bluuebunny/crossref_metadata_2025 huggingface dataset:
Hydrogen–hydrogen interaction in the LaNiInH4/3 hydride
Authors: Orgaz Emilio , Aburto Andrea
Published: April 2012

We have investigated the electronic structure of LaNiIn intermetallic compound and the derived LaNiInH4/3 hydride. All‐electron electronic structure computations in the solid state as well as in molecular fragments were carried out. We found evidence of H–H attractive interactions indicating that the violation of Westlake criteria, which establish a minimal H–H distance in intermetallic compounds can be interpreted in a different manner. We computed the energy bands and the total and partial density of states using ab initio full potential‐all electron band structure technique. The analysis of the charge density allow us to characterize a bonding critical point between the close hydrogen atoms in the LaNiInH4/3 hydride. Electronic structure of molecular of fragments computed at different theory levels is consistent with the presence of this critical point. © 2012 Wiley Periodicals, Inc.
Non‐Circular Hydraulic Jump on a Moving Surface due to an Impinging Circular Free Surface Jet of Water
Authors: Seraj Mohammad M. , Gadala Mohamed S.
Published: April 2012

Liquid jet impingement has many industrial cooling applications such as metal manufacturing and steel cooling on run‐out tables (ROT). The development of the wetting front around the impingement point of a jet is central in jet impingement cooling. In this paper, the effects of moving target surface and jet Reynolds number on wetted zone and on the formation and location of hydraulic jump (HJ) are explored through a series of industrial‐scale experiments of an impinging circular free surface long water jet with high Reynolds number of 11 000–50 000 and industrial jet parameters. The moving test surface impacts the radial evolution of circular wetted zone in all directions and alter the circular HJ at the wetting front into a non‐circular contour that depends on the jet Re number. The limited relations in the literature do not represent these measured shapes and do not appropriately predict radii of HJ in industrial scale. A new correlation for radius of non‐circular HJ has been derived in this study that compared more accurately to the experimental data. Numerical simulations of radial impingement flow on moving surface were performed using a variant of k–ε turbulent model and results are compared to the experimental data. The computational results for the wetting front were found to be close to the experimental data indicating the appropriate performance of the turbulent model.
Isolation and characterization of a novel GH67 α-glucuronidase from a mixed culture
Authors: Lee Charles C , Kibblewhite Rena E , Wagschal Kurt , Li Ruiping , Robertson George H , Orts William J
Published: April 2012

Hemicelluloses represent a large reservoir of carbohydrates that can be utilized for renewable products. Hydrolysis of hemicellulose into simple sugars is inhibited by its various chemical substituents. The glucuronic acid substituent is removed by the enzyme α-glucuronidase. A gene (deg75-AG) encoding a putative α-glucuronidase enzyme was isolated from a culture of mixed compost microorganisms. The gene was subcloned into a prokaryotic vector, and the enzyme was overexpressed and biochemically characterized. The DEG75-AG enzyme had optimum activity at 45 °C. Unlike other α-glucuronidases, the DEG75-AG had a more basic pH optimum of 7–8. When birchwood xylan was used as substrate, the addition of DEG75-AG increased hydrolysis twofold relative to xylanase alone.
Surface Coating as a Key Parameter in Engineering Neuronal Network Structures In Vitro
Authors: Sun Yi , Huang Zhuo , Liu Wenwen , Yang Kaixuan , Sun Kang , Xing Shige , Wang Dong , Zhang Wei , Jiang Xingyu
Published: April 2012

