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Research Output 2010–12

Over the past three years the staff in the Actuarial Science programme (including CARe and the Institute of Applied Statistics) produced the following research output.

Peer–reviewed Publications:

  • Johnson‚ L. F.‚ Dorrington‚ R. E.‚ Bradshaw‚ D. and Coetzeesbquo; D. J. 2012. "The role of sexually transmitted infections in the evolution of the South African HIV epidemic"‚ Tropical Medicine & International Health 17(2): 161–168.
  • Johnson‚ L. F.‚ Davies‚ M–A.‚ Moultrie‚ H.‚ Sherman‚ G. G.‚ Bland‚ R. M.‚ Rehle‚ T. M.‚ Dorrington‚ R. E. and Newell‚ M–L. 2012. "The effect of early initiation of antiretroviral treatment in infants on paediatric AIDS mortality in South Africa: a model–based analysis"‚ Pediatric Infectious Disease Journal 31(5): 474–480.
  • Johnson‚ L. F.‚ Stinson‚ K.‚ Newell‚ M–L.‚ Bland‚ R. M.‚ Moultrie‚ H.‚ Davies‚ M–A.‚ Rehle‚ T. M.‚ Dorrington‚ R. E. and Sherman‚ G. G.. 2012. "The contribution of maternal HIV seroconversion during late pregnancy and breastfeeding to mother–to–child transmission of HIV"‚ Journal of AIDS 59(4): 417–425.
  • Johnson‚ Leigh F.‚ Hallett‚ Timothy B.‚ Rehle‚ Thomas M.‚ Dorrington‚ Rob E. 2012. "The effect of changes in condom usage and antiretroviral treatment coverage on HIV incidence in South Africa: a model–based analysis"‚ Journal of the Royal Society Interface 9: 1544–1554.
  • Moultrie‚ T. A. and Dorrington‚ R. E. 2012. "Used of Ill; Used for Good: A century of collecting data on race in South Africa"‚ Journal of Ethnic and Racial Studies 35(8):1447–1465 http://dx.doi.org/10.1080/01419870.2011.607502
  • Kerber‚ K.‚ Tuone–Nkhasi‚ M.‚Dorrington‚ R.E.‚ Nannan‚ N.‚ Bradshaw‚ D.‚ Jackson‚ D. and Lawn‚ J.E. 2012. "Progress towards Millennium Development Goal 4"‚ Lancet (letter)379 (9822): 1193.
  • Bradshaw‚ D. and Dorrington‚ R. E. 2012. "Maternal Mortality Ratio – trends in the vital registration data"‚ South African Journal of Obstetrics & Gynaecology 18(2): 38–42.
  • Nannan‚ N.‚ Dorrington‚ R.E.‚ Laubscher‚ R.‚ Zinyakatira‚ N.‚ Prinsloo‚ M.‚ Darikwa‚ T.B.‚ Matzopoulos R.‚ Bradshaw D. Under–5 mortality statistics in South Africa: Shedding some light on the trends and causes 1997–2007. Cape Town: South African Medical Research Council‚ 2012. ISBN: 978–1–920014–85–8.
  • Bradshaw‚ D.‚ Dorrington‚ R.E. and Laubscher‚ R. Rapid Mortality Surveillance Report 2012. Cape Town: South African Medical Research Council‚ 2012. ISBN: 978–1–920618–00–1.
  • Moultrie‚ T.A.‚ Sayi‚ T.S. and Timæus‚ I.M. 2012. "Birth intervals‚ postponement‚ and fertility decline in Africa: A new type of transition?"‚ Population Studies 66(3):241–258. doi: http://dx.doi.org/10.1080/00324728.2012.701660
  • Gonçalves‚ S.D. and Moultrie‚ T.A. 2012. "Short preceding birth intervals and child mortality in Mozambique"‚African Journal of Reproductive Health 16(4):29–42.
  • Mataramvura‚ S. 2012. "The Malliavin derivative and application to pricing and hedging a European exchange option"‚ Journal of Mathematical Finance 2: 280–290 doi: 10.4236/jmf.2012.24031
  • Langrock‚ R.‚ MacDonald‚ I.L. and Zucchini‚ W. 2012. "Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models". Journal of Empirical Finance 19: 147–161
  • Davis‚ R.W.D. and Kendall‚ S. 2012 "Surplus? What surplus? Did the Pension Funds Second Amendment Act achive its aims?" South African Actuarial Journal 12: 97–128
  • Kruger‚ R.‚ Toerien‚ F. and MacDonald‚ I. L. 2012. Nonlinear serial dependence in share returns on the Johannesburg Stock Exchange. The African Finance Journal 14: 64––84.
  • Joubert‚ J.‚ Rao‚ C.‚ Bradshaw‚ D.‚ Dorrington‚ R.E.‚ Vos‚ T. and Lopez‚ A. (2012). "Characteristics‚ availability and uses of vital registration and other mortality data sources in post–democracy South Africa"‚ Global Health Action 5: 19263 – http://dx.doi.org/10.3402/gha.v5i0.19263

