bluuebunny/crossref_metadata_2025 huggingface dataset:
Knossos 1955–1957: Early Prepalatial Deposits from Platon's Tests in the Palace
Authors: Wilson David E.
Published: June 2011

This article presents a selection of early Prepalatial pottery and a clay sealing found in tests made by Nikolaos Platon between 1955 and 1957 during a programme of conservation and restoration work in the palace. The pottery not only adds to the ceramic characterization of the Early Minoan I-Early Minoan IIB phases at Knossos, but also provides new information about the extent and scale of use of the early Prepalatial settlement. In addition, ceramic imports identified in the Early Minoan II deposits add to the growing evidence for inter-regional contacts both with the rest of Crete (including the Mesara and Gulf of Mirabello) and the Cyclades. The clay sealing, from an Early Minoan IIB context, is among the earliest yet found on Crete. Altogether these tests provide valuable new evidence for the early history of Prepalatial Knossos.

Το άρθρο αυτό παρουσιάςει ένα μέρος της πρώιμης προανακτορικής κεραμεικής και ένα πήλινο σφράγισμα από τις δοκιμαστικές τομές του Νικόλαου Πλάτωνα μεταξύ 1955 και 1957 κατά τη διάρκεια ενός προγράμματος συντήρησης και αναστήλωσης στο ανάκτορο της Κνωσού. Το υλικό αυτό συμβάλλει στην περιγραφή των διακριτικών γνωρισμάτων της κεραμεικής από την Πρωτομινωική Ι έως και την Πρωτομινωικη ΙΙΒ φάση στην Κνωσό και δίνει νέες πληροφορίες αναφορικά με την έκταση και το βαθμό χρήσης του πρώιμου προανα-κτορικού οικισμού. Επιπλεον, η αναγνώριση εισηγμένης κεραμεικής στους αποθέτες της Πρωτομινωικής Π προσθέτει περαιτέρω στοιχεία για υπερ-τοπικές επαφές της Κνωσού τόσο με την υπόλοιπη Κρήτη (συμπερι-λαμβανομένης της Μεσαράς και του Κόλπου του Μιραμπέλλου) όσο και με τις Κυκλάδες. Το πήλινο σφράγισμα, από ένα Πρωτομινωνικό ΙΙΒ ανασκαφικό σύνολο, συγκαταλλέγεται ανάμεσα στα πρωιμότερα που έχουν βρεθεί μέχρι σήμερα στην Κρήτη. Συνολνκά αυτές οι δοκιμαστικές τομές παρέχουν πολύτιμα νέα στονχεία για την πρώιμη ιστορία της προανακτορικής Κνωσού.
Mycenae Revisited Part 3. The Human Remains from Grave Circle A at Mycenae. Behind the Masks: A Study of the Bones of Shaft Graves I–V
Authors: Papazoglou-Manioudaki Lena , Nafplioti Argyro , Musgrave J.H. , Prag A.J.N.W.
Published: June 2011

This article is the third in a series inspired by the rediscovery in 2003 of two skeletons excavated in 1877 in Shaft Grave VI in Circle A at Mycenae by Panayiotis Stamatakis. Having studied those two individuals and reconstructed their faces, and having conducted a study of strontium isotope analyses on all the individuals from Grave Circle A, we now move on to a reconsideration of the circumstances in which Shaft Graves III, IV, and V were excavated by Schliemann and Stamatakis, and place the human remains in the context of the other finds from the graves (no human remains from Graves I and II can be located at present). We then describe the first study of the skeletons themselves since Angel's work in 1937, and reassess them in the light of modern osteological techniques and theories.

To παρόν άρθρο είναν το τρίτο μιας σειράς άρθρων εμπνευσμένων από την εκ νέου ανακάλυψη, το 2003, σύο σκελετών που ανέσκαψε ο Παναγιώτης Σταματάκης το 1877 στο Λακκοεισή Tάφο VI του Tαφικού Kύκλου A των Μυκηνών. ´Eχοντας ήδη μελετήσει τα οστά αυτών των σύο ατόμων και αποκαταστήσει τα πρόσωπά τους, και έχοντας εφαρμόσει αναλύσεις για την ανίχνευση τησ ισοτοπικής αναλογίας του στροντίου σε δείγματα από την πλειοψηφία των ατόμων του Tαφικού Kύκλου A, προχωρούμε τώρα σε μια επαναδιερεύνηση των συνθηκών υπό τις οποίες ανασκάφηκαν οι Λακκοειδείς Tάφοι III, IV, και V από τους Schliemann και Σταματάκη, και συσχετίςουμε τα ανθρώπινα σκελετικά υπολείμματα με τα υπόλοιπα ευρήματα από τους τάφους (δεν έχουν ακόμη εντοπιστεί σκελετικά υπολείμματα από τους Tάφους I και II). Στη συνέχεια περιγράφουμε τα αποτελέσματα της πρώτης, μετά από εκείνη του Angel το 1937, μελέτης αυτών των ανθρωπίνων σκελετικών υπολείμμάτων, επανεξετάςοντάς τα σύμφωνα με ςύγχρονες οστεοαρχαιολογικές θεωρίες, μεθόδους και τεχνικές, με τελικό στόχο την ανασύνθεση του τρόπου ςωής των ατόμων που είχαν ταφεί στον Tαφικό Kύκλο Α.
The Classical Farmstead Revisited. Activity Differentiation based on a Ceramic Use-Typology
Authors: Winther-Jacobsen Kristina
Published: June 2011

