bluuebunny/crossref_metadata_2025 huggingface dataset:
Valuation of Ordinary Life Assurance Business Using a Medium-Sized Electronic Computer and Magnetic Tape Files
Authors: Wilkie A. D.
Published: July 2016

Synopsis

The paper describes the system used by one office to produce valuation and mortality statistics and to calculate bonus for ordinary assurances, using magnetic tape files and a Pegasus 2 computer.

After a brief outline of certain features of the office, the computer, and the previous system using punched cards, some of the factors that influenced the system finally developed are discussed. An outline of the main system is given, and of some of its subsidiary parts.

The policy data and movements system is discussed in detail, and some comments are made on the system of checking the data supplied to the computer. The principal routines to calculate the net premium and value the policy are described fully, and flow charts for the routines are appended. The calculations for analysis of surplus are also described in detail. Some features of the programmes peculiar to a computer system are also discussed, and a detailed example given.

It is shown how Flexowriter tapes could be used to replace punched cards for the input of data for new policies, and how new business statistics could be obtained. Finally, the possibility of using the computer system for an emerging costs valuation is explored, and some other possible future extensions of the system are discussed.
Mortality in the British Isles 1950-1960
Authors: Whitehead D.
Published: July 2016

R. Ll. Gwilt in his paper “Mortality in the Past Hundred Years” (T.F.A. vol. 24, p. 40) reviewed the trend of mortality in six countries over the period 1850 to 1950. In their paper to the XVIth International Congress of Actuaries (Vol. II, p. 379) J. L. Anderson and the writer reviewed the trend in 17 countries over the period 1937 to 1956. Both these papers indicated some of the factors which cause variations in mortality rates, but it is felt that a study of the mortality variations over a short period in one country might yield further information.
Distribution of Surplus Under a With-Profit Group Bonus System
Authors: Robertson E. S.
Published: July 2016

Synopsis

The paper describes a with-profit group bonus system similiar to a rebate system being operated at the present time. It is suggested that, in view of the present high level of interest rates, the premium rates for such a scheme should be based on an immunization approach, and the paper describes how these rates can be calculated using a computer. It is envisaged that capital profits for with-profit group pension business will be distributed, and a system is outlined for arriving at the distributable surplus, and for distributing it. This system is based on reserves calculated on the premium basis and on a special “market value fund”.
Unit Trusts and Equity Linked Endowment Assurances
Authors: Grant A. T. , Kingsnorth G. A.
Published: July 2016

Synopsis

The aim of the paper is to discuss some of the problems relating to unit trusts and to the issue of annual premium endowment assurance policies with benefits linked to unit trusts or equities.

SECTION I describes the background to unit trust operations including the main requirements for Board of Trade authorization.

SECTION II analyses expenses of administration and patterns of expense loadings. It compares the traditional life assurance approach to expense loadings and normal unit trust practice.

SECTION III describes the main broad types of assurance linked to unit trusts or equities now in force. It discusses the organizational and taxation considerations involved in issuing such contracts and the desirability of doing so.
Possible Applications of Computers to Life Assurance Problems
Authors: Lundie W. , Wilkie A. D.
Published: July 2016

1. One of the reasons often advanced for the installation of a computer is that, in addition to carrying out existing processes more speedily, it will make available information and analysis previously unobtainable because of the weight of calculation and data processing involved. It is therefore appropriate that at this stage some thought should be given to the end-product and basis of various actuarial investigations to see whether the advent of new tools and techniques can be harnessed to improve the quality of the results of the investigations normally carried out by actuaries. One starting point for such research is a consideration of the defects (if any) in the form and basis of existing investigations. The first part of this note deals with possible lines of research in the field of life office valuation, surplus and new business investigations. It does not pretend to be comprehensive nor does it claim that the questions posed are the best questions or that a solution exists.
Social Security and Occupational Pension Schemes
Authors: Lyon C. S. S.
Published: July 2016

Synopsis

Social security in the United Kingdom is at a crossroads. Should it become more selective, and if so, what form should the selectivity take ? Should the traditional methods of finance be changed ? What is to be done about the pockets of poverty which still exist ?

Occupational pension schemes, too, are coming increasingly under public scrutiny. Are they fulfilling their role adequately ? In what ways do they need to be improved ?

The Government is expected to announce next year its proposals for a new State pension scheme. These seem likely to include a change in the financing of National Insurance benefits generally. They may contain features which could set the State scheme and occupational schemes on a collision course.

