Holloway College, University of London, 1979.

Postgraduate Diploma in Mathematics Education, Chelsea College, University of London, 1980.

PhD (Actuarial Mathematics): Heriot-Watt University, 1994.

Professional Qualifications:

Fellow of the Institute of Actuaries: 1988

Fellow of the Society of Actuaries: 2003

Chartered Enterprise Risk Analyst: 2007

Honours and Awards

Finlaison Medal of the Institute and Faculty of Actuaries, 2012.

Distinguished Volunteer Service Award, Society of Actuaries, 2020.

Harold D Skipper Award, 2011 (Joint with J. S.-H. Li) .

Bob Alting von Geusau Prize, 2003 (Joint with P. P. Boyle)

Publications

Books

Hardy, M.R. and Saunders, D. (2021) Quantitative Enterprise Risk Management; forthcoming.

Dickson, D. C. M., Hardy, M. R. and Waters H. R. (2020) Actuarial Mathematics for Life Contingent Risks (3^rd Edition). Cambridge University Press.

Dickson, D. C. M., Hardy, M. R. and Waters H. R. (2020) Actuarial Mathematics for Life Contingent Risks – Solutions Manual (3^rd Edition). Cambridge University Press.

Hardy, M.R. Investment Guarantees. (2003) Wiley Finance.

Refereed journals and conference proceeding.

Dang, J. O., Feng, B.M, & Hardy, M. R. (2020) Efficient Nested Simulation for Conditional Tail Expectation of Variable Annuities, North American Actuarial Journal, 24:2, 187-210.
Zhu, X., Hardy, M., & Saunders, D. (2019). Valuation of an early exercise defined benefit underpin hybrid pension. Scandinavian Actuarial Journal, 1-22.
Dang, J. O., Feng, B.M, & Hardy, M. R. (2019) , "Efficient Nested Simulation Of Tail Risk Measures," 2019 Winter Simulation Conference (WSC), National Harbor, MD, USA, 2019, pp. 938-949.

