bluuebunny/crossref_metadata_2025 huggingface dataset:
Life insurance company takeovers. A Report by a Working Party of the Life Assurance Joint Committee of the Institute of Actuaries and the Faculty of Actuaries, 15 October 1993
Authors: Sherlock E. B. O. , Froggatt H. W. , Gillott N. R. , Harvey R. M. , Jenkins J. A. , Keeler D. J. , Pickford M. A. , Taylor N. H.
Published: April 2012

The working party was required to establish what actuarial information is needed by the financial world for the proper evaluation of a bid for a quoted insurance company, and, in the light of these findings, to consider what may be required in the way of guidance to actuaries. The report considers the issuesw hich occur when life insurance companies aresu bject to takeovers and to other changes of ownership. The Takeover Code has many implications in such situations and these are discussed fully, particularly any conflicts of interest and the independence or otherwise of the actuaries involved. The interests of policyholders are considered and advice is proffered to actuaries. A Guidance Note is being issued.
A consideration of book reserve schemes
Authors: Mason D. C. , Arnold R. L. M. , Clark R. E. , Crowter T. E. , Johnston A. I. , Neil S. M. , Walton A. N.
Published: April 2012

With the financial services industries in the member countries of the European Union coming under increasing attention resulting in relaxation of cross border controls, this paper addresses some pensions matters in this European context and how they may relate to the U.K. The main theme of the paper is the book reserve approach to pensions provision. Details of the German book reserve method are provided before developing possible ways in which this philosophy could be introduced into the U.K. These possibilities are assessed and consideration given to the effect they may have on the economy, commerce, the pension fund industry and, not least, the actuarial profession in the U.K.
Mortality studies: measurement of experience and comparison with a standard
Authors: Haberman S.
Published: April 2012

The paper describes in some detail the statistical methods that may be used for analysing mortality data from medical and epidemiological studies, with particular reference to quantifying survival and the risk of mortality and to comparing the experience with a standard.
The span of life
Authors: Benjamin Bernard
Published: April 2012

1. This paper originated with a sense of irritation at the way in which the graduation of age rates of mortality has become more and more complicated by the apparent determination to assume some underlying law of mortality, a law which could not possibly be deduced from observations in the past or present man-made conditions of dangerous living. It then developed into a consideration of graduation from a less frequently adopted point of view, i.e. a look at the distribution of lengths of life (the so-called curve of deaths). This led inevitably to a review of the long-pursued controversy as to whether or not there is a predetermined biological maximum to the human lifespan under ideal conditions and beyond that to a review of the biological evidence for this maximum and the possibility of extension by environmental or medical intervention. Finally, this led to the likely results of such environmental and medical advances and to some experiments in mortality projection.
Uniqueness of non-negative internal rate of return
Authors: Russell Allen M. , Rickard John A.
Published: April 2012

We will be considering a productive investment project or financial security which yields a sequence of cash flows, positive or negative, over time. Let a1 (dollars) be the cash flow from the project at time t, where t takes the values 0, 1, 2,…, n. Given the known cash flows at from the project, and a known market rate of interest, i per period, at which money may be borrowed or invested, a common procedure is to accept the project if its present value P is greater than zero, where

An internal rate of return of the project is defined to be a solution of the equation

in (− 1, ∞), if, of course, one exists.
The ‘best fit’ to the truncated Poisson distribution
Authors: Spain J. G.
Published: April 2012

Suppose we have a finite number N of observed frequencies [a(i)], and suppose further that we have a ‘reasonable belief’ that the (truncated) Poisson distribution could be used to describe those frequencies. The parameter μ (which represents both the mean and the variance of the entire unit Poisson distribution) and a suitable scaling-factor H would, in some way, be estimated from the data. In the normal course of events, the chi-squared test would probably be used to test for ‘goodness of fit’, and the number of ‘degrees of freedom’ would reflect the extent to which μ and H had been directly estimated from the data. Depending upon the degree of significance considered appropriate, the test would be used to decide whether or not a ‘reasonable fit’ had been obtained, and whether or not a particular formally-defined hypothesis should be accepted or rejected.
The appointed actuary
Authors: Johnston E. A.
Published: April 2012

1.1 A paper about the Appointed Actuary is essentially a paper about prudential supervision of life insurance companies. The system which has operated in the UK since the mid-1970's is only partly one of Government supervision. Through the professional role of the Appointed Actuary, it also contains elements of a system of self-regulation with the Institute and Faculty of Actuaries standing in place of SRO's. Unlike the self-regulatory arrangements of the Financial Services Act, though, this second part of the system has grown up by custom and practice and in certain respects it is not codified. However it enables the Insurance Companies Act to be operated successfully.
Notes on capital theory: a comment on ‘the economic basis of interest rates’
Authors: Woods J. E.
Published: April 2012