  • Polakow‚ D. 2011. "The long and active existentialist"‚ Journal of Asset Management12(1): 1–10
  • Strugnell‚ D.‚ Gilbert‚ E. and Kruger‚ R. 2011."Beta‚ size and value effects on the JSE‚ 1994–2007"‚ Investment Analysts Journal 74: 1–17.
  • Johnson‚ L. F.‚ Dorrington‚ R. E.‚ Bradshaw‚ D. and Coetzee‚ D. J. 2011. "The effect of syndromic management interventions on the prevalence of sexually transmitted infections in South Africa"‚ Sexual & Reproductive Healthcare 2: 13–20.
  • Johnson‚ L. F.‚ Dorrington‚ R. E. and Bradshaw‚ D. 2011. "The role of immunity in the epidemiology of gonorrhoea‚ chlamydial infection and trichomoniasis: insights from a mathematical model"‚ Epidemiology and Infection 139: 1875–1883.
  • Dorrington‚ R. E. and Bradshaw‚ D. 2011. "Maternal mortality in South Africa – lessons from a case study in the use of deaths reported by households in censuses and surveys"‚ Journal of Population Research 28(1):49–73.
  • Darikwa‚ T. B. and Dorrington‚ R. E. 2011. "The level and trends of child mortality in South Africa‚ 1996–2006"‚ Journal of African Population Studies 25‚ 1 (Supplement): 158–172.
  • Machemedze‚ T. and Dorrington‚ R. E. 2011. "Levels of mortality of the South African aged population using the method of extinct generations"‚ Journal of African Population Studies 25‚ 1 Supplement): 63–76.
  • Nannan‚ N.‚ Bradshaw‚ D. Laubscher‚ R. Herbst‚ K. and Dorrington‚ R. E. 2011. "Reversal in childhood mortality trend in rural KwaZulu–Natal‚ South Africa"‚ Journal of African Population Studies 25‚ 1 (Supplement):144–158.
  • Chisumpa‚ V.H. and Dorrington‚ R. E. 2011. "Estimating adult mortality in Zambia using information on survival of parents from surveys"‚ Journal of African Population Studies 25‚ 1 (Supplement): 113–126.
  • Mataramvura‚ S.2011. "Valuation of Inflation–Linked Annuities in a Lévy Market‚" Journal of Applied Mathematicsvol. 2011‚ Article ID 897954. doi: http://10.1155/2011/897954