The paper examines some of the issues involved and indicates lines along which future developments might take place. It concludes by describing a way in which State and occupational schemes could continue to work in partnership.
Calculation of Premiums and Asset Shares with Allowance for Changes in Capital Values
Authors: Calder A. N. , Shedden A. D.
Published: July 2016

Synopsis

The paper sets out to develop a method for measuring the effect which changes in capital value of securities may have on premiums and asset shares. It is shown that any such method will involve an assumption as to allocation of assets to particular sections of business, and to particular policies within those sections of business. Different approaches to the allocation of assets are discussed as a preliminary to the development of formulae which take account of changes in capital value of both fixed interest stocks and equities.

Examples are given to illustrate the accumulation of asset shares in funds of different composition under varying investment conditions, on the basis of a “unit trust” approach to the allocation of assets.

The paper concludes with some comments on surplus distribution under individual and group with-profits policies.
On the Calculation of Rates of Mortality
Authors: Davidson Andrew R. , Reid A. R.
Published: July 2016

Synopsis of Paper

The Paper is an attempt to suggest a method of estimating the mortality of the future from the records of the past.

In Part I., after a brief discussion of the existing methods of calculating rates of mortality, a new method of employing past results called the “cumulative process” is suggested. The chief distinction between the new method and those already in use lies in the fact that an attempt is made to employ existing knowledge of mortality rates when examining new data. It is claimed for the cumulative process that it is suited to a steadily increasing accumulation of knowledge such as should be the result of systematic mortality studies.
Observations Arising from “The Graduation of Pensioners' and of Annuitants' Mortality Experience 1967-70”
Authors: Archer B. S. , Hyder R. J. , McCutcheon J. J. , McIntosh J. C. , Scott W. F.
Published: July 2016

Synopsis

Written concurrently with the first item in C.M.I.R.3, the Faculty of Actuaries Mortality Research Group's paper determines a range within which mortality rates of Life Office Pensioners may be expected to change in the foreseeable future. Comparisons are made between the observed changes in pensioner mortality rates and those observed for the population of England and Wales, and reference is also made to the trends of mortality rates assumed in recent British population projections. From these considerations two forecasts are made, based upon “optimistic” and “pessimistic” future mortality assumptions, between which it is expected the actual future rates of mortality change will lie.

In the second part of the paper the financial effects of the range of forecasts are set out, when used to project the graduated pensioner Mortality Experience 1967-70 (C.M.I.R., 2, 57). The implications are illustrated in the context of two model funds, one based upon life offices' data, and the other based upon a non-insured pension scheme for which the contribution rates vary in accordance with the levels of future expected pensioner mortality.
An Investigation Into the Withdrawal Experience of Ordinary Life Business
Authors: Crombie J. G. R. , Forman K. G. , Gibbens P. R. , Mason D. C. , Paterson M. D. , Shaw P. C. , Smart J. M. G. , Smith H. , Thomson C. G. , Thomson R. G.
Published: July 2016

Synopsis

The paper is an investigation into the withdrawal rates of seven Scottish Offices and covers the years 1972-76 with an appendix giving the results for 1977.

The rates were basically analysed by class and duration with further investigations mainly on the 1976 data by age at entry, sex, size of sum assured, premium paying term, premium payment frequency and by type of agent introducing the business. Comparisons were made of the level of withdrawal rates among the various Offices and also the variations from year to year separately. A graduation of the combined data for 1975 and 1976 for each of the five main classes was carried out.
Valuation of Individual Investment-Linked Policies
Authors: Brown A. S. , Ford A. , Seymour P. A. C. , Squires R. J. , Wales F. R.
Published: July 2016

Synopsis

The authors are the members of a Working Party which was set up by the Councils of the Faculty and the Institute and whose terms of reference included the following:

1. To consider appropriate methods of valuation for individual investment-linked contracts having regard, inter alia, to the proposed rules for valuing long-term business liabilities.

2. To recommend revisions to the proposed rules or interpretations, as appropriate, to cope with the special problems of investment-linked business.

This paper presents the results of their investigations and includes consideration of the Returns to be made to the Department of Trade.
The Effect of Inflation on Pension Schemes and Their Funding
Authors: Boden D. E. , Kingston T. D.
Published: July 2016

Synopsis

The paper deals with the problem caused by inflation in pension scheme funding. It considers the question of whether or not it makes sense to fund in advance in the inflationary conditions prevalent in the U.K. and U.S.A. in the post war period.

It goes on to consider how various methods of financing pension schemes cope with inflation. It identifies one of the main problems of advance funding as the way in which it has been used to deal with post retirement pension increases. The authors suggest a new approach.