1. In a recent article in this Journal, Professor Wilkie gave an account of the determination of the rate of interest in a Fisher–Hirshleifer model. In his analysis of a production economy (§§3–7), he appeared to take as intuitively reasonable, not to say axiomatic, the existence of an inverse monotonic relation between the value of investment and the rate of interest. ‘A reduction in the auctioneer's rate of interest will stimulate capital investment.’ (p. 290) Now one of the conclusions to emerge from the capital theory debates in economics of the 1950s and 1960s is that the value of investment is not in general an inversely monotonic function of the rate of interest (see, for example, Harcourt). The purpose of these Notes is to alert actuaries to the existence of this conclusion and discuss some of its implications. To achieve the first objective, I shall need to construct a simple model—this is done in §2. I devote §3 to the analysis of the relation between the value of investment and the rate of interest. I discuss wider implications and draw some conclusions in §4.
Calculating devices and actuarial work
Authors: Lewin C. G. , Evans J. V. , Goodare K. J. , Packer L. R.
Published: April 2012

This paper is the report of a Research Group which has been examining developments in calculating devices, the effects on actuarial work and the future outlook.
With profits without mystery
Authors: Ranson R. H. , Headdon C. P.
Published: April 2012

The paper describes the philosophy of with-profits business which has been developed in the authors' office, as a practical illustration of the running of such business in modern conditions. A description is given of how the philosophy is implemented in the main areas of actuarial management, including valuation methods, bonus distribution, product design and expense control. The discussion is extended to address a number of topics which are the subject of current debate including the financial strength of offices, future bonus prospects and disclosure of expenses.
Time series models for insurance claims
Authors: Harvey A. C. , Fernandes C.
Published: April 2012

The distribution of insurance claims in a given time period is usually regarded as a random sum. This paper sets up a time series model for the value of the claims and combines it with a model for the number of claims. Thus past observations can be used to make predictions of future values of the random sum, and the overall model ensures that they are discounted appropriately. It is shown that explanatory variables can be introduced into the model, and how it can be extended to handle several groups. The general approach is based on the recently developed structural time series methodology.
Option pricing models
Authors: Blake D.
Published: April 2012

The paper discusses two important models of option pricing: the binomial model and the Black—Scholes model. It begins with a brief description of options.
Chain ladder and interactive modelling. (Claims reserving and GLIM)
Authors: Renshaw A. E.
Published: April 2012

The prediction of outstanding claims amounts in non-life insurance is, by its very nature, highly speculative. Partially because of this and partially because of the variety of features suggested by various researchers for possible inclusion in the structure of the underlying prediction model, the past two decades have seen a proliferation of methodologies for making such predictions. Specific details of these developments are contained in a comprehensive and highly detailed survey conducted by Taylor (1986) in which a taxonomy of methods is established. One feature common to all of these methods is the utilization of current and past records of claims amounts—invariably in the form of the familiar so-called runoff triangle or a variant thereof—to calibrate the proposed prediction model before use. Prudence dictates that diagnostic checks should then be made to establish whether or not the data are supportive of the structure imparted to the prediction model before use, a feature which apart from some notable exceptions including Zehnwirth (1985) and Taylor (1983), is not always emphasized in the literature.
Some aspects of the modelling of permanent health insurance
Authors: Waters H. R.
Published: April 2012

1.1 The traditional approach in the United Kingdom to the analysis of permanent health insurance (PHI) data and to the rating of PHI business has been the Manchester Unity approach. This approach, which has its origins in Friendly Society business, is in some ways unsuitable for modern PHI business. (An interesting discussion on this subject can be found in Report No. 7 of the Continuous Mortality Investigation Bureau (C.M.I.R. 7, §4 (1984). For this reason the PHI Sub-Committee of the CMIB has recently been investigating the possibility of using a different approach, involving the use of a multiple state model, for analysing PHI data. A full report on the Sub-Committee's investigation will be published soon as C.M.I.R. 10.
Modelling a unit-linked life office
Authors: Johnson C. M.
Published: April 2012

This paper describes the Corporate Planning system which has been developed in my office over the last 6 years or more. It first makes a high level pass through the various components and how they fit together and then looks in more detail at some of the components.
Negative incremental claims: chain ladder and linear models
Authors: Verrall R. J. , Li Z.
Published: April 2012

This paper considers the application of loglinear models to claims run-off triangles which contain negative incremental claims. Maximum likelihood estimation is applied using the three parameter lognormal distribution. The method can be used in conjunction with any model which can be expressed in lognormal form. In particular the chain ladder technique is considered. An example is given and the results compared with the basic actuarial method.
Practical applications of risk theory. Seminar, 29–30 September 1992
Authors: Macdonald A. S.
Published: April 2012

A seminar on ‘The Practical Applications of Risk Theory’ was held at Staple Inn on 29–30 September 1992, organised jointly by the Institute and the Department of Actuarial Mathematics and Statistics at Heriot-Watt University. The aim of the seminar was to combine introductory talks on several aspects of risk theory with detailed presentations of case studies by practitioners.

The first three sessions dealt with risk models.