By quantitatively comparing a variety of macromolecular surface coating agents, we discovered that surface coating strongly modulates the adhesion and morphogenesis of primary hippocampal neurons and serves as a switch of somata clustering and neurite fasciculation in vitro. The kinetics of neuronal adhesion on poly-lysine-coated surfaces is much faster than that on laminin and Matrigel-coated surfaces, and the distribution of adhesion is more homogenous on poly-lysine. Matrigel and laminin, on the other hand, facilitate neuritogenesis more than poly-lysine does. Eventually, on Matrigel-coated surfaces of self-assembled monolayers, neurons tend to undergo somata clustering and neurite fasciculation. By replacing coating proteins with cerebral astrocytes, and patterning neurons on astrocytes through self-assembled monolayers, microfluidics and micro-contact printing, we found that astrocyte promotes soma adhesion and astrocyte processes guide neurites. There, astrocytes could be a versatile substrate in engineering neuronal networks in vitro. Besides, quantitative measurements of cellular responses on various coatings would be valuable information for the neurobiology community in the choice of the most appropriate coating strategy.
Global existence and long-time behavior of smooth solutions of two-fluid Euler–Maxwell equations
Authors: Peng Yue-Jun
Published: April 2012

We consider Cauchy problems and periodic problems for two-fluid compressible Euler–Maxwell equations arising in the modeling of magnetized plasmas. These equations are symmetrizable hyperbolic in the sense of Friedrichs but donʼt satisfy the so-called Kawashima stability condition. For both problems, we prove the global existence and long-time behavior of smooth solutions near a given constant equilibrium state. As a byproduct, we obtain similar results for two-fluid compressible Euler–Poisson equations.
The impact of gender and size on the pathology of small renal mass
Authors: Hsieh Po‐Fan , Chang Chao‐Hsiang , Huang Chi‐Ping , Chen Chi‐Cheng , Chen Kuo‐Liang , Chang Shin‐San , Yeh Chin‐Chung , Chen Wen‐Chi , Chou Chieh‐Lung , Wu Hsi‐Chin
Published: April 2012

Without surgery, it is hard to predict the histology of small (≦ 4 cm) renal masses (SRMs) based on images. This study attempted to investigate whether clinical parameters were correlated with the pathological presence of SRM carcinomas. We conducted a retrospective chart review of 60 patients with 61 suspicious SRMs on radiological examination who received radical nephrectomy (RN) or partial nephrectomy (PN) between January 2003 and February 2011 in the China Medical University Hospital (CMUH). The correlations between patient age, gender, tumor size, and pathological features were calculated and analyzed. Of the 61 SRMs, there were 51 (83.6%) renal cell carcinoma (RCC), seven (11.5%) angiomyolipoma, two (3.3%) oncocytoma, and one (1.6%) metanephric adenoma. Regarding the histological variants of these cases of RCC, 44 were categorized as the clear cell type, two as the papillary type, and five as the chromophobe type. The incidence of benign tumor was greater in females (p = 0.014) and tumor size 2 cm or less (p = 0.02), compared with males and tumor size more than 2 cm, respectively. Surgical intervention is generally recommended for medically fit patients.
Symmetric monoidal structure on non-commutative motives
Authors: Cisinski Denis-Charles , Tabuada Gonçalo
Published: April 2012

In this article we further the study of non-commutative motives, initiated in [12, 43]. Our main result is the construction of a symmetric monoidal structure on the localizing motivator Motlocdgof dg categories. As an application, we obtain : (1) a computation of the spectra of morphisms in Motlocdgin terms of non-connective algebraicK-theory; (2) a fully-faithful embedding of Kontsevich's category KMMkof non-commutative mixed motives into the base category Motlocdg(e) of the localizing motivator; (3) a simple construction of the Chern character maps from non-connective algebraicK-theory to negative and periodic cyclic homology; (4) a precise connection between Toën's secondaryK-theory and the Grothendieck ring of KMMk; (5) a description of the Euler characteristic in KMMkin terms of Hochschild homology.
Profit and other financial concepts in insurance
Authors: Benjamin S.
Published: April 2012

1.1. The aim of this paper is to initiate a discussion between actuaries, accountants, the Department of Trade and others working in insurance on our basic concepts, language, methods and aims. We need to discuss concepts and to agree on language in order to be able to discuss methods and aims. The concepts and language developed by actuaries in life business are very different from those used in non-life insurance and a synthesis of the two is long overdue.
Pricing and profitability in a life office
Authors: Smart I. C.
Published: April 2012

1.1. Profits are essential to the economic viability and indeed the survival of any enterprise. Life assurance companies are no exception whether they be mutual or proprietary, Unless profit—or as it is often termed, surplus—is available for distribution to shareholders and/or policyholders, the reasonable expectations of shareholders or policyholders will not be met: nor will the office be able to accumulate and maintain adequate contingency funds.