The authors go on to suggest a consistent method of valuing final salary pension schemes. This method enables the actuary to use valuation assumptions which do not demand choosing an absolute level of salary increases or rate of inflation.
Woolhouse's Formula in Relation to Piecewise Polynomial Functions
Authors: McCutcheon J. J.
Published: July 2016

Generations of actuarial students have been confronted at an early stage of their careers with Woolhouse's formula, important for its well-known application to annuities payable several times per year. However, it is probably fair to say that most of the derivations of the formula presented to students have been in some respects unsatisfactory, since they have usually relied on “ the separation of symbols ”, manipulations of the finite difference operators D, Δ, Σ and Σ(m), and have involved arguments somewhat lacking in rigour. This is not a severe criticism of the relevant textbooks, which were after all written from a practical actuarial viewpoint and which understandably enough wished to avoid the relatively difficult analysis required to derive Woolhouse's formula in its complete generality.
Life Assurance Profitability, Performance and Prospects
Authors: Plymen J. , Woodward D. L.
Published: July 2016

Synopsis

The Authors apply their experience, as former life assurance managers, to develop new methods of investment analysis of life assurance shares.

Monitoring the profitability, per unit of with profit premiums, shows how improving investment performance mitigates the adverse effect on bonuses and shareholders' earnings of the heavy new business needed to maintain the business in times of inflation. Studies of likely investment performance are made, in an attempt to forecast bonuses and dividends over the next 3 years. These methods are demonstrated practically, using the figures from the published accounts of five U.K. life offices from 1976 to 1978.

If more time and space had been available, the Authors would have liked to apply these methods to the analysis of Accounts and D.O.T. Returns of all significant U.K. life offices, proprietary, mutual and composite, that publish annual valuations. Life office managers would then be able to compare their own profitability, investment performance and bonus prospects with those of their principal competitors. In addition insurance brokers would be enabled to assess likely future results for prospective policyholders from competing life offices in a more reliable and rigorous way than is done at present, using merely historical bonus records.

The Authors have to admit that application of their techniques, although achieving considerable success with these varied objectives, is handicapped by the poor quality of life assurance Accounts and Returns. At present offices with a large group pensions component cannot be analysed, because the format of the D.O.T. Returns for this class of business is out of date and inadequate. They would like to see life office accounting methods improved, and they make some specific suggestions to this effect. In addition, detailed comments on the standard of presentation of the D.O.T. Returns are given in the Appendix, together with suggestions for improving these Returns.
Demographic and Financial Aspects of the National Health Service in Scotland
Authors: Wallace J. G.
Published: July 2016

Synopsis

The first section of the paper describes the National Health Service in Scotland with particular reference to its administrative system, its operational system and the capital and revenue expenditure of a specific year allocated to the various types of health service.

Allocation of finance to health services in the United Kingdom is determined on a United Kingdom Basis. Some international and UK comparative figures are given. The paper proceeds to describe how the allocation made to the National Health Service in Scotland is subdivided. Capital and revenue are separately referred to, including the problems of assessing the investment merits of capital and revenue expenditures. A brief description is included of the Scottish Health Authorities Revenue Equalisation report (commonly known as S.H.A.R.E.) with specific reference to the use made of Standard Mortality Ratios as a measure of morbidity. A section is included on Multiple Deprivation referring to the correlation between multiple deprivation and mortality.

The demographic aspects of the National Health Service in Scotland are enumerated and subdivided into the three main population age-groups. The birth-rate projections are discussed.

Various measurements of the health of a population are selected and some international comparisons are given. The difficulty of measuring morbidity is highlighted.

The various statistical activity measures available in the Scottish National Health Service are described. A description is given of the uses made of this information, together with health service professionals' views and demographic factors, for health service planning for the future in relation to the service as a whole, to its various specific activities and to its manpower.

A selection is given of the various scientific or theoretical bases suggested for allocating priorities in the future planning, and the practical method adopted in the Scottish Health Authorities Priorities for the Eighties (S.H.A.P.E.) is briefly described.

The paper concludes with comments by the author on certain controversial aspects of the problems.
A Market Equilibrium Model for the Management of Ordinary Share Portfolios
Authors: Clarkson R. S.
Published: July 2016

Synopsis

The paper describes the construction and application of a general price model based on the hypothesis that prices within an ordinary share market are in equilibrium after all participants have acted on their interpretation of the information available to them. The model can be regarded as a space time co-ordinate system in that all the attributes which affect the price of a share are described in terms of numerical scales and all the measurable changes over time in the equilibrium position correspond to changes in the position of a surface in 4-dimensional space.

The application of the model to the U.K. ordinary share market is described. In particular, it is shown how the relative performance of a share can be resolved into various short-, medium- and long-term components, each of which can be studied in isolation using the model as a frame of reference. In the light of this practical experience, a detailed description of the price formation process within an ordinary share market is obtained.