Ms Mary Hardy gave a short survey of the classical collective risk model, compound Poisson distributions, and some simple approximations to such distributions.
Are objectivism and subjectivism compatible concepts?
Authors: Moore P. G.
Published: April 2012

1.l. The aim of this paper is to examine a number of issues that arise in decision-making. In particular it seeks to explore the relevance to decision-making of the commonly made polarization as between the so-called objective and subjective approaches to probability. The paper is in three parts. The first concerns utility, and the second various aspects of probability. The third and final part looks at the interplay between these two concepts. Whilst a number of the comments and illustrations refer specifically to the insurance industry, the concepts discussed are broadly set in the wider context of business and commerce as a whole. It is hoped that the paper will thereby provide a basis for discussion on a topic that has acquired increasing importance in recent years.
Johann Heinrich Lambert (1728–1777)
Authors: Daw R. H.
Published: April 2012

1.1. This paper is intended as a tribute to a man who died at the age of 49 just over 200 years ago having made material contributions to what is now regarded as actuarial science, as well as to many other branches of science, but whose work has largely been overlooked.

1.2. Johann Heinrich Lambert was born in Mulhouse, Alsace on 26 August 1728 and died in Berlin on 25 September 1777. He was largely self-taught, having had to leave school at the age of 12 to help his father in his tailor's shop. At the age of 20 he became tutor to the children of a noble Swiss family; this ended 10 years later when he had taken the children on an educational tour of Europe during which he was able to meet eminent scientists of the time and go to lectures at universities and learned societies. Eventually, in 1765, he obtained a post at the Royal Academy of Sciences in Berlin where he stayed until his death.
Compensation for personal injury
Authors: Hey G. B. , Meins P. G. , Rowlandson W. F. J. , Sanders D. E. A. , Wilkinson R. C.
Published: April 2012

1.1 Following the thalidomide tragedy, a Royal Commission was set up in March 1973 to examine and report on the circumstances in which anyone suffering personal injury should be entitled to compensation and on the amount, the form and the source of such compensation. The Commission also considered the extent to which dependants should be compensated for losses which they incurred arising from the injury or death of a victim. The Commission, whose chairman was Lord Pearson, took written evidence from 766 organizations or persons and oral evidence from 113. The Report of the Commission, published in March 1978, was in three volumes comprising in all 1,084 pages. Volume 2 (259 pages) contained detailed statistical information which had been produced from various sources. It is known that in many cases information had to be assembled from inadequate data, and the Commission pointed out that many of the figures were a matter of judgment. They ascribed degrees of reliability to each table, but in some cases they were probably over-optimistic. Volume 3 (280 pages) reported on practice overseas.
Determination of internal rate of return in respect of an arbitrary cash flow
Authors: Taylor G. C.
Published: April 2012

1.1. Consider the situation where a party, in return for a capital outflow of c at a given time (which will be taken as the time-origin), is entitled to subsequent cash flow. This subsequent cash flow may contain positive and/or negative elements of inflow.
Early uses of Graunt's life table
Authors: Seal H. L.
Published: April 2012

The first life table was a brilliant ‘guesstimate’ by John Graunt (1662) based on mortality data analysed by cause of death but not by age or sex. It was over thirty years before Halley (1693) constructed a table to show “the odds that there is, that a Person of that [any] Age does not die in a Year”. In the meantime several writers tried to use Graunt's figures to make deductions about probabilities of death. This note is a description of these efforts.
Iterative solution of the interest rate in a financial transaction: the hyperbolic method
Authors: Durbin P. L.
Published: April 2012

1.1 This note describes an iterative method for determining the root of an equation, based on the assumption that the curve representing the equation is a rectangular hyperbola near the root.

1.2. The method was derived for use in calculating the interest rate under financial contracts. Despite having a theoretically slower rate of convergence than Newton's method, in practice the hyperbolic method seems to require a fewer number of iterations for comparable accuracy. Moreover, it applies where the form of the function being evaluated is incapable of explicit description, and hence its derivative cannot be defined, such as where reinvestment rates of return are assumed.
Some financial aspects of a general insurance company
Authors: Abbott W. M. , Clarke T. G. , Treen W. R.
Published: April 2012

1.1 In recent years, the United Kingdom members of the actuarial profession have become increasingly involved in the general insurance industry and therefore the Institute decided that the subject of general insurance should be included in its syllabus from 1977.

1.2 Prior to 1977 there were a number of papers and articles, written for either the General Insurance Study Group or the Research Committee, on various subjects related to general insurance. These papers and articles have not always had a wide circulation, although they have been deposited in the library at Staple Inn.

1.3 Most of these papers were of an explanatory or technical nature. In the authors' opinion, the actuary has a much wider rôle in general insurance than the technical one of estimating the liabilities of claims. In fact, the actuary should be able to provide a blue-print or framework for the financial management of a general insurance company.