1.2. The word profit will be used synonymously with surplus throughout this paper. Profit is defined as the excess during any period of income over outgo, where outgo includes the necessary increase in valuation reserves.
The moments and distributions of actuarial functions
Authors: Waters H. R.
Published: April 2012

In 1969, A. H. Pollard and J. H. Pollard published a paper in which they treated actuarial functions as random variables, the randomness being caused only by variations in the age at death. In 1971, J. H. Pollard took this one step further by allowing the rate of interest as well as the age at death to vary and used these results to determine premium loadings for non-profit assurances.
Claim reserves in general insurance
Authors: Reid D. H.
Published: April 2012

1.1. This paper is concerned with claim reserves in general insurance. General, or non-Life, insurance may be taken to include such classes of business as Motor, Liability, Property, etc., and the claim reserves with which the paper is concerned are usually described as ‘outstanding claims reserves’ or ‘reserves for claims incurred but not reported’ (I.B.N.R.). Each of these reserves falls under the heading of ‘technical reserves’, and may be referred to as ‘provisions’ by the accountancy profession. Such reserves are intended in some sense to represent the liability of the insurer arising from events which have occurred within the scope of, and during the period of currency of, the insurance. It is implicit in the definition of such reserves that there is defined a specific date, which will be referred to in this paper as the accounting date, to which the reserves relate. The need for outstanding claim reserves arises from the separation in time of the reporting of a claim to an insurer from the subsequent settlement of that claim, whether this settlement involves the payment of a positive sum by the insurer, or whether, in the event, no payment is made.
An investigation into the financing of flexible endowment assurances
Authors: Ford P. E. B. , Masters N. B.
Published: April 2012

1.1. In the past ten years, traditional with-profit endowment assurances have been faced with severe competition from two new products, which offer considerable flexibility to the policyholder combined with certain guarantees not normally available in the traditional endowment policy.

The first of these new products, unit-linked assurance, has been analysed in some depth in recent papers submitted to the Institute, Faculty and Tokyo Congress. In particular, papers by Benjamin, Wilkie and Scott have developed stochastic models that have enabled the premiums and valuation reserves for maturity guarantees under these policies to be quantified with a much greater degree of certainty than had previously been the case.
Smallpox and the double decrement table: a piece of actuarial prehistory
Authors: Daw R. H.
Published: April 2012

More than 200 years ago, on 30 April 1760, Daniel Bernoulli (1766) read a memoir to the Royal Academy of Sciences in Paris entitled Essai d'une nouvelle analyse de la mortalité causée par la petite vérole, et des avantages de l'inoculation pour la prévenir (see Bradley, 1971, for a translation). In this remarkable memoir Bernoulli produced the first double decrement life table and one of the related single decrement tables, as well as deriving a mathematical model of the behaviour of smallpox in a community. This model was the forerunner of considerable developments in the mathematical theory of infectious diseases, a description of which is given in N. T. J. Bailey (1975). During the half century following Bernoulli's memoir there were a number of papers by other authors on the subject of that memoir; these, and the original memoir, seem to be little known to actuaries and are the subject of the present paper. They could have been the starting point of the actuarial development of exposed-to-risk formulae, but in fact were not.
Mortality at the highest ages
Authors: Thatcher A. R.
Published: April 2012

The pattern of mortality at the highest ages has been considered by many authors, including Redington (1969), Humphrey (1970) and Benjamin (1964, 1982). The questions raised have included the following:

(a) Is there a definite upper limit to the span of human life, so that qx reaches unity at a finite age? Or does qx tend gradually to unity as age tends to infinity, as happens under the Gompertz and Makeham laws? Or does qx tend to a constant less than unity, as under the Perks formula or the formula which was used to graduate the English Life Tables No. 11 and 12?