Since the principles underlying the practical application of the model have virtually nothing in common with the Modern Portfolio Theory methods currently in use in the United States, an attempt is made to reconcile the differing conceptual approaches. The empirical results of the market equilibrium model indicate that the theoretical foundations of Modern Portfolio Theory are somewhat insecure, and it is therefore concluded that the market equilibrium model offers the better scientific framework for the management of ordinary share portfolios.
Some Remarks Relating to Stoodley's Formula
Authors: McCutcheon J. J.
Published: July 2016

The formula suggested almost 50 years ago by Stoodley (cf. Reference 1) to allow for a reduction in rates of interest with the passage of time does not seem to have achieved the recognition which one might have expected, particularly in view of its easy application in practice. In his remarks summarising the discussion following his paper Stoodley conceded that the problem of choosing the parameters of the formula led to somewhat intractable equations, which could be solved only approximately by trial and error techniques. However, with modern calculation methods it is a trivial matter to solve this problem accurately and in §3 below we indicate one possible approach. On the other hand, the use of modern calculators considerably reduces the specific advantage of the original formula. Accordingly in §4 we consider the more general logistic curve (of which Stoodley's formula is a special case), which permits somewhat greater flexibility in modelling future trends.
Graduation of the Experience of Female Assured Lives 1975-78
Authors: McCutcheon J. J.
Published: July 2016

Recently the C.M.I. Committee has given serious consideration to the construction of a table reflecting the mortality of female assured lives. The crude data underlying the proposed table relate to the quadrennium 1975-78. At this stage the work is not entirely complete, since there has not yet been time to extrapolate to childhood the mortality rates resulting from the graduations, which necessarily relate to adult ages. However the Committee is of the view that the present state of the work is sufficiently advanced to be of some general interest. This paper reports on progress to date and the Committee wishes to obtain the reaction of the profession to the work so far carried out. The final results of the investigation will appear in due course in a C.M.I. Report.
Notes on Equal Treatment for Men and Women in Occupational Social Security Schemes
Authors: Wilkie A. D.
Published: July 2016

These notes discuss the Proposal by the Commission of the European Communities for a Council Directive “On the implementation of the principle of equal treatment for men and women in occupational social security schemes”. Article 6, sections l(h) and (i) of the proposed Directive state that it would be contrary to the principle of equal treatment to provide for benefits whose level or amount differ or to set contributions at different rates, “by taking into account different factors of calculation, actuarial or otherwise, with regard to the phenomena of ill health, mortality or life expectancy”. These notes concentrate on this proposal, which is of considerable actuarial importance. Actuaries take into account different factors of calculation with regard to these phenomena, not simply by convention or through unjustifiable prejudice, but because of a sincere respect for the truth. To attempt to ignore the truth may have dangerous consequences, which are discussed.
The Long-Term Future of Interest Rates Both Real and Nominal
Authors: Pepper G. T.
Published: July 2016

Mr. President, Sir, when I received the invitation to give this lecture I felt greatly honoured. I accepted for two reasons. First, for a Fellow of the Institute of Actuaries such an invitation from the Faculty is in the nature of a Royal Command. Secondly, the suggested subject is a natural extension of the field in which I have specialised so far in my professional life.
Objectives and Methods of Funding Defined Benefit Pension Schemes
Authors: McLeish D. J. D. , Stewart C. M.
Published: July 2016

1.1. As every actuarial student is taught:

“Pay-as-you-go is acceptable for a State pension scheme because the State is, for practical purposes, assured of a continuing existence”.

However:

“The position is quite different in the case of an occupational scheme, since an employer's business may cease to exist”.
A Co-Ordinated System of Calculations for Altered Policies
Authors: Torkington G. G.
Published: July 2016

Synopsis

This paper describes a practical co-ordinated system of calculating financial terms for policy alterations and calculating surrender and paid-up values of policies which have been altered. The system is primarily designed to produce numerical results which are consistent, equitable and capable of evaluation without the need for special actuarial experience. The calculation formulae make use of the tabular rates of surrender values and paid-up values currently granted for unaltered policies and the current premium rates charged for new policies; the often difficult selection of suitable actuarial functions is thereby avoided automatically without departing from general actuarial principles. Since the actuarial bases inherent in these tabular rates are not used explicitly the rates can be changed independently at any time without affecting the use of the formulae. The system is equally suitable for operation by clerical staff or for computer application and should produce economies in the valuable time of skilled staff.

At the end of the paper, examples are given comparing results with those calculated by conventional methods.
Measuring Investment Performance
Authors: Kingston T. D.
Published: July 2016

Synopsis

The intention of the paper is to describe the benefits of measuring investment performance and to give methods of so doing.