This article explores some recent developments in the investigations of isolated rural settlements, and the methodologies to elicit differences and similarities among the Vari and the Dema houses and the class of sites identified as farmsteads by intensive surveys by the Laconia Rural Sites Project. In particular, the article discusses the ceramic use-typology pioneered by T.M. Whitelaw as an analytical tool for the study of artefactual variability of the surface assemblage related to activity differentiation, and a more detailed use-typology developed for the Troodos Archaeological and Environmental Survey Project (TAESP) in Cyprus, which is based not only on the morphology and surface treatment of a vessel, but on all the physical properties of the pottery including fabric, manufacturing techniques, and style. The consideration of a wider range of physical properties is especially important when working with pottery from surveys, because specific shapes can only be ascribed to a small proportion of potsherds, while the TAESP methodology allows the inclusion of a much larger proportion of material.

Το άρθρο αυτό εξετάςει ορισμένες πρόσφατες εξελίξεις στην έρευνα απομονωμένων αγροτνκών οικισμών και τις μεθόδους που έχουν χρησιμοποιηθεί για την επισήμανση διαφορών και ομοιοτήτων μεταξύ των οικιών στη Βάρη και το Δέμα και των θέσεων εκείνων που έχουν αναγνωριστεί ως αγροκτήματα από εντατικές επιφανειακές έρευνες για λογαριασμό του ‘Προγράμματος Αγροτικών Θέσεων Λακωνίας’. Πιο συγκεκριμένα, το άρθρο συςητά την χρήση-τυπολογία της κεραμεικής που αναπτύχθηκε από τον T.M. Whitelaw ως εργαλείο έρευνας για τη μελέτη της ποικιλομορφίας του υλικού αρχαιολογικών συνόλων που προέρχονται από επιφανειακές έρευνες και σχετίζονται με τη διαφοροποίηση δραστηριοτήτων. Επίσης συζητά την πιο λεπτομερή χρήση-τυπολογία που αναπτύχθηκε από το ‘Αρχαιολογικό και Περιβαλλοντικό Πρόγραμμα Επιρανειακής Ερευνας Τροόδους’ (TAESP) στην Κύπρο. Η μεθοδολογία ιου TAESP δεν βασίζεται μόνο στην μορφολογία και την επεξεργασία της επιφάνειας ενός αγγείου, αλλά και σε όλες τις άλλες φυσικές ιδιότητες της κεραμεικής όπως την κεραμεική ύλη, τις τεχνικές παραγωγής και την τεχνοτροπία. Η εξέταση μιας ευρύτερης σειράς φυσικών ιδιοτήτων είνοα ιδιαίτερα σημαντική για τη μελέτη της κεραμεικής από επιφανειακές έρευνες, καθώς συγκεκριμένα σχήματα μπορούν να αποδοθούν μόνο σε έναν αναλογικά μικρό αριθμό οστράκων, ενώ με τη μεθοδολογία του TAESP ένα αναλογικά μεγαλύτερο ποσοστό κεραμεικής μπορεί να συμπεριληφθεί σε αντίστοιχες μελέτες.
A New Gold Myrtle Wreath from Central Macedonia in the Collection of the Archaeological Museum of Thessaloniki
Authors: Tsigarida Bettina
Published: June 2011

A gold myrtle wreath was acquired by the Jean Paul Getty Museum in 1993, and returned to Greece in 2007: it is now housed in the collection of the Archaeological Museum of Thessaloniki (inv. no. ΜΘ 24000). While its technical features and methods of manufacture have already been discussed in previous publications, this article focuses on provenance, dating, and comparisons. On the basis of a detailed structural analysis and parallels for this wreath, the author suggests Central Macedonia as its provenance and a date towards the end of the 4th century bc. This is the eighth myrtle wreath from this region, implying that this type was made in local workshops. The concluding section of this article offers a brief account of the use of wreaths in ancient Greece.

Ένα χρυσό στεφάνι μυρτιάς, που αγοράστηκε από του Μουσείο γκεττύ το 1993, επιστράφηκε στην Ελλάδα το 2007 και συμπεριλήφθηκε στη συλλογή του Αρχαιολογικού Μουσείου Θεσσαλονίκης (ΜΘ 24000). Οι τεχνικές λεπτομέρειες και η μέθοδος κατασκευής του έχουν παρουσιαστεί σε σχετικές δημοσιεύσεις. Η παρούσα εργασία εξετάςει την προέλευση, τη χρονολόγηση και τη σύγκρισή του με άλλα παρόμοια χρυσά στεφάνια μυρτιάς. Βασισμένη στη λεπτομερή ανάλυση της δομής του αντικειμένου και στα παράλληλά του, η συγγραφέας προτείνει την Κεντρική Μακεδονία ως τόπο προέλευσής του και το χρονολογεί στα τέλη του 4ου αιώνα π.Χ. Είναι το όγδοο χρυσό στεφάνι μυρτιάς από την περιοχή αυτή υποδηλώνοντας ότι αυτός ο τύπος κατασκευαςόταν εκεί, σε τοπικά εργαστήρια. Στο τελευταίο τμήμα της εργασίας γίνεται σύντομη αναφορά στη χρήση των χρυσών στεφανιών στην αρχαία Ελλάδα.
Maximal entropy measures for certain partially hyperbolic, derived from Anosov systems
Authors: BUZZI J. , FISHER T. , SAMBARINO M. , VÁSQUEZ C.
Published: June 2011

