Research and Actuarial Projects

My work focuses on actuarial science, climate-linked derivatives, stochastic modeling, numerical pricing methods, and risk management. My background combines traditional actuarial modeling in life insurance and property-casualty insurance with newer applications in weather risk, carbon markets, and climate-linked financial products.

Current Research

Pricing Temperature Derivatives under Stochastic Volatility Jump Models

This project studies pricing methods for temperature-based weather derivatives written on Heating Degree Day (HDD), Cooling Degree Day (CDD), and cumulative temperature indices. The project develops and compares Monte Carlo simulation and Fast Fourier Transform methods under stochastic volatility and jump dynamics.

Keywords: weather derivatives, temperature indices, stochastic volatility, jump processes, Monte Carlo, FFT.

Status: Working paper / manuscript in preparation.

Carbon Futures Option Pricing under Stochastic Volatility with Parameter Uncertainty

This project examines robust pricing of carbon futures options when model parameters are uncertain. The work considers stochastic volatility models and studies how parameter uncertainty affects derivative valuation and risk assessment in carbon markets.

Keywords: carbon markets, futures options, stochastic volatility, parameter uncertainty, robust pricing.

Status: Working paper in progress.

Earnings Stabilization under Carbon Exposure

This project studies how firms exposed to carbon price and emissions uncertainty can use carbon futures and options to stabilize profit distributions. The analysis focuses on simulation-based risk assessment and the role of hedging strategies in managing downside exposure.

Keywords: carbon exposure, hedging, futures, options, earnings stabilization, risk management.

Status: Ongoing research project.

Season-Specific Stochastic Modeling of Thai Temperature Dynamics

This proposed project studies whether Thai temperature dynamics can be modeled more effectively by separating the year into Thailand’s three main seasons: summer, rainy season, and winter. The goal is to examine whether each season has different temperature patterns, volatility, persistence, mean reversion, and local seasonal behavior.

The project proposes a seasonal-basket framework and compares it with a standard annual temperature model. The model is intended to support future weather-risk applications, including improved temperature modeling, rainfall extensions, and weather derivative pricing.

Keywords: Thai temperature dynamics, seasonality, stochastic modeling, mean reversion, weather risk, climate data.

Status: Proposed research extension.

Previous Research

Thai Mortality Modeling using a Random Field Memory Model

This master's research project investigated mortality forecasting for the Thai population using a Three-Level Memory random field model. The study compared forecasting performance against the Lee-Carter and Age-Period-Cohort models using Thai mortality data.

The project examined cohort effects, diffusion phenomena, and long-term mortality trends relevant to actuarial applications such as life insurance, pensions, and longevity risk management.

Keywords: mortality forecasting, longevity risk, Lee-Carter model, Age-Period-Cohort model, random fields, actuarial science.

Status: Master's research project, Chulalongkorn University (2019).

Selected Actuarial Projects

Comparative Analysis of Thai Mortality and Annuity Tables

This project compared multiple Thai mortality and annuity tables across age, sex, and insurance type. The analysis examined how mortality assumptions differ across ordinary life, industrial life, and annuity tables, and how these differences matter for actuarial pricing and valuation.

Keywords: mortality tables, annuity tables, life insurance, actuarial valuation, Thai insurance market.

Design and Pricing of a Whole Life 99/20 Insurance Product

This project developed a pricing and valuation framework for a whole life insurance product with lifetime coverage and a 20-year premium payment period. The work included mortality assumptions, interest assumptions, expense assumptions, premium formulas, reserve calculations, surrender values, paid-up values, extended term insurance values, and substandard risk loadings.

Keywords: life insurance pricing, whole life insurance, reserves, surrender value, actuarial product design, premium calculation.

Motor Insurance Net Premium Pricing using Loss Distributions

This project estimated net premiums for Thai motor insurance using historical claims experience. The analysis modeled claim frequency and severity by vehicle age and coverage type, including Own Damage, Fire and Theft, Third Party Property Damage, and Third Party Bodily Injury.

The project applied statistical loss models such as Poisson frequency models and severity distributions including lognormal, loglogistic, and Weibull models. It also examined how deductibles affect the resulting net premium.

Keywords: property and casualty insurance, motor insurance, net premium, frequency-severity modeling, deductible, loss distributions.

Research Interests

Weather derivatives • Carbon markets • Climate risk • Stochastic volatility • Jump processes • Mortality modeling • Longevity risk • Life insurance pricing • Property-casualty ratemaking • Frequency-severity modeling • Monte Carlo simulation • FFT methods • Robust pricing • Actuarial risk management