Zhang S, Hardy M, Saunders D. (2018). Updating Wilkie’s Economic Scenario Generator for U.S. Applications. North American Actuarial Journal 22.
Zhu, X., Hardy, M. R., & Saunders, D. (2018). Dynamic Hedging Strategies for Cash Balance Pension Plans. ASTIN Bulletin 48 1-31.
MacKay, A., Augustyniak, M., Bernard, C., & Hardy, M. R. (2017). Risk Management of Policyholder Behavior in Equity Linked Life Insurance. Journal of Risk and Insurance 84(2): 661-690
Li, Johnny Siu-Hang, Rui Zhou, and Mary Hardy. (2015) A step-by-step guide to building two-population stochastic mortality models. Insurance: Mathematics and Economics 63 121-134.
Hardy M. R., Saunders D. and Zhu M. X. (2014) Market consistent valuation and funding of Cash Balance pensions. North American Actuarial Journal, Volume 18, Number 2.
Carole Bernard, Mary Hardy and Anne Mackay (2014). State-Dependent Fees for Variable Annuity Guarantees. ASTIN Bulletin, 44, pp 559-585.
MacDonald B-J, Jones B., Morrison R.J., Brown R.L. and Hardy M.R. (2013) Research and Reality: A Literature Review on Drawing Down Retirement Financial Savings. North American Actuarial Journal Vol. 17.3, 181-215.
Marshall C., Hardy M. R. and Saunders D. (2012) Measuring the effectiveness of static hedging strategies for a Guaranteed Minimum Income Benefit. North American Actuarial Journal 16.2 (2012): 143-182.
Ji, M., Hardy, M.R., & Li, J. S. H. (2012). A Semi-Markov Multiple state model for reverse mortgage terminations. Annals of Actuarial Science, 6(2), 235.
Ji, M., Hardy, M.R. and Li, J.S-H. (2011) Markovian Approaches To Joint Life Mortality. North American Actuarial Journal. 15(3) 357-376.
Li J.S-H., Hardy M.R.(2011) Measuring Basis Risk involved in Longevity Hedges. North American Actuarial Journal. 15(2).
Li J.S-H., Hardy M.R. and Tan K.S. (2010) Developing Mortality Improvement Formulae: The Canadian Insured Lives Case Study. North American Actuarial Journal. 14(4) 381-399.
Marshall, C., Hardy, M.R, and Saunders D. (2010) Valuation of a Guaranteed Minimum Income Benefit. North American Actuarial Journal 14(1) 40-58.
Li J.S-H., Hardy M.R. and Tan K.S. (2010) Pricing and Hedging the No-Negative-Equity-Guarantee in Equity Release Mechanisms. Journal of Risk and Insurance 77(2) 499-522.
Chen K. and Hardy M. R. (2009) The DB underpin hybrid pension plan: fair valuation and funding. North American Actuarial Journal 13(4) 407-424.
Kim J. H. T. and Hardy M. R. (2009) Estimating the variance of bootstrapped risk measures. ASTIN Bulletin 39(1) 199-223.
Li J. S-H., Hardy M. R. and Tan K. S. (2009) Uncertainty in modelling forecasting: an extension to the classical Lee-Carter approach. ASTIN Bulletin 39(1) 137-164.
Kim J.H.T. and Hardy M.R. (2009) A capital allocation based on a solvency exchange option. Insurance, Mathematics and Economics 44(3) 357-366.
Li J.S-H., Hardy M. R. and Tan K. S. (2008) Threshold Life Tables and Their Applications. North American Actuarial Journal 12(2) 99-115 .
Kim J. H. T. and Hardy M. R. (2007) Quantifying and correcting the bias in estimated risk measures. ASTIN Bulletin 37(2), 365-386.
Hardy M.R., Freeland R. K, and Till M.C.(2006) Bootstrap Validation of Long Term Equity Models. North American Actuarial Journal 9.4.
Boyle P.P. , Hardy M.R. and Vorst T. (2005) Life after VaR. Journal of Derivatives 13:1, 48-55.
Hardy M. R. and Wirch J. L. (2004) The Iterated CTE – a dynamic risk measure. North American Actuarial Journal 8.4 62-75.
Boyle P.P. and Hardy M.R. (2003) Guaranteed annuity options. ASTIN Bulletin. 33.2 125-152.
Hardy M.R. (2002) Bayesian risk management for equity linked insurance. Scandinavian Actuarial Journal 2002; 3: 185-211.
Hardy M.R. (2001) A regime switching model of long term stock returns. North American Actuarial Journal 5.2 41-53.
Hardy M R (2001) Investment Guarantees in Equity-Linked Insurance: The Canadian Approach. Proceedings of the 10th AFIR Colloquium, September 2001.
Hardy M.R. (2000) Hedging and reserving for single premium segregated fund contracts. North American Actuarial Journal 4 2 63-74.
Wirch J L and Hardy M R (2000) Ordering of Risk Measures for Capital Adequacy. Proceedings of the 9th AFIR colloquium, July 2000.
Hardy M R (1999) Maturity Guarantees: Hedging and Reserving. Proceedings of the Symposium on Financial Guarantees, New York 1999. Society of Actuaries.
Wirch J.L. and Hardy M.R. (1999) A synthesis of risk measures for capital adequacy. Insurance: Mathematics and Economics. 25 337-347. December 1999.
Hardy M.R. and Panjer H. (1998) A credibility approach to mortality risk. ASTIN Bulletin 28, pp 269-283.
Boyle P.P. and Hardy M.R. (1997) Two approaches to reserving for maturity guarantees. Insurance: Mathematics and Economics, 21, 113-127
Hardy M R (1997) Reserving for Maturity Guarantees. Proceedings of the 6th AFIR colloquium, August 1997.
Hardy M.R. (1996) Simulating the relative insolvency of life insurers. British Actuarial Journal, 2:IV, 1003-1020.
Hardy, M R (1994) Incorporating Individual Life Company variation in simulated equity returns. Proceedings of the 4th AFIR colloquium, April 1994.
Hardy M.R. (1993) Stochastic simulation in life office solvency assessment. Journal of the Institute of Actuaries, 120:II 131-152.
Hardy M R (1992) Stochastic and deterministic life office solvency. MORE International Conference Proceedings, August 1992.
Hardy M R (1991) Aspects of of assessment of life insurance solvency. Third international conference on Insurance Finance and Solvency. Rotterdam, May 1991.
Hardy M.R., Dickson D.C.M, Paterson L.J. (1990) Examining the examiners; perspectives on actuarial education. Journal of the Staple Inn Actuarial Society, 32 145 – 165.

Working Papers and Recent Technical Reports

Dang, J. O., Feng, B.M, and Hardy, M. R. (2020) Dynamic Importance Allocated Nested Simulation for Variable Annuity Risk Measurement. Under review. Available at SSRN.
Hardy M. R., Saunders D. and Zhu X. (2020) Risk Sharing Pension Plans: sustainability, adequacy, fairness and transparency. Report for the National Pension Hub, Global Risk Institute.
Zhu, Xiaobai Mike and Hardy, Mary R. and Saunders, David. (2020) Structure of Intergenerational Risk-Sharing Plans: Optimality and Fairness (July 9, 2020). Under second review. Available at SSRN.
Zhang, S., Hardy, M. R., & Saunders, D. (2018). Retirement Consumption, Risk Perception and Planning Objectives. Canadian Institute of Actuaries.
Zhu, Xiaobai Mike and Hardy, Mary R. and Saunders, David. (2020) Fair transitions from defined benefit to target benefit . Under review. Available at SSRN.

Editorships

Editor-in-Chief of Annals of Actuarial Science (2005-2008)

Editor-in-Chief of the North American Actuarial Journal (2008-2013)

Associate editor of ASTIN Bulletin.

Professional and Industry Engagement

Member of the Board of Directors of the Society of Actuaries (2004-2007)

Vice President of the Society of Actuaries (2007-2009).

Member of the Advisory Board of Assuris, Canada (2011-2014).