We show that a class of robustly transitive diffeomorphisms originally described by Mañé are intrinsically ergodic. More precisely, we obtain an open set of diffeomorphisms which fail to be uniformly hyperbolic and structurally stable, but nevertheless have the following stability with respect to their entropy. Their topological entropy is constant and they each have a unique measure of maximal entropy with respect to which periodic orbits are equidistributed. Moreover, equipped with their respective measure of maximal entropy, these diffeomorphisms are pairwise isomorphic. We show that the method applies to several classes of systems which are similarly derived from Anosov, i.e. produced by an isotopy from an Anosov system, namely, a mixed Mañé example and one obtained through a Hopf bifurcation.
On the computation of the Picard group for K3 surfaces
Authors: ELSENHANS ANDREAS-STEPHAN , JAHNEL JÖRG
Published: June 2011

We present a method to construct examples of K3 surfaces of geometric Picard rank 1. Our approach is a refinement of that of R. van Luijk. It is based on an analysis of the Galois module structure on étale cohomology. This allows us to abandon the original limitation to cases of Picard rank 2 after reduction modulo p. Furthermore, the use of Galois data enables us to construct examples that require significantly less computation time.
Notes on the FTSE Actuaries Share Indices (United Kingdom Series) in 1997
Authors: Brumwell J.C.H.
Published: June 2011

Consolidation of the FTSE Actuaries Share Indices and of the revised 1994 industry classification system. All-Share Index now in ‘real time’.
Future Financial Regulation: An Actuary's View. A Discussion Paper by a Working Party
Authors: Fishman A.S. , Daldorph J.J. , Gupta A.K. , Hewitson T.W. , Kipling M.R. , Linnell D.R. , Nuttall S.R.
Published: June 2011

The text of this paper, together with the abstract of the discussion held by the Institute of Actuaries on 22 September 1997, are printed in British Actuarial Journal, 4, II, 145-191.
The Management of Risks in Banking
Authors: Allan J.N. , Booth P.M. , Verrall R.J. , Walsh D.E.P.
Published: June 2011

This paper takes an overview of the various financial risks which need to be managed in banking. It then looks in detail at the specific areas of operational risk, market risk and pricing loans. A cash flow model is then developed, which takes explicit account of the various financial factors which should influence the interest rate charged. The model is applied to price loans with various features. The results of the model are shown, and weaknesses in the model and possible areas for further work indicated.
A Review of the Statutory Valuation of Long-Term Insurance Business in the United Kingdom
Authors: Wright P.W. , Burgess S.J. , Chadburn R.G. , Chamberlain A.J.M. , Frankland R. , Gill J.E. , Lechmere D.J. , Margutti S.F.
Published: June 2011

The text of this paper, together with the abstract of the discussion held by the Faculty of Actuaries on 16 March 1998, are printed in British Actuarial Journal, 4, IV, 803-864
The Fayrest Inne (Staple Inn Reading 1998)
Authors: Sparrow Reader – Charles
Published: June 2011

As part of the 150th anniversary celebrations of the actuarial profession, the link between Gray's Inn and Staple Inn is being renewed with the appointment by Gray's Inn of a Reader, who will give an annual lecture at Staple Inn as a contribution to legal and actuarial education.

The first reading for some 300 years gives an outline of the history of Staple Inn, from its origin in the fourteenth century as a ‘Staple’, a customs house for wool, later becoming an Inn of Chancery of one of the four Inns of Court, Gray's Inn. It was in the Inns of Chancery that training was given to law students. The progression of English law and of the training of law students are outlined, particularly how they affected Staple Inn and its subordinate relationship to Gray's Inn. The eventual loosening of the ties between the Inns of Court and the Inns of Chancery, the end of the involvement of Staple Inn with the legal profession, and the coming of the Institute of Actuaries to Staple Inn are all described.
Address by the President of the Faculty of Actuaries
Authors: Low Cuthbert Whyte Fraser
Published: June 2011

Presidential Addresses are an opportunity to survey the actuarial landscape, and this one is no exception. The pace of change and scope of work undertaken by actuaries since the President qualified is commented upon. Many of the current and future issues are also aired, from bonus rates and pensions mis-selling to stakeholder pensions and long-term care. Regulation, in a number of areas, is also reviewed. The regular topics of education, examinations and continuous professional development also feature.
A Crisis of Longer Life: Reforming Pension Systems
Authors: Daykin C.D. , Lewis D.
Published: June 2011

Social security pension schemes around the world are facing a number of problems, of which demographic ageing is the most commonly discussed. This paper provides an overview of expected future demographic developments in European Union and some other OECD countries, and evaluates some of the range of solutions which have been, or are being, considered to address this and other problems facing social security in the late 1990s, drawing on examples from OECD countries, from Latin America and from central and eastern Europe. Consideration is given to the possibilities for increasing the level of funding in social security pension schemes or developing funded complementary pension schemes.
The Methodology of Actuarial Science
Authors: Pemberton J.M.
Published: June 2011

This paper considers actuarial science within the context of the framework provided by the formal study of scientific method. A review of key points of recent developments within the methodology (study of method) of science and the methodology of economics is presented. A characterisation of actuarial science and its methods is then developed using as inputs the United Kingdom actuarial education syllabus and recent work of the profession, most notably Bellet al., (1998). The methods of actuarial science are then considered within the framework provided by formal methodology to propose an articulation of the methodology of actuarial science. This methodology is explored in relation to that of other sciences, and some of the implications and opportunities for actuarial science which arise from this investigation are identified. The paper concludes that actuarial science has a distinctive and potentially powerful empirical method of applied approximation. This methodological analysis is intended, in part, to add to the momentum of the programme concerned with furthering the use of actuarial methods within broader spheres (eg Nowellet al., 1996).
International Measures of Profit for Life Assurance Companies
Authors: O'Keeffe P. J. L. , Sharp A. C.
Published: June 2011

This paper reviews some principles surrounding the reporting of realistic profits for life assurance companies and reports on the methods used in the United States of America and in Australia. Mention is also made of the valuation method adopted in South Africa.
A Continuous Performance Investigation of Selected United Kingdom Equities
Authors: Clarkson R.S.
Published: June 2011

This paper extends and develops the strategy investment approach first described in a paper to the 1997 Investment Conference of the Faculty and Institute of Actuaries. Selected constituents of the FTSE-100 Index are partitioned each month into groups of ten in terms of relative attractiveness as estimated by a utility function involving expected earnings growth over the following twelve months and prospective price-earnings ratio. The relative performances of these monthly cohorts of selections are then calculated at monthly intervals using principles similar to those used in mortality rate investigations. The mean values and the underlying variability of these relative performances suggest that the strategy investment approach provides a very powerful and consistent framework for successful equity share selection. Finally, the outline of a fundamental preferences model for performance relative to an equity market index is put forward as a possible replacement for the Capital Asset Pricing Model as the basic theoretical framework for equity share returns.
Pension Fund Valuations and Market Values
Authors: Head S.J. , Adkins D.R. , Cairns A.J.G. , Corvesor A.J. , Cule D.O. , Exley C.J. , Johnson I.S. , Spain J.G. , Wise A.J.
Published: June 2011

The traditional approach to United Kingdom pension fund valuations is to use an off-market approach to valuing assets and liabilities. This approach has been called into question for a number of reasons, such as changes to the taxation of U.K. share dividends and a growing understanding and appreciation of the key principles of financial economics. This paper looks at the history of the traditional approach and focuses on the drivers for change. We compare the properties of various methods that take assets into the balance sheet at market value against the traditional valuation method. Our principal aim throughout has been to produce a paper that is practical and helpful to pension scheme actuaries.
A Market-Based Approach to Pricing With-Profits Guarantees
Authors: Hare D.J.P. , Dickson J.A. , McDade P.A.P. , Morrison D. , Priestley R.P. , Wilson G.J.
Published: June 2011

This paper addresses one of the fundamental issues faced by offices in the transacting of with-profits business, namely, the provision of equity-related performance along with maturity guarantees that increase over the lifetime of the policy. The approach commonly followed of using capital to cover the office's investment mismatch risk is considered from an individual policy viewpoint, and, through stochastic modelling, the degree of security represented by different reserve levels identified. An alternative approach using derivatives to provide similar levels of security is then presented and the range of policy proceeds resulting from the two methods compared. While it is recognised that the latter approach may have limited application in practice, the ideas presented could form the basis of a new approach to pricing guarantees under with-profits business that would be consistent with the pricing of current derivative-backed guaranteed products.
The Prospect of Mortality: England and Wales and the United States of America, 1962–1989
Authors: Murphy M.J.
Published: June 2011

Forecasts of mortality are included in official population projections. The methodology and performance of British mortality forecasts is reviewed and compared with those of the United States of America in the quarter century up to 1989. The results are found to have been surprisingly poor when compared, for example, with the more widely-criticised fertility component; similar conclusions hold for other developed countries. Although the methodology has become more sophisticated over the years by using detailed information on cause of death and cohort-based approaches, this has not led to obviously better forecasts, and the time period at which the forecasts are made is more important than the method used. The particular importance of mortality assumptions in determining projected numbers of elderly people discussed.
Should Projections of Mortality Improvements be Subject to a Minimum Value?
Authors: Baxter S. D.
Published: June 2011

Projections of future mortality typically used for funding pension scheme liabilities assume that future year-on-year decreases in mortality rates will slow rapidly, and that there is very limited potential for further decreases at the oldest ages. This paper considers the consistency of such projections with current trends in life expectancy. Particular focus is paid to whether future mortality should be subject to a minimum level of improvement to reflect general advances in medicine. Care is taken to exclude the additional increases in longevity arising from a concentration of positive health factors amongst the generation who are currently experiencing the ‘cohort effect’.

If historic trends continue into the future, then period life expectancy from age 65 in England & Wales will increase at 26 days p.a. for women and 41 days p.a. for men, with additional increases arising from the ‘cohort effect’. This is a faster rate of period increase in life expectancy than embedded in the interim cohort projections. One way to ensure that actuarial projections keep pace with the population trend is to subject projections to a minimum level of (geometric) improvement of at least 11/4% p.a. for men and 3/4% p.a. for women, at all older ages and in all future years.

Consideration is given to the possible impact of differences between the socio-economic profile of England & Wales and the membership of the pension schemes to whom the projections will be applied ultimately. This paper also highlights that the application of a single minimum value, independent of time and age, simplifies a more complex underlying pattern, but that minimum improvements of 11/4% p.a. for males and 3/4% p.a. for females represent an average of historic improvements in mortality seen in England & Wales.

The paper includes a survey of the history of the low levels of mortality seen currently. The survey includes some discussion on the potential for future improvements and considers topical issues, such as the potential impact of obesity on life expectancy projections (and, in turn, the minimum value applied to improvements).

The financial impact of subjecting projections of mortality improvement to a minimum value is quantified.
Two-Dimensional Mortality Data: Patterns and Projections
Authors: Richards S. J. , Ellam J. R. , Hubbard J. , Lu J. L. C. , Makin S. J. , Miller K. A.
Published: June 2011

Patterns and trends in late-life mortality are of growing financial importance. The growth in pension liabilities, both public and private, are of crucial interest to governments, insurers and companies with defined benefit pension schemes. This paper explores the patterns in international mortality data, and draws important lessons for actuaries in the United Kingdom.
Modelling and Managing Risk
Authors: Sweeting P. J.
Published: June 2011

This paper looks at the risks faced by financial institutions, and how they can be modelled and managed. I compare the way in which each of the risks affects different types of financial institution and look for similarities (and differences) across industries. Finally, I consider what makes a good risk management system.
The Lloyd's Reinsurance to Close Process
Authors: Hindley D.J. , Allen M. , Czernuszewicz A.J. , Ibeson D.C.B. , McConnell W.D. , Ross J.G.
Published: June 2011

General insurance syndicates at Lloyd's are required to obtain a Statement of Actuarial Opinion (SAO) in relation to their solvency reserves. This paper focuses on the reinsurance to close (RITC) process at Lloyd's, which is not currently subject to such opinions although some Lloyd's syndicates choose to obtain informal opinions from actuaries in relation to RITC. The paper analyses the current RITC process and suggests two types of opinion that actuaries could provide in relation to RITC. We also consider briefly financial condition opinions for Lloyd's syndicates. The International Accounting Standards Committee (IASC) published their issues paper on insurance accounting during the drafting of this paper, and we include some consideration of the application of the IASC's fair value concept to the future claim liabilities of Lloyd's syndicates. Lloyd's may be subject to unprecedented changes in the next few years, and we therefore consider the effect of these potential changes both on the existing actuarial solvency opinions and on our suggested opinions in relation to RITC. Our aim is to carry out an objective analysis of this unique reserving process and to offer suggestions as to how actuaries might add value to the process, taking into account how Lloyd's might change in future. Because of these changes, much of the paper has direct application to non-Lloyd's insurance companies.
Address by the President of the Faculty of Actuaries: A Learning Profession
Authors: Kingston Thomas David
Published: June 2011

This Presidential Address is a call to arms for the profession. It outlines many areas in which we could be major contributors if we are prepared to undertake the necessary research, discussion and seminar work. In covering the historical landscape of actuarial work, emphasis is placed on looking to the future in life assurance, pensions and investment. Education, public interest and marketing are all covered in the context of what we need to do and the need to get it done sooner rather than later. Our future, and that of the Faculty, is again opened up for debate to ensure that we remain objectively focussed.
Hedge Funds
Authors: Caslin J. J.
Published: June 2011

The paper opens by showing how certain types of hedge funds can reduce the risk and increase the return on a traditional balanced managed fund. One of the key characteristics of such a hedge fund is that it has a low correlation with the balanced managed fund. The paper puts forward a new way of explaining correlation so that it can be more readily understood, and suggests methods of analysis for dealing with the fact that correlation is unstable. Volatility correlation is also examined because of its importance in reducing the risk of a portfolio.

An outline of the characteristics and risks of three types of hedge funds, namely, long/short equity, convertible arbitrage and merger arbitrage, together with some questions investors might put to prospective hedge fund managers is given in Section 5.

Some of the very basic statistical analysis techniques used in assessing the past performance of hedge funds are given in Section 6. Considerable emphasis is put on the need to examine daily return data as an insight into the quality of the manager's IT systems, his risk management, evidence of smoothing of returns, and to gain access to a higher number of data points for assessing the repeatability of performance.

An entire section of the paper is devoted to gaining a clear understanding of a prospective hedge fund manager's volatility management strategy because of its importance in the context of the fee structure of hedge funds and its importance for assessing the ability of a hedge fund to reduce the risk and increase the returns of a balanced managed fund.

Funds of hedge funds are examined in the final section, and the section concludes that large sophisticated institutional investors may wish to create a portfolio of hedge funds rather than invest in a fund of hedge funds.
Market Consistent Valuation of Life Assurance Business
Authors: Sheldon T. J. , Smith A. D.
Published: June 2011

In recent years there has been a trend towards market consistent valuation in those institutions for which actuaries have responsibilities. The larger United Kingdom with-profits insurance companies are now preparing realistic balance sheets, both for internal purposes and also at the request of the Financial Services Authority. International accounting standards have been moving to a fair value approach. Pension fund accounting under FRS 17 has also moved in this direction.