Section 1 gives the background to the subject; it points to the use which an objective investment performance measurement has for both the investment manager and the investor.

Section 2 describes the methods of measuring performance using overall rates of return. An example is given of results by three possible methods.

Section 3 deals with comparisons of performance. The advantage of analysing results is given. Methods are suggested for comparisons of actual rates of return with those of indices, notional portfolios and other funds.

Section 4 introduces the idea of risk, suggesting that risk is something for future policy rather than past performance measurement.

Section 5 applies the principles of performance to various types of funds giving difficulties particular to each.

The paper ends with a plea for the use of a common objective performance measurement.
The Actuarial Aspects of Compensation for Loss of Support
Authors: Milburn-Pyle P. , van der Linde J. H.
Published: July 2016

Synopsis

The purpose of the paper is to stimulate a discussion among the members of the actuarial profession on the part the actuary can play in the assessment of compensation for loss of support, in order that some consistency of approach (which the authors regard as essential) can be evolved.

The paper commences with a discussion on the unique ability of the actuary to determine the capital value of a given series of future payments, contingent upon human survival, and the significant part that this can play in the assessment of compensation for loss of support. The extent to which this ability is accepted by the Courts is discussed, and reference is made in this regard to the paper by J. H. Prevett in J.I.A., Vol. 94, pp. 293 et seq.

The authors then proceed to consider the technical aspects of valuing the loss of future support, drawing particular attention to the need for the actuary not to be held responsible for the non-technical aspects.

The paper concludes with a consideration of the general aspects of the subject, such as the professional conduct of the actuary at Court appear ances and other stages of a claim, the alternative of awarding compensation in the form of an income, and the use of actuarial assessors.
Proposals for the Statutory Basis of Valuation of the Liabilities of Long-Term Insurance Business
Authors: Bews R. P. , Seymour P. A. C. , Shaw A. N. D. , Wales F. R.
Published: July 2016

Synopsis

The Authors are members of a Working Party established by the Councils of the Faculty and Institute to consider the Department of Trade's proposed Rules for valuing the liabilities of long-term business.

The paper opens with a short introduction followed by Part 2 which considers the control systems operating in several overseas territories. Part 3 is largely historical and traces the development of actuarial thought and practice since the war. The negotiations in Europe are also covered. Having set the scene, the Authors move to consideration of the Department of Trade's proposals (the proposed Rules for valuation of liabilities are included as an Appendix to the Paper). After a brief description of the proposed Asset Value Regulations in Part 4 the net premium valuation method is discussed in Part 5 and the problems of large fluctuations in the interest basis are illustrated by examples. Possible modifications to the conventional formula are explored with further examples. The elements of the valuation basis are discussed in turn with particular emphasis on the valuation rate of interest.

The Authors conclude that the problems arising from use of high rates of interest in valuation are not so much a function of the inadequacy of the valuation method as an indication of the real financial strains to which offices are exposed in current conditions. The paper ends with a reminder that with the varied traditions of the British market no one set of Valuation Rules can satisfactorily cover every special case. Any statutory basis therefore must be seen as a compromise, and the Authors touch on special cases where they feel that it would be appropriate for the authorities to exercise their discretionary powers.
A survey of Taxation: 1965-1975
Authors: Russell C. B.
Published: July 2016

Synopsis

During the last ten years the legislation governing taxation has changed at an ever-increasing rate until the present situation is one in which an actuary requires to be familiar with some part of every Finance Act. The paper describes and comments upon the tax legislation and cases in this period likely to be of interest to an actuary in the various functions in which he acts, including that of employer and personal taxpayer.

The paper considers the effect on actuarial calculations of recent legislation and in particular gives an example of the type of analysis which may be undertaken prior to fixing premium rates for a proprietary office, including consideration of the distorting effect of apportionment of interest by mean funds. The author gives his opinions on the effect of capital transfer tax on reversionary business.

Finally there is a section briefly describing the recent new taxes on development gains, value added, and capital transfers, including reference to the position of trust policies under Scots law.
Valuation Standards
Authors: Stalker A. C. , Hazell G. K.
Published: July 2016

Synopsis

The paper seeks to examine the fundamental principles underlying the periodic actuarial investigations of life insurance companies. It attempts to define the attributes of an equitable and efficient set of standards, to classify the causes of failure of life offices and to enumerate the realities of any life office. Having examined the background to the present situation it then proceeds to attempt to derive a general valuation standard.
Experiments in the Graduation of the English Life Tables (No. 13) Data
Authors: McCutcheon J. J. , Eilbeck J. C.
Published: July 2016

By courtesy of the Government Actuary, the preliminary crude data relating to the proposed English Life Tables (No. 13) were made available to the authors. In this paper various graduations derived from these data “are described and an outline is given of the salient features of each.

The investigation covered the calendar years 1970, 1971, and 1972. For each integer x ≥ 2 the values of θx, the number of deaths during the investigation period aged x last birthday at the time of death, and Exc, the corresponding central exposure to risk, were available for both sexes. The central exposures to risk were obtained using population totals from the 1971 national census, by a method similar to that described in Appendix I of reference 4.
Some Elementary Life Table Approximations
Authors: McCutcheon J. J.
Published: July 2016

In the course of some recent work (cf. reference 2) it proved necessary to construct a life table from a set of graduated values of mx, the central death rate at exact age x. This meant that values of qx had to be derived in order to produce the life table from a given radix. Since the values of mx were known only for integer values of x, it was necessary to use an approximate method to derive the corresponding values of qx at each age. In this note we discuss briefly the approximations which we adopted. Our results are necessarily of an elementary nature and the principal reason for setting them down is to provide a reference for possible future use. It is perhaps worth pointing out that in a situation where the values of mx are given by an explicit mathematical formula values of qx may be obtained exactly using the results of reference 1.
A Practical Approach to Applying Immunisation Theory
Authors: Shedden A. D.
Published: July 2016

Synopsis

In this paper an attempt is made to present the theory in such a way as to permit a more general application in practice. The conditions for immunisation are defined for functions whose characteristics, as well as values, are dependent on the rate of interest, and the effect of assuming one particular form of variable yield curve is examined. A simple graphical method is illustrated for finding the rate of interest at which a particular asset and liability are immunised and hence for determining the appropriate rate of interest at which the liability should be valued if the rate of interest at which the asset is valued is not the immunising rate of interest. Applications of the method to actuarial valuations, including gross premium valuations, are outlined.
A Reserve Basis for Maturity Guarantees in Unit-Linked Life Assurance
Authors: Scott W. F.
Published: July 2016

Synopsis

The main purpose of this paper is the determination of a basis for the calculation of “prudent” reserves for maturity guarantees in annual and single premium unit-linked life assurance policies, particularly those in which the investment medium is a broad range of U.K. equities. Estimates of the proceeds of equity investments required, and theories of stock market movements are discussed; it is concluded that yearly growth rates, including reinvested net income, may be represented approximately by the lognormal distribution and that yearly growth rates are not random, but negatively correlated. A mathematical model is then developed; the evaluation of the resulting distributions, which is a problem of some interest in its own right in the annual premium case, is discussed in the Appendix. There is a general discussion of certain valuation principles, and we give tables showing the level of reserves suggested by our methods. Various practical questions, such as the treatment of the assets and the effects on reserves of mortality, withdrawals, capital gains tax, policies with different terms and existing business, are also considered.
The Financial Management of a With-Profit Long-Term Fund—Some Questions of Disclosure.
Authors: Lyon C. S. S.
Published: July 2016

1.1. There are three starting points for this paper. The first is Marshall Field's challenging Presidential Address to the Institute of Actuaries in 1986 on the subject of “Risk and Expectation”. The second is the example, still fresh in our minds, of a medium-sized mutual life office which overstretched itself and found it necessary to merge with a competitor. The third is the impending requirement, stemming from the Financial Services Act 1986, to give an investment client, including the holder or prospective holder of an insurance savings contract, what is described as “best advice”.
With Profits Without Mystery
Authors: Ranson R. H. , Headdon C. P.
Published: July 2016

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.
A Model Office Investigation of the Potential Impact of AIDS on Non-linked Life Assurance Business
Authors: Ljeskovac M. , Dickson D. C. M. , Kilpatrick S. , Macdonald A. S. , Miller K. A. , Paterson I. M.
Published: July 2016

The aim of this paper is to use a model office to examine the potential impact of AIDS on non-linked life assurance business in the UK.

The subject of AIDS continues to stimulate a large amount of research. The UK actuarial profession has been kept informed by the regular Bulletins [1-5] from the Institute of Actuaries AIDS Working Party (the “IAWP”). Using a model developed by A. D. Wilkie [6], the IAWP examined the possible spread of the infection amongst male homosexuals and produced tables of additional mortality. The most recent Bulletin (No. 4), published in March 1989, updated these projections in the light of new data, and we have based our investigations principally upon these more recent projections.
Actuaries, Pension Funds and Investment
Authors: Arthur T. G. , Randall P. A.
Published: July 2016

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.
Restructuring Mutuals—Principles and Practice
Authors: Paul D. R. L. , Eastwood A. M. , Hare D. J. P. , Macdonald A. S. , Muirhead J. R. , Mulligan J. F. , Pike D. M. , Smith E. F.
Published: July 2016

1.1 This paper owes its existence on two counts to the late Jim Souness whose term of office as President of the Faculty coincided with the bulk of our research. Firstly, as President, he encouraged Faculty research groups to be active and to produce material worthy of sessional papers. More directly it was the late President who funnelled our general investigations of life office management (which had continued after the Group's 1987 sessional paper) towards the issue of demutualisation.