1.4 A general insurance company is a financial concern; therefore the actuarial profession should have a rôle to play. In describing the financial concern, the actuary is required to chart the waters linking profitability, solvency, growth, reserving basis, dividend policy and capital requirements. As the second half of this paper will show, these items are inter-linked and decisions on one should not be taken in isolation as they will have repercussions on one or more of the other items.
The flock and the sheep and other essays
Authors: Redington F. M.
Published: April 2012

This is not so much a paper as a series of loosely-connected essays and it requires explanation.

For some years I have felt that my generation had an unusual duty to the history of the profession. The first 180 years of actuarial history no doubt seemed eventful enough at the time but they took place against a stable background when interest rates were seldom outside the range 3% to 5%. But since 1945, say, a turbulence undreamed of in those earlier days has become the commonplace of our activities.
Compound interest in the seventeenth century
Authors: Lewin C. G.
Published: April 2012

Richard Witt'sArithmeticall Questions, published in 1613, was a landmark in the history of compound interest. In a previous paper (J.I.A.96, 121) I have described the book and attempted to show why it is so important.

This article sets out some information about Witt's life, which has come to light as a result of research done since the previous article (when very little was known about him). Then follows a discussion of some of the books on compound interest which were published later in the seventeenth century. These not only help to fill in the practical background but also show how the techniques came to be more widely known and how problems arose when interest rates were reduced. It is worth noting that there was an average inflation rate of around 1% p.a. during the first half of the century and an average inflation rate of nil, or even a slight deflation, during the second half (Birks & Morrell, 1976; Mitchell & Deane, 1962). Thus, to a very considerable extent, the interest rates used in calculations were real rates of interest.
Non-parametric graduation using kernel methods
Authors: Copas J. B. , Haberman S.
Published: April 2012

LetEbe an event whose probability of occurrence depends on some continuous variablex, P(E|x) =qx

For example,Emay be death andxage,Emay be incidence of lung cancer andxamount of smoking, orEmay be reconviction of a parolee withxprevious criminal convictions (with suitable definitions of the underlying time interval for the occurrence ofE). Given observations on n individuals with characteristicxand the incidence ofE, it is desired to estimate the functionqx.

The simplest case is when the data are grouped—supposexoccurs innxcases of whichEoccurssxtimes. Then the elementary crude estimate is

This paper describes a simple, non-parametric method of graduating observed rates or probabilities of the formThe technique has been used for smoothing data sets arising in medicine and criminology (Copas(1)(2)) and is extended here to an actuarial example and the results compared with more traditional approaches.
Forecasting—the Bayesian approach
Authors: Verrall R. J.
Published: April 2012

For most people, statistical forecasting means modelling time series using the methods described by Box and Jenkins (1970). A Box and Jenkins model requires a large number of known data points before it can be properly chosen and, since it cannot be changed without again observing another batch of input, is only of use if the data conforms in the future to the chosen model. This means that this style of forecasting is essentially rigid, unadaptable and of limited use in practice. This paper sets out, with the aid of the examples, the essentials and some applications of Bayesian forecasting as developed by Harrison and Stevens (1976).
An invariance principle for the analysis of non-life insurance claims
Authors: Taylor G. C.
Published: April 2012

The paper is concerned initially with the admissibility of particular claim payment models. Admissibility is restricted by the requirement that, if claims escalation is excluded, the amount of outstanding claims at any epoch of development of a generation of claims should be independent of the future speed of finalization.

This simple requirement represents aninvariance condition. The problem of admissibility of models can therefore be approached in the manner of invariance problems in physics. Standard techniques of variational calculus are used.
The effect of size and other economic factors on the expense rate behaviour of UK life insurance companies
Authors: Praetz P. D.
Published: April 2012

This paper finds a strong size effect for the total business of 106 U.K. life companies from the 1981–82 Insurance Directory and Year Book.

The industry is regulated by the 1982 Insurance Companies Act which consolidated earlier legislation. This does not control output or prices of firms but many other items including investment. The industry is not highly concentrated with the five largest firms in 1980 with 30% of premiums. In 1980, total ordinary branch premiums amounted to £5.8 billion.

Section 2 surveys briefly some relevant research, while §3 discusses the data and size and other economic factors for life assurance firms. Section 4 discusses the empirical results while §5 has a brief conclusion.
Solvency margin funding for general insurance companies
Authors: Taylor G. C.
Published: April 2012

In Australia, the Insurance Acts 1973 introduced the formal requirement of a solvency margin. The solvency margin required by Statute is a proportion (15% in fact) of net premium written in the last completed financial year. Since then, there has been a certain amount of discussion on the means of funding that margin under expansionary conditions.

The vicissitudes of the discussion in Australia and the United Kingdom have been as follows.