In this paper we examine the reasons for the adoption of market consistent valuation and discuss some of the commercial implications and corporate valuation. We consider the methods and assumptions which can be used to develop market consistent valuations of cash flows typically encountered in the liabilities of financial institutions, together with some of the problems inherent in the calibration of models used for the valuation of these cash flows. The volatility assumption is crucial to the valuation of options and guarantees, and we discuss the relationship between historical and implied volatility.

While most insurance companies initially adopted formulae to value their with-profits guarantees, several offices are now using a Monte Carlo simulation approach for their realistic balance sheets. The Monte Carlo approach enables allowance to be made for management discretion in bonus and investment policy, as well as policyholder actions. However, in many cases it is possible to develop analytical formulae for cash flows approximating those payable under insurance contracts.

The valuation formulae have implications for the hedging of embedded guarantees. The authors discuss the construction of hedges for financial risks in with-profits funds, the separate perspectives of policyholders and shareholders, possible funds in which to hold hedging instruments, limitations of capital market hedging tools and the effect of taxation on hedge effectiveness.
Valuation and Hedging of Limited Price Indexed Liabilities
Authors: Huang H.-C. , Cairns A. J. G.
Published: June 2011

This paper considers the market or economic valuation and the hedging of Limited Price Indexed (LPI) liabilities. This involves finding optimal static and dynamic hedging strategies which minimise the riskiness of the investment portfolio relative to the liability.

In this paper we do not aim to find the perfect hedge in a perfect world. Instead, it is assumed that optimisation is restricted to three commonly used asset classes in pension funds: cash; long-term (or irredeemable) fixed-interest bonds; and long-dated index-linked bonds. The economic value of the liability is then defined as the value of the best matching portfolio using a mean/variance type of loss function. Specifically, we adopt the risk minimising approach of Föllmer & Sondermann (1986) and Schweizer & Föllmer (1988). Even with such a simple loss function, establishing the theoretically optimal solution can be difficult. We propose that a practical solution close to the theoretical optimum can be found using two approximations. First, we approximate the ‘true’ stochastic economic model by a vector autoregressive model of order one. Second, we use a sequence of linearisations to approximate non-linear by straightforward quadratic minimisation problems.

The proposed approach is illustrated with various numerical examples, and we compare the results of the approximately optimal hedging strategy with static strategies.
Quantifying Operational Risk in General Insurance Companies. Developed by a Giro Working Party
Authors: Tripp Michael Howard , Bradley H. L. , Devitt R. , Orros G. C. , Overton G. L. , Pryor L. M. , Shaw R. A.
Published: June 2011

The paper overviews the application of existing actuarial techniques to operational risk. It considers how, working in conjunction with other experts, actuaries can develop a new framework to monitor/review, establish context, identify, understand and decide what to do in terms of the management and mitigation of operational risk. It suggests categorisations of risk to help analyses and proposes how new risk indicators may be needed, in conjunction with more normal quantification approaches.

Using a case study, it explores the application of stress and scenario testing, statistical curve fitting (including the application of extreme value theory), causal (Bayesian) modelling and the extension of dynamic financial analysis to include operational risk. It suggests there is no one correct approach and that the choice of parameters and modelling assumptions is critical. It lists a number of other techniques for future consideration.

There is a section about how ‘soft issues’ including dominance risk, the impact of belief systems and culture, the focus of performance management systems and the psychology of organisations affect operational risk. An approach to rating the people aspects of risk in parallel with quantification may help give a better overall assessment of risk and improve the understanding for capital implications.

The paper concludes with a brief review of implications for reporting and considers what future work will help develop the actuarial contribution. It is hoped the paper will sow seeds for the development of best practice in dealing with operational risk and increase the interest of actuaries in this emerging new topic.
Longevity in the 21st Century/The Cohort Effect: Insights and Explanations. Abstract of the Discussion held by the Institute of Actuaries
Authors: Willets R. C. , Gallop A. P. , Leandro P. A. , Lu J. L. C. , Macdonald A. S. , Miller K. A. , Richards S. J. , Robjohns N. , Ryan J. P. , Waters H. R.
Published: June 2011

The text of these papers, together with the abstract of the discussion held by the Faculty of Actuaries on 15 March 2004, are printed in British Actuarial Journal, 10, IV, 685-898.
The European Convention on Human Rights – An Aladdin's Lamp? (Staple Inn Reading 2004)
Authors: Caplan Jonathan
Published: June 2011

The lecture describes the European Convention on Human Rights, how it differed from the legal system in England until the enactment of the Human Rights Act 1998, and what has happened since then, giving many examples.
Healthy Life Expectancy Measurement in Scotland
Authors: Macdonald A. S. , Straughn J. , Sutton M.
Published: June 2011

Health expectancy (HE) was only recently estimated for the Scottish population (Clark et al., 2004). The estimates were based on Sullivan's method, applying the morbidity prevalence in each age group to the expected number of years lived, to obtain the expected number of years lived in good health. First, we compare these estimates with a wide range of estimates in respect of the rest of the United Kingdom and the (pre-accession) countries of the European Union. We find that Scotland's HE is relatively low, especially for men. Second, we examine data comprising the responses to the 1998 Scottish Health Survey, linked to the hospital records of the respondents from 1981 to 2004, and death records from 1998 to 2004, with HE measurement in mind. Although time spent in hospital does not give a satisfactory measure of HE, the linkage presents a rare opportunity for statistical analysis of survey respondents' mortality and morbidity. We show the results of survival analyses, quantifying the effectiveness of various definitions of ‘unhealthy’ as predictors of future mortality and morbidity. The results suggest that enumerating recent serious hospital episodes might help to predict future patterns of demand for acute services.
Effective Decision Making in a Life Company
Authors: Iqbal M.
Published: June 2011

In the recent past life companies have made many decisions which they have had cause to deeply regret. This paper looks at the range of decision making theories available. It then examines recent examples of decisions that had unfavourable consequences and explores why they were taken, and goes on to describe a systematic approach to decision making which can help management assess more objectively the difficult choices confronting them today. The approach does not require espousal of any specific decision theory or method of value measurement. The focus is on the decision making process and the organisation's capacity to handle change. The paper identifies the three requirements for effective decision making.
Merging With-Profits and Unit-Linked Life Funds in a Proprietary Company: Actuarial Considerations Based on a Case Study
Authors: Paul R.M.
Published: June 2011

In the current financial climate takeovers of proprietary life companies by other life companies, amalgamations of mutuals and demutualisations have become more and more prevalent. However in respect of takeovers, the process does not end with the purchase, but normally results in the transfer of the long-term business of one of the companies to the other. To optimise synergy and administrative efficiency, there may be a need to reconstruct the amalgamated funds.

The author has been involved as Appointed Actuary and internal project manager in such transfers of business within proprietary companies and has also acted as an independent actuary and as an external project manager for other transfers. One of these transfers involved four companies transacting both with-profits and unit-linked business in which the interests of both policyholders and shareholder had to be protected. He considered this transfer to be of sufficient interest to merit the preparation of a paper discussing the issues which arose. Although the paper is principally based on that transfer as a case study, relevant and related factors arising in other transfers have been included where appropriate, as have references to the role of the actuary before, during and after reconstruction.

In the case study, the scheme of transfer and the associated reconstruction of corporate structure involved merging three separate with-profits funds, merging many unit-linked funds (including unitised with-profits) and, subject to appropriate compensation, rationalisation of the rights to surplus attributable to both with-profits policyholders and shareholder.
Stochastic Claims Reserving in General Insurance
Authors: England P.D. , Verrall R.J.
Published: June 2011

This paper considers a wide range of stochastic reserving models for use in general insurance, beginning with stochastic models which reproduce the traditional chain-ladder reserve estimates. The models are extended to consider parametric curves and smoothing models for the shape of the development run-off, which allow extrapolation for the estimation of tail factors. The Bornhuetter-Ferguson technique is also considered, within a Bayesian framework, which allows expert opinion to be used to provide prior estimates of ultimate claims. The primary advantage of stochastic reserving models is the availability of measures of precision of reserve estimates, and in this respect, attention is focused on the root mean squared error of prediction (prediction error). Of greater interest is a full predictive distribution of possible reserve outcomes, and different methods of obtaining that distribution are described. The techniques are illustrated with examples throughout, and the wider issues discussed, in particular, the concept of a ‘best estimate’; reporting the variability of claims reserves; and use in dynamic financial analysis models.
Stochastic Investment Modelling: a Multiple Time-Series Approach
Authors: Chan W.S.
Published: June 2011

ASBTRACT

In this paper we adopt the multiple time-series modelling approach suggested by Tiao & Box (1981) to construct a stochastic investment model for price inflation, share dividends, share dividend yields and long-term interest rates in the United Kingdom. This method has the advantage of being direct and transparent. The sequential and iterative steps of tentative specification, estimation and diagnostic checking parallel those of the well-known Box-Jenkins method in the univariate time-series analysis. It is not required to specify anya prioricausality as compared to some other stochastic asset models in the literature.
Why Arbitrate? (Staple Inn Reading 2002)
Authors: Butcher Anthony
Published: June 2011

The lecture considers the subject of arbitration as a means of determining otherwise irreconcilable disputes. Although arbitration may be required over a wide range of subjects, the lecturer's considerable experience has been in the area of construction. He outlines how arbitration was carried out in the 1950s and the relationship between arbitrators and arbitrations and the courts. Since that time there have been radical changes to improve the system, and these are described, particularly the various Acts of Parliament relevant to the subject. The lecturer concludes that currently construction arbitration is in good heart, but that too much paper is still being generated.
The Use of Utility Functions for Investment Channel Choice in Defined Contribution Retirement Funds. I: Defence
Authors: Thomson R.J.
Published: June 2011

This paper addresses the use of expected utility theory for the recommendation of an apportionment between investment channels of a member's interest in a defined contribution retirement fund. Such usage is defended against arguments that have been levelled against expected utility theory and empirical evidence is discussed.
The Use of Utility Functions for Investment Channel Choice in Defined Contribution Retirement Funds. II: A Proposed System
Authors: Thomson R. J.
Published: June 2011

In this paper a system for recommending investment channel choices to members of defined contribution retirement funds is proposed. The system is interactive, using a member's answers to a series of questions to derive a utility function. The observed values are interpolated by means of appropriate formulae to produce a smooth utility function over the whole positive range of benefits at retirement. The resulting function, together with stochastic models of the returns on the available channels and of the annuity factor at exit, is then used to recommend an optimum apportionment of the member's investment. The proposed system is applied to the observed values of utility functions of post-retirement income elicited from members of retirement funds. Difficulties in the application are discussed and the results are analysed. The sensitivity of the recommendations to the parameters of the stochastic model is discussed.
Reserving, Pricing and Hedging for Policies with Guaranteed Annuity Options. Reserving for Annuity Guarantees: Reference Paper for the Discussion
Authors: Wilkie A. D. , Waters H. R. , Yang S. , Bolton M. J. , Carr D. H. , Collis P. A. , George C. M. , Knowles V. P. , Whitehouse A. J.
Published: June 2011

This report, which was sponsored by the Life Board of the Faculty and Institute of Actuaries, was originally published in November 1997.

Because it is referred to several times in the paper ‘Reserving, Pricing and Hedging for Policies with Guaranteed Annuity Options’, and in the discussions of the paper, and because it is not easily accessible elsewhere, it is printed here as a background paper for reference.
Background Risk and Pensions
Authors: Cardinale M. , Katz G. , Kumar J. , Orszag J. M.
Published: June 2011

This paper explores the effect of unhedgeable background risks such as mortality and labour risks (such as wages and turnover) on pension funding and finance. We explore the literature on the economics and finance of background risk, and discuss its applicability to pensions. Most of the results in economics apply to the special case of additive background risk, which is part of, but not all of, the background risk faced by pension funds. We develop three illustrative models and show the impact of background risk on pension funding and asset allocation. We find that the asset allocation and funding decisions of pension plans in general change with the introduction of background risk, in some cases significantly. We also explore implications of background risk for fair value calculations.
The Cost of Capital for Financial Firms
Authors: Exley C. J. , Smith A. D.
Published: June 2011

Most businesses have assets financed by capital providers. The cost of capital is a measure of the returns required by those capital providers. Its main use is to set a target for the profits, which must be achieved on the firm's assets in order to satisfy equity and bond holders.

This paper describes the classical theory of the cost of capital, and then applies it to the special case of banking and insurance firms. We develop implications for product pricing, performance measurement and capital structure optimisation.
Financial Economics — an Investment Actuary's Viewpoint
Authors: Clarkson R.S.
Published: June 2011

The paper compares and contrasts the theories and methodologies of financial economics with generalisations drawn from practical experience of institutional investment management. A Dynamic Equilibrium Model is put forward as a much more realistic theoretical framework than the Sharpe Diagonal Model, a downside theory of risk is developed from sports analogies, and a detailed model of human behaviour, incorporating benchmark levels of ‘unintelligent’, ‘intelligent’, ‘optimal’ and ‘rational’ behaviour, is suggested as a replacement for the very restrictive simplifying assumptions of existing theories. On the basis of a classification system derived from parallels with the history of astronomy, it is concluded that, as a scientific framework, the current theories of financial economics are seriously incomplete, the two crucial areas of incompleteness being the absence of a downside theory of risk and the absence of a realistic model of human behaviour under conditions of risk and uncertainty.
Life Insurance Accounting at Current Values: A Danish View
Authors: Ramlau-Hansen H.
Published: June 2011

Traditional life insurance accounting standards rely on various types of book and cost values, the result being that the income and balance sheet statements do not necessarily give a true and transparent picture of the result of the life business. As examples, assets are typically stated at a mix of cost, current and amortised cost values, whereas life insurance provisions are calculated according to the approved technical basis.

In this paper, it is suggested that this deficiency can be corrected by preparing life insurance accounts at current value. The proposed method implies that the life insurance provisions shall amount to the present value of the company's net liabilities to the policyholders including a provision for future bonus distribution. Moreover, any unrealized investment reserves are thrown into light, and it is shown how a bonus equalization provision at current value may serve as a key indicator of the financial strength of the company.

The method has been designed primarily for the Danish market, but aspects of the method should be of relevance more widely.

Finally, the results are illustrated by a number of numerical examples.
An International Comparison of Recent Trends in Population Mortality
Authors: Macdonald A.S. , Cairns A.J.G. , Gwilt P.L. , Miller K.A.
Published: June 2011

This survey continues a series of international mortality comparisons, of which the most recent were Giles & Wilkie (1973) and Wilkie (1976). The first part of the paper is a descriptive survey of mortality data from United Nations sources over the period 1970-90. The second part is based on short reports prepared by contributors from the actuarial associations in various countries, and aims in particular to provide a comprehensive bibliography.
Forecasting U.K. Population Mortality Allowing for Age, Period and Cohort Effects
Authors: Forfar D. O.
Published: June 2011

The mortality data (registered deaths and population size) over the years 1961–2007 for the population of England and Wales and for Scotland were obtained from the Office for National Statistics (ONS) and from the Scottish Registrar General. This paper addresses the following questions:

(i) Is there statistical evidence for a cohort effect (i.e. a generation effect separate from the period effect) being present in the data?

(ii) Do both males and females exhibit similar cohort (generation) effects?

(iii) Are period effects (i.e. the improvement in mortality with time) more significant than cohort effects?

(iv) How should one allow, in forecasts of population mortality, for age, period and cohort effects?

(v) Is it sensible to combine male and female mortality experience to determine the period effect and the cohort effect?

(vi) How do the forecasts for the expectation of life at birth, using the Extended-Lee–Carter-Combined (ELCC) model (described in the paper) differ from the (2008 based) Office of National Statistics (ONS) forecasts of the expectation of life at birth?