  • Gregson‚ S.‚ Gonese‚ E.‚ Hallett‚ T. B.‚ Taruberekera‚ N.‚ Hargrove‚ J. W.‚ Lopman‚ B. A. et al. 2010. "HIV decline due to reductions in risky sex in Zimbabwe? Evidence from a comprehensive epidemiological review"‚ International Journal of Epidemiology 39(5): 1311–1323
  • Johhnson‚ L F‚ Alkema L and Dorrington R E. 2010 "A Bayesian approach to uncertainty analysis of sexually transmitted infection models"‚ Sex Transm Infect 86: 169–174.
  • Dorrington R E‚ Bradshaw D. 2010. "AIDS–related mortality in South Africa". In: Abdool Karim SS‚ Abdool Karim Q‚ editors. HIV/AIDS in South Africa 2nd ed. Cape Town: Cambridge University Press.
  • Polakow‚ D. A. 2010. "If a portfolio manager who cannot count finds a four–leaf clover‚ is he still lucky?"‚ Investment Analysts Journal 72(43): 17–35.
  • Gilbert‚ E. and Strugnell‚ D. 2010."Does survivorship bias really matter? An empirical investigation into its effects on the mean reversion of share returns on the JSE (1984–2007)"‚ Investment Analyst Journal 72: 31–42.
  • Ramjee‚ S. and McLeod H. 2010. "Private Sector Perspectives on National Health Insurance". In: Fonn S‚ Padarath A‚ editors. South African Health Review 2010. Durban: Health Systems Trust; 2010. URL: http://www.hst.org.za/publications/876

Other publications:

Reports and other research publications (for which one or more members of the staff were co–authors):

  • Continuous Statistical Investigations Committee. Annuitant Mortality 2001–2004. Actuarial Society of South Africa‚ April 2012.
  • Dorrington RE and TA Moultrie. 2012. Population projections for the Western Cape 2001–2025. Centre for Actuarial Research‚ University of Cape Town
  • Mayanja F.‚ Mataramvura S. and Mahera W. 2012 Portfolio optimization model: The case of Uganda securities exchange. LAP LAMBERT Academic Publishing‚ e–Book‚ ISBN978–3–8484–4916–3

  • HDACC. 2011 Health Data Advisory and Co–ordination Committee (HDACC) Report. Department of Health‚ November 2011.
  • Continuous Statistical Investigations Committee. Critical Illness 2000–2003. Actuarial Society of South Africa‚ December 2011.
  • Continuous Statistical Investigations Committee. Disability Lump sum 2000–2003. Actuarial Society of South Africa‚ December 2011.

  • Continuous Statistical Investigation Committee. Assured Lives Mortality Investigation 1999–2002. Actuarial Society of South Africa‚ 2010.


Combined (the Actuarial programme‚ Centre for Actuarial Research and the Institute of Applied Statistics) has successfully supervised or co-supervised 32 masters graduates and one PhD student. Three staff members received research degrees‚ namely:


Dave Strugnell MPhil Beta&sbqup; size and value effects on the JSE 1994–2007
Shivani Ramjee MBusSc The Construction of a price index for the South African Medical Scheme Industry
John Clur MSc Nonparametric smoothing in extreme value theory

Research funding
A total of R5.85 million research funding was raised by staff over the three years. The bulk of this going to fund the three research entities.

Conferences and workshops
Members of the staff presented papers at 27 conferences and workshops‚ more than half international.

Reviewing papers and funding applications<
Members of the staff reviewed a total of 52 papers submitted to peer‚reviewed journals and funding applications‚ etc.‚ over the three years 2010–12‚ the majority of which were articles for international journals.

Prizes and other accomplishments


  1. Iain MacDonald awarded the Sichel medal‚ from SASA – co–author of best published paper in 2012.
  2. Rob Dorrington co–authored papers which were earned prizes for best published paper and best paper at the annual Convention of the Actuarial Society of South Africa.
  3. Rob Dorrington appointed to the Scientific Oversight Committee of the Institute of Health Metrics and Evaluation at the University of Washington
  4. African Collaboration for Quantitative Finance & Risk Research (ACQuFRR) established under directorship of David Taylor.

  1. Johan du Plessis awarded the ASSA prize for the best honours project in 2010.
  1. Megan Henderson awarded the ASSA prize for the best honours project in 2009.
  2. Institute of Applied Statistics (www.institute-applied-statistics.org.za/index.htm) launched under directorship of Daniel Polakow.

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