At first, it appeared unquestioned that increases in solvency margin must be financed effectively by premium loadings. For example, Loader and Ryder (1976) state flatly that “The increase in solvency margin must be met from profit earnings”. The ideas of Loader and Ryder were adopted as a point of departure by Cooper and Long (1977). Basically the same theme was presented by Eriksen and Jones (1977).
The recent trend of mortality in Great Britain
Authors: Daykin C. D.
Published: April 2012

This note continues an annual series on mortality rates in Great Britain; the previous note in the series appeared in J.I.A. 109, 447 and dealt with mortality in 1980. Table 1, below, shows central death-rates for Great Britain for the year 1981, together with the ratios of these rates to the corresponding average rates for the 3 years 1970–72, which have been taken as a standard. Death rates in this form for the years from 1966 to 1979 were published in J.I.A. 108, 413. The rates for 1981 have been calculated using the deaths recorded as occurring in Great Britain in 1981 and the ‘home’ population at 30 June 1981, i.e. the number of people actually in the country at the time, as estimated by the Registrars General of England and Wales and of Scotland.
The road to Windsor: Centenary of the Royal Charter of 1884
Authors: Renn D. F.
Published: April 2012

Royal Charters incorporating academic and professional bodies have usually been granted as soon as the organization could prove itself worthy of the honour. Why, then did it take the Institute nearly 40 years to acquire its charter? The story has been told in R.C. Simmonds's The Institute of Actuaries 1848–1948 but bears retelling here.
Hedging the market: the performance of the FTSE 100 Share Index
Authors: Dimson E. , Marsh P. R.
Published: April 2012

In this paper, we examine the hedging performance of the new FTSE 100 Share Index. First, we reconstruct a back-history of the monthly and daily index values using the London Share Price Database. Then we analyse the statistical characteristics of the Index, comparing it with the FT–Actuaries All Share and FT Ordinary Indexes. Finally, we examine the sources of undiversification within the FTSE Index. We conclude that the market is likely to track the FTSE Index to within a close tolerance, and that the residual tracking error is attributable partly to sector imbalances, but more importantly, to imbalances in exposure to smaller capitalization stocks.
Generalized annuities and assurances, and their inter-relationships
Authors: Roberts Leigh
Published: April 2012

By the definition of generalized assurances and annuities, the relation 1 = Ās + δās is shown to be the simplest member of a family of relations in which the present value of the capital and interest repayments is equated to the original amount of a loan. When the force of interest is constant over time, the relation takes the simple form above, but when the force is a polynomial in time, the interest payments become a series of annuities, the payments on which increase over time at different rates.
Some experiments with salary scales
Authors: Wilkie A. D.
Published: April 2012

1. Salary scales have been widely used in actuarial literature about pension schemes, but they do not seem to have been developed beyond the idea first introduced by Manly (1901) and used in a series of papers following this, including McGowan (1901), Manly (1902, 1903 and 1911), and M'Lauchlan (1908). King (1905), Bacon (1907) and M'Lauchlan (1914) discuss the construction of a salary scale from records of individual employees. King made some valuable observations on how a salary scale may change with time if the observed population is not a stationary one, for example, because the firm is growing or declining, which Bacon also commented on, and M'Lauchlan went into considerable detail about the separation of different grades. Thomas (1913) gave an example of an organization with six ranks, within each of which there was a salary scale, and showed explicit probabilities of promotion in each year of age. His development comes closest to what I shall discuss below. Text books on Life Contingencies, such as Jordan (1952), Hooker & Longley-Cook (1957) and most recently Neill (1977), have followed essentially the definition introduced by Manly, as also have papers and text books on pension funds, such as Porteous (1936), Marples (1948), Heywood & Marples (1950), Crabbe & Poyser (1953) and Lee (1973). Curiously Spurgeon (1922) does not mention salary scales, although his book was written after they had come into use.
Bonus declarations after a fall in interest rates
Authors: Smaller S. L.
Published: April 2012

1.1 On 21 December 1976 I received the following memorandum from Mr A. E. Tinckler, who was then the Actuary of my Company. It read:

1.2. “We have been discussing recently some of the effects on the Life Fund of a significant fall in interest rates, and I think we agree that the time has now come to set up a formal study to analyse the problem and to make recommendations.

1.3. “There is no doubt that interest rates in the United Kingdom are very much higher at the present time than in other comparable countries. There are good reasons for this state of affairs, but it is most unlikely to continue over more than a few years, unless the country is to descend to very low levels indeed in the international league. In spite of many pessimistic assertions to the contrary, there are good grounds for thinking that the present rates will come down very substantially indeed over the next few years.
Portfolio selection in the presence of fixed liabilities: A comment on “The matching of assets to liabilities”
Authors: Wilkie A. D.
Published: April 2012

1. This note was inspired by the paper ‘The Matching of Assets to Liabilities’ presented by A. J. Wise to the Institute in March 1984 (Wise. 1984b). In it he presented a method of looking at the problem of matching which I claimed in the discussion was essentially a portfolio selection approach. However, his approach had a number of novel features. I wish to discuss one of these, approaching it from the conventional portfolio selection viewpoint. I am not aware that this problem has been considered elsewhere in the substantial literature that exists on portfolio selection. Full discussion of the mathematics of the conventional portfolio selection problem is contained in Sharpe (1970) and Szegö (1980), and a general explanation is available in many modern financial text books, and in the Institute paper by Moore (1972).
Actuaries and general insurance
Authors: Abbott W. M.
Published: April 2012

1.1 At the 1984 seminar of the Institute's General Insurance Study Group the author presented a draft of some guidance notes which were intended to be the starting point for establishing a framework of recognized good practice for United Kingdom actuaries working in general insurance. The draft. amended to take into account comments made at and subsequent to that seminar. appears as Appendix A, with the title “Notes on recommended practice (abbreviated to NORP) for actuarial reporting in general insurance”. It was felt that in presenting the notes to the profession at large. an introductory paper would be helpful, not only in explaining some of the issues covered in the proposed NORP but in discussing more generally the role of the actuary in general insurance and what an actuary should be prepared to advise on.
The life associations' inter-office expense investigation
Authors: Luffrum G. G. , O'Leary A. G. , Shedden A. D.
Published: April 2012

1.1.1. In the course of the discussion of the paper by Praetz at the International Congress of Actuaries in Sydney, reference was made to the existence of the ongoing Expense Investigation conducted amongst life offices in the United Kingdom. Considerable interest was aroused and it was subsequently suggested that a paper describing this investigation be presented to the actuarial bodies in order that data on life office costs might be made available to the profession and its significance discussed. In agreeing to present such a paper the authors considered that its scope should be extended to include a study of the attitudes of offices and actuaries to expense analysis and control and of the uses made by offices and actuaries of the results of the Expense Investigation and other expense analyses.
The optimality of the net single premium in life insurance
Authors: Ramsay Colin M.
Published: April 2012

Vadiveloo et al (1982) introduced a criterion for choosing, among the various net risk premium payment plans, the so-called optimum one. They considered a life insurance situation where benefits were payable at the end of the year of death. Of course, premiums cease after death! This optimum criterion was the minimization of the discounted net profit variance. Their model can be mathematically described as follows. Consider an insured life aged exactly x having a death benefit with present value, if death occurs at time t, denoted by B(t). If the present value of the total premiums paid up to time t is R(t) and the random variable T denotes the time of the death of x, then the profit at death has present value Z(T) where Z(T)=R(T)−B(T).

The optimum net premium payment plan, R*(t), is the one that minimizes Var[Z(T)] subject to E[Z(T)] = 0.
Measuring relative mortality experience
Authors: Haberman S.
Published: April 2012

A common method of measuring relative mortality experience in actuarial, demographic and epidemiological studies is by way of comparison of the actual number of deaths and the number expected if a given standard experience were applicable. The properties of this method are discussed. Further ways of making such a comparison are described, one of which (the widely used Cumulative Mortality Ratio) has a serious bias in application to follow-up mortality studies. The properties of an alternative approach, the Ratio of Geometric Average Death Rates (RAD), are also discussed. This extends the analysis published in 1982 by the author, although attention is focused here on ratios that measure relative mortality experience.
Modelling excess mortality using GLIM
Authors: Renshaw Arthur E.
Published: April 2012

It is now some sixteen years since Sir David Cox (1972) published his epoch making paper in which he incorporated regression type arguments into life-table analysis. Central to the method was the introduction of the multiplicative hazard

with vector of covariatesz, unknown regression parameters β, and so-called base-line hazard λ*(t) = λ (t, 0). Applications of the method, based on the conditional likelihood argument expounded by Cox in which the base-line hazard λ* is unknown, have proliferated in the intervening years, largely in the field of medical statistics. There have been relatively few applications in which the base-line hazard is assumed known at the outset. Specific cases include Breslowet al.(1983), Berry (1983) and Hillet al.(1985).
Years of life lost and other mortality indices
Authors: Benjamin Bernard
Published: April 2012

In 1953 together with a colleague (Benjamin and Logan) the author called attention to a paper by Haenzel (1950) describing a new index of mortality years of life lost.

The argument was that many people were living for more than the three score and ten years and that every earlier death represented a loss of potential further years of life; that adding up the total years of life lost might be a significant measure of the toll of largely preventable disease; that changes in this total year by year would maximize the improvement gained by curative and especially preventative medicine.
The improving accuracy of the basic data and the exposed to risk of the English life tables (Updated to ELT No 14)
Authors: Daw R. H.
Published: April 2012

1.1 The publication last year of the English Life Table No. 14 enables my earlier paper (Daw, 1982) to be extended to include the latest table. This paper applied Redington and Michaelson's rx test to E.L.T. Nos. 8 to 13 and the corresponding figures for E.L.T. No. 14 have now been calculated. The Government Actuary's Department kindly supplied me with the unpublished exposed to risk figures which were used.
The impact of HIV infection and AIDS on insurance in the United Kingdom
Authors: Daykin C. D. , Clark P. N. S. , Eves M. J. , Haberman S. , Le Grys D. J. , Lockyer J. , Michaelson R. W. , Wilkie A. D.
Published: April 2012

1.1 In March 1987 the Futures Committee of the Institute considered a preliminary report (Daykin, 1987) on the possible impact of AIDS in the United Kingdom and the consequences for life insurance. The Committee recommended the setting up of a Working Party to study the problem. The Working Party on AIDS was accordingly established, under the auspices of the Research Committee. The authors of this paper formed the membership of the Working Party, under the chairmanship of C. D. Daykin.
An actuarial model for AIDS (O.A.R.D., 40)
Authors: Wilkie A. D.
Published: April 2012

1. In this note I describe the mathematical formulation of a model for representing the spread of AIDS in a population, which is designed for actuarial use in dealing with life insurance companies and pension funds. A major requirement of actuaries is that the model should be age-specific, and should take into account normal age-specific mortality as well as the extra sickness and mortality from AIDS.
Actuaries, pension funds and investment
Authors: Arthur T. G. , Randall P. A.
Published: April 2012

The authors discuss the investment of pension and other institutional funds. stressing a theme of investing to meet liabilities. Their aim is to stimulate debate by actuaries and the investment community, leading to the development of better approaches to pension fund investment and its monitoring.

The first part of the paper considers the matching of assets to liabilities, concentrating on a major principle applicable to actuarial valuations where assets and liabilities are mismatched.

The paper goes on to consider principles of institutional investment and includes discussions of the meaning and measurement of risk, the setting of investment objectives, decision-making, asset allocation and investment performance monitoring.
A generalization of Makeham's formula for valuation of securities
Authors: Hossack I. B. , Taylor G. C.
Published: April 2012

One of the most powerful devices in the theory of compound interest is Makeham's formula. The essence of the formula may be stated as follows:

Consider an admitted loan of C bearing interest at rate g per annum (payable pthly in arrear) per unit of admitted capital. The loan is to be repaid by a series of payments each of which contains a capital portion and an interest portion. Let K be the value at rate i per annum effective of all the capital portions.
Andrew Herrick Rowell
Authors: Hall L. G.
Published: April 2012

Sir Andrew Herrick Rowell died on 27 August 1973 in his 84th year. To members of the Institute one tribute overshadows all the rest. He was our Centenary President. It was in June 1948 that the bonds of friendship and affection, so strong among actuaries the world over, but which had been so hard to sustain in the preceding years of war and its aftermath, were gloriously restored with the Centenary Assembly of the Institute of Actuaries in London at which Andrew Rowell, newly knighted by His Majesty, presided so memorably. To his contemporaries the Centenary Assembly was a time for old friends and new resolves. To one young actuary, not yet fully qualified, and he cannot have been alone, it was the kindling of a flame of love of and pride in his profession which still burns brightly today.
Older people's experiences of cash-for-care schemes: evidence from the English Individual Budget pilot projects
Authors: MORAN NICOLA , GLENDINNING CAROLINE , WILBERFORCE MARK , STEVENS MARTIN , NETTEN ANN , JONES KAREN , MANTHORPE JILL , KNAPP MARTIN , FERNÁNDEZ JOSE-LUIS , CHALLIS DAVID , JACOBS SALLY
Published: April 2012

Cash-for-care schemes offering cash payments in place of conventional social services are becoming commonplace in developed welfare states; however, there is little evidence about the impact of such schemes on older people. This paper reports on the impact and outcomes for older people of the recent English Individual Budget (IB) pilot projects (2005–07). It presents quantitative data on outcome measures from structured interviews with 263 older people who took part in a randomised controlled trial and findings from semi-structured interviews with 40 older people in receipt of IBs and with IB project leads in each of the 13 pilot sites. Older people spent their IBs predominantly on personal care, with little resources left for social or leisure activities; and had higher levels of psychological ill-health, lower levels of wellbeing, and worse self-perceived health than older people in receipt of conventional services. The qualitative interviews provide insights into these results. Potential advantages of IBs included increased choice and control, continuity of care worker, and the ability to reward some family carers. However, older people reported anxieties about the responsibility of organising their own support and managing their budget. For older people to benefit fully from cash-for-care schemes they need sufficient resources to purchase more than basic personal care; and access to help and advice in planning and managing their budget.
New generations, older bodies:danzón, age and ‘cultural rescue’ in the Port of Veracruz, Mexico
Authors: Malcomson Hettie
Published: April 2012

Understandings and discourses about age have tended to be instrumental to popular music in terms of production, promotion and consumption, and many studies of popular music have taken younger people, and especially ‘youth’ cultures, as their subject matter. Where older people have been considered, the focus has mostly been retrospective, that is on their experiences when young and their attitudes to contemporary ‘youth’ cultures, rather than relationships between the temporal dimension of the life course and music. As the case of danzón illustrates, stereotypes that older people are resistant to novelty, change and possibility are ill founded. Moreover, where age is used to justify rescuing ‘cultural traditions’, caution may be called for and analysis required to assess what lies behind such claims and why. In Veracruz, the older age of the majority of danzón performers is evoked to ‘authenticate’ this local ‘tradition’, and justify its ‘rescue’ and promotion by Veracruz's culture industries. Yet, older people are not considered repositories of ‘tradition’ or sought out as ‘authentic’ practitioners. Instead, many older performers are new to danzón.
Talking About Old Records: generational musical identity among older people
Authors: Connell Matt
Published: April 2012