There have been several notable demutualisations of life offices in recent years, yet there is little published research in the UK other than case studies into the actuarial issues which these restructurings raise for the profession. Furthermore much of what has been published pertains to overseas regimes not subject to UK-style regulation. However at the time of writing we are aware that another paper (reference 20) was being written concurrently, and it relates specifically to the UK.
Demutualisation of a United Kingdom Mutual Life Insurance Company
Authors: Needleman P. D. , Westall G.
Published: July 2016

The paper firstly examines the way in which U.K. mutuals operate and the forces which are leading mutuals to consider demutualisation. Demutualisation is normally accomplished by a Scheme of Transfer under Section 49 of the Insurance Companies Act 1982. The role of the directors and actuaries is discussed, including the impact of the Institute's latest Guidance Note (GN15).

The protection of policyholders' reasonable expectations, the value of membership rights and the basis of dealing with any orphan surplus are the central problems. The paper examines them in the context of both the open fund and closed fund situation and shows how they may be resolved.

A simple model is used to project the financial position of both an open and closed fund in a demutualised company. The relative advantages and disadvantages of each indicate that different courses of action may be appropriate for mutuals in differing financial positions.
Implications of Recent Legislation on Future Benefit Design
Authors: Andrew D. J. M. , Auld K. J. , MacNicol R. J. , Reed M. C. , Robertson W. J.
Published: July 2016

1.1 The paper was prepared by the authors as members of the Pensions Research Group of the Faculty of Actuaries. It covers the major factors influencing the design of pension schemes during the last decade. This period saw an unprecedented level of legislation on pensions, much of it with far reaching consequences. In the final sections of the paper some suggestions are put forward as to the likely form of benefit design in the 1990s and beyond.
Taxation in the Assessment of Profitability of Life Assurance Products and of Life Office Appraisal Values
Authors: Mehta Shyam
Published: July 2016

This paper describes how the system of life office taxation in the U.K. impinges on the amount and the emergence of life assurance business profit. It considers how to allow for taxation in the assessment of product profitability and company valuation. Finally, the paper provides a brief overview of the methods of taxation of alternative savings products and of tax systems in the European Community, with a view to drawing conclusions as to possible future changes to the framework of life taxation in the U.K.
Distribution of Financial Services
Authors: Gupta A. K. , Westall G.
Published: July 2016

The historic barriers between the different companies which comprise the financial services industry are breaking down. In order that organisations may prosper in the new environment the relationships between products, distribution and clients need to be understood. A theory is developed to explain the historic position and the dynamics of the current environment and indicate future trends. The conclusion is that successful organisations will be those which fully understand and specialise in a limited number of sectors, and those who start with a clientbase and a distribution system which will not inhibit the introduction of other distribution methods so that they can become multi-product and multi-distribution organisations. Finally, the paper explores the relationships between pricing policy and distribution by means of distribution chains to determine the point and degree of price sensitivity.
A note on Life Office Models
Authors: Macdonald A. S.
Published: July 2016

A brief description is given of some problems encountered in designing a model office program. The key to an effective and flexible model lies in the structure which the model imposes on the data. An example of a model used for research is described.
Pension Schemes and the Family – A Time for Change?
Authors: Aitken I. M. , Hurcombe P. A.
Published: July 2016

1.1 The principal motivation for this paper is our involvement in the valuation of pension benefits under the Family Law (Scotland) Act 1985 and the review being undertaken by the Pensions Management Institute Working Group on pensions and divorce. As a consequence of the introduction of the Family Law (Scotland) Act 1985, there is an explicit provision that pension benefits should be included as part of the matrimonial property in a divorce settlement. It will be clear from this paper that we have considerable doubts as to whether the present law is satisfactory; nevertheless it is difficult to argue that such an important item as pension rights should be disregarded in divorce. This however, is often the position in England, Wales and Northern Ireland.
Unitised with Profits – Gamaliel's Advice
Authors: O'Neill J. E. , Froggatt H. W.
Published: July 2016

The paper deals with the development of unitised with-profits business in the United Kingdom. The authors trace the recent history of these products and comment on the main reasons for their development. They also deal with corporate issues, including implications for policyholders and shareholders of different fund structures and different types of life office. Pricing and product development issues are also covered. Reserving issues including the range of valuation methods, statutory requirements and policyholders' reasonable expectations are explored. Finally the paper considers the actuary's contribution to the management of unitised with-profits policyholders' expectations.
Investment – Assessing a Manager's Skill and Monitoring the Risks
Authors: Day N. , Green S. J. , Plymen J.
Published: July 2016

The paper proposes a new way of assessing an investment manager's skill in the day-to-day management of portfolios. The authors argue that traditional investment performance measurement techniques, whilst appropriate for many purposes, do not provide the insights necessary to judge the skill of investment managers. To judge manager skill, it is necessary to consider the activity within the portfolio in terms of the purchases, sales and trades, and to determine the value added by that activity. The paper sets out a framework by which this analysis can be carried out and, by means of examples, indicates how the results can be interpreted. The paper also explores briefly a number of other issues such as the qualitative aspects of performance monitoring. In writing the paper, the concept of risk in various guises was never far from the authors' minds, and it is true to say that the meaning of risk in the context of assessing manager skill lies at the very heart of the paper.
Vitamin D status and its predictors in New Zealand aged-care residents eligible for a government-funded universal vitamin D supplementation programme
Authors: MacDonell Sue O , Miller Jody C , Harper Michelle J , Waters Debra L , Houghton Lisa A
Published: July 2016

Objective

The provision of prescribed vitamin D to all aged-care residents has been implemented in New Zealand as part of a government-led falls prevention programme. To our knowledge, there has been no evaluation of this universal programme on vitamin D status and functional and health outcomes. Thus, we aimed to determine 25-hydroxyvitamin D (25(OH)D) concentrations and their predictors in aged-care residents across the country and to investigate whether the government-funded programme was associated with adequate vitamin D status.

Design

Cross-sectional survey of sociodemographic, biochemical, anthropometric, dietary and health characteristics. Blood samples were analysed for serum 25(OH)D and other biochemical measures. Multiple regression was used to examine predictors of vitamin D status.

Setting

Sixteen residential aged-care facilities throughout New Zealand.

Subjects

Residents aged ≥60 years with residency duration >12 weeks (n309).

Results

Mean serum 25(OH)D was 89·9 (95 % CI 85·2, 94·5) nmol/l and monthly supplements (1250 µg (50 000 IU)) were taken by 75 % of all residents. Of those not taking a funded supplement, 65·3 % had serum 25(OH)D <50 nmol/l compared with only 1·5 % of supplement users. Being female, residing at lower latitude, increasing duration of aged-care residency and raised serum α1-acid glycoprotein were positively associated with higher 25(OH)D concentrations. Supplemental vitamin D from all sources was the strongest predictor, increasing serum 25(OH)D levels by more than 70 nmol/l. Furthermore, 25 % of participants had serum 25(OH)D levels >125 nmol/l.

Conclusions

Residents taking supplemental vitamin D had adequate vitamin D status; however monitoring of long-term supplementation should be considered, due to the high proportion of participants with high serum 25(OH)D levels.
Comparison of Electron Imaging Modes for Dimensional Measurements in the Scanning Electron Microscope
Authors: Postek Michael T. , Vladár András E. , Villarrubia John S. , Muto Atsushi
Published: July 2016

Dimensional measurements from secondary electron (SE) images were compared with those from backscattered electron (BSE) and low-loss electron (LLE) images. With the commonly used 50% threshold criterion, the lines consistently appeared larger in the SE images. As the images were acquired simultaneously by an instrument with the capability to operate detectors for both signals at the same time, the differences cannot be explained by the assumption that contamination or drift between images affected the SE, BSE, or LLE images differently. Simulations with JMONSEL, an electron microscope simulator, indicate that the nanometer-scale differences observed on this sample can be explained by the different convolution effects of a beam with finite size on signals with different symmetry (the SE signal’s characteristic peak versus the BSE or LLE signal’s characteristic step). This effect is too small to explain the >100 nm discrepancies that were observed in earlier work on different samples. Additional modeling indicates that those discrepancies can be explained by the much larger sidewall angles of the earlier samples, coupled with the different response of SE versus BSE/LLE profiles to such wall angles.
COORDINATE-FREE LOGIC
Authors: LEO JOOP
Published: July 2016

A new logic is presented without predicates—except equality. Yet its expressive power is the same as that of predicate logic, and relations can faithfully be represented in it. In this logic we also develop an alternative for set theory. There is a need for such a new approach, since we do not live in a world of sets and predicates, but rather in a world of things with relations between them.