(b) Has the fall in mortality rates at lower ages been accompanied by a similar fall at the very highest ages? Has the upper tail of the curve of death (μxlx) shifted?

(c) Does the lower mortality of females compared with males extend to the very highest ages, or do the rates eventually tend to converge?
Graduation: some experiments with kernel methods
Authors: Bloomfield D. S. F. , Haberman S.
Published: April 2012

It may be useful to begin with some introductory comments on the nature of graduation and its uses with particular reference to the distinction between graduation by parametric methods, as described in traditional actuarial textbooks, and graduation by non-parametric methods.

Some of the comments have appeared in the early sections of Copas and Haberman's paper which first described the kernel method of non-parametric graduation.

Graduation may be regarded as the principles by which a set of data is adjusted in order to provide a basis suitable for inferences to be drawn and further practical calculations to be made. In actuarial terminology, graduation usually refers to a set of decremental rates, and one of the principal actuarial examples of its use is the construction of a life table from a set of age-specific, observed death rates.
The determination of life office appraisal values
Authors: Burrows R.P. , Whitehead G.H.
Published: April 2012

The aim of this paper is to examine and document a scientific approach to establishing an estimate of the economic value or range of possible economic values of a life assurance enterprise.

This is essentially a practical paper which provides a ‘practitioner's guide’ to performing an actuarial appraisal of a life assurance company rather than providing a rigorous theoretical derivation of the methods. There is, however, a philosophical issue, that of an appropriate risk rate of return, which cannot be completely side-stepped in a paper on appraisal values. This issue is briefly covered in Section 3. It should be noted, however, that an entire paper could be devoted to this subject.

The paper finishes on a potentially controversial note, that of UK Generally Accepted Accounting Principles (UK GAAP) for life assurance companies, suggesting that the appraisal value techniques outlined in this paper could play a major part in formulating UK GAAP.
Matching and portfolio selection: Part 2
Authors: Wise A. J.
Published: April 2012

8.1 This paper is concerned with the selection of investment portfolios to meet specified criteria which involve the liabilities of a long term investing institution such as a pension fund or a life office. In Part 1 (5) I showed a certain relationship between, on the one hand, portfolios selected according to a criterion of pure matching to the liabilities and, on the other hand, portfolios selected according to a more general criterion of ‘efficiency’. This connection points to a particular actuarial approach to the selection of portfolios, which is now further examined in Part 2.

8.2 Writing Part 2 separately presents an opportunity to re-state the main ideas. The next few paragraphs recapitulate the basic points with a view to reducing, within the subsequent discussion, the amount of cross-reference to Part 1, and to the three preceding papers on which the study is based.
On the risk adjusted discount rate for determining life office appraisal values
Authors: Sherris M.
Published: April 2012

1.1 A number of papers have been written in recent years that discuss the valuation of the business of a life office, examples of these are Burrows and Whitehead (1987) and Bunch (1986). These papers recognize the need to use a risk adjusted discount rate in the calculations. Burrows and Whitehead devote a section of their paper to the determination of such a rate. In their abstract they state that “…an entire paper could be devoted to this subject”. This latter point is supported by the existence already of a number of papers in the finance literature on the very topic of determining risk adjusted discount rates e.g. Robichek and Myers (1966), Fama (1977).

1.2 This paper outlines some results of the theory of determining risk adjusted discount rates and the valuation of risky cash flows as developed in the finance literature, and discusses the application of this theory to the determination of life office appraisal values. Some comments are made on Section 3 of the Burrows and Whitehead paper.
Reflections on a takeover of a United Kingdom insurer: a case study
Authors: Salmon I. L. , Fine A. E. M.
Published: April 2012

The actuary's expertise in the field of life insurance lies mainly in the application of mathematical and statistical techniques to the wide range of issues associated with life insurance business. In particular, the actuary has developed very sophisticated tools for modelling and forecasting and to help in establishing equity between policyholders. In recent years, owners of such businesses, be they policyholders or shareholders, have been coