BMI researchers honoured by SASA

The South African Statistical Association (SASA) awarded the 2005 Herbert Sichel medal to two researchers, Prof Hennie Venter and Prof Riaan de Jongh, of the Risk and Reward Analysis subprogram of the Business Mathematics and Informatics (BMI) Research Unit. The Herbert Sichel medal is awarded annually to members of SASA who have published the best paper during the previous year in a peer-reviewed journal. Proff Venter and De Jongh received the award for their paper entitled Selecting an innovation distribution for Garch models to improve efficiency of risk and volatility estimation. This paper appeared in the Journal of Risk (Vol. 6, No. 3, pp27-52).

This is the second honour the above-mentioned researchers received in the last two years. In 2004, the editor of the Journal of Risk, Prof Philippe Jorion, from the University of California at Irvine, selected a related paper entitled Risk Estimation using the Normal Inverse Gaussian Distribution (also published in the Journal of Risk) to appear in the book Innovations in Risk Management: Seminal papers of the Journal of Risk.

The director of the Centre for BMI, Prof Riaan de Jongh, pays a special tribute to his co-author, Prof Hennie Venter: ‘It is wonderful to have Hennie as a member of our risk analysis research team. He is a world-class researcher who has made many contributions to the application of statistical science. In the last 5 years he changed his research focus to the application of statistical science in finance and specifically in risk/reward analysis. This highlights his brilliance in solving mathematical problems. In 1986, I visited the University of Chicago and met Raj Bahadur, professor of Statistics at Chicago. He told me that Hennie was the best (statistics) student Chicago ever had. (Hennie completed his MSc and Ph.D in Statistics at Chicago in two years.) Not only is it an honour to have Hennie in our research program, but to be able to work with him on a paper is a truly intellectually stimulating and enlightening experience’.

It is the fifth time that researchers of the Unit receive the Herbert Sichel award. Prof Hennie Venter and Prof Sarel Steel were the first recipients of the award in 1997. Thereafter Prof Jan Swanepoel and Dr Coen de Beer won it in 2000, Prof Jan Swanepoel in 2002 (for a publication with Proff P Janssens and N Veraverbeke from Belgium), and Proff Jan Swanepoel and Francois van Graan in 2003. This is indeed a significant achievement given that the Herbert Sichel medal has only been awarded 8 times in the past. No wonder that some members of SASA remarked that Potch has all the brains!

The director of the BMI research unit, Prof Koos Grobler, concluded: ‘The Centre for BMI and the BMI research unit had a tremendous year. Not only did an international review committee rated the research programmes very highly, but we won the internationally acclaimed SAS Academic Intelligence Award (for bridging the gap between industry and academia), and now also the Sichel medal for the fifth time. This is a clear indication that our BMI and actuarial training programmes are of the highest standard. Top class research inevitably manifests in top class training!’

Proff. Riaan de Jongh and Hennie Venter with the Sichel medal.