This paper explores ethnographic findings gathered during my work as a DJ and academic, particularly in relation to a community arts project called Talking About Old Records. This project brings together teenagers and older people from a range of backgrounds at collaborative workshops using DJ technology and old records. These facilitate conversations about what music means to the participants. This paper puts the emphasis on the older people, exploring the emergence of generational musical identities from the 1940s onwards. Relationships between the spread of personal listening technologies, ‘youth music’ and the birth of the teenager in the 1950s are explored in the context of older people's fears about a loss of musical sociality, fears which are articulated against a background of cyclical manifestations of intergenerational musical conflict and scandal.
Prevalence of seasonal influenza vaccination and associated factors in people with chronic diseases in Hong Kong
Authors: TSUI H. Y. , LAU J. T. F. , LIN C. , CHOI K. C.
Published: April 2012

Chronic disease patients are at high risk of developing serious influenza-related complications. This study investigated the prevalence of seasonal influenza vaccination (IV) and associated factors in such patients. A random sample of 704 Chinese adults with chronic disease was anonymously interviewed by telephone; 35·8% of them had ever taken up IV and 22·7% did so during the last flu season. The most frequently mentioned facilitator was recommendation made by a healthcare worker (HCW). Knowledge that IV is required annually, perceived severe health impacts of influenza, and recommendation made by a HCW were positively associated with previous IV and intention to take up IV in the next year, while perceived side-effects was inversely associated with previous IV and intention to take up IV. The coverage of IV in this study population was low. HCWs should clarify IV-related health beliefs in chronic disease patients and actively advise them to take up IV.
Distance Preserving Ramsey Graphs
Authors: DELLAMONICA DOMINGOS , RÖDL VOJTĚCH
Published: April 2012

We prove the following metric Ramsey theorem. For any connected graph G endowed with a linear order on its vertex set, there exists a graph R such that in every colouring of the t-sets of vertices of R it is possible to find a copy G* of G inside R satisfying:

•

distG*(x, y) = distR(x, y) for every x, y ∈ V(G*);

•

the colour of each t-set in G* depends only on the graph-distance metric induced in G by the ordered t-set.
Amphetamine-induced memory impairment in a discriminative avoidance task is state-dependent in mice
Authors: Sanday Leandro , Patti Camilla L. , Zanin Karina A. , Tufik Sergio , Frussa-Filho Roberto
Published: April 2012

In both humans and laboratory animals, the reports of cognitive effects following acute amphetamine (Amph) administration are mixed and depend, for example, on the timing of administration (e.g. before or after task acquisition) and/or on the memory model used. Besides its cognitive effects, Amph produces other important behavioural effects, including alterations in anxiety and general activity, which could modify the subject's internal state, thereby facilitating state-dependent learning. Importantly, state-dependency has been linked to drug dependence in humans. This study evaluates the role of state-dependent learning in Amph-induced memory deficits in mice submitted to a discriminative avoidance task. Mice were given Amph (3 mg/kg) before training and/or before testing in the plus-maze discriminative avoidance task, an animal model that concomitantly evaluates learning, memory, anxiety-like behaviour and general activity. Pre-training Amph administration did not affect the ability to learn the discriminative task, but rather induced anxiogenic-like effects and a marked retention deficit in the test session. This memory impairment was completely absent when animals received Amph before both the training and the test sessions. Amph-induced memory impairment of a discriminative avoidance task is state-dependent, such that a response acquired in the ‘Amph state’ cannot be recalled in the normal state. The involvement of anxiety alterations in this ‘Amph state’ is discussed.
The Impact of CoRoT and Kepler on Eclipsing Binary Science
Authors: Maceroni Carla , Gandolfi Davide , Montalbán Josefina , Aerts Conny
Published: April 2012

The CoRoT and Kepler space missions have opened a new era in eclipsing binary research. While specifically designed for exoplanet search, they offer as by-products the discovery and monitoring of variable stars, in great majority eclipsing binaries (EB). The missions are therefore providing thousands of EB light curves of unprecedented accuracy (typically a few hundred parts per million, ppm), with regular sampling (from 1s to 29m), extending over time spans of months, and with a very high duty cycle (>90%).

Thanks to this excellent photometry, research topics as asteroseismology of EB components are quickly developing, and physical phenomena such as doppler boosting, theoretically predicted but extremely difficult to observe from the ground, have been unambiguously detected. We present the main properties of the Corot and Kepler EB samples and briefly review the highlights of the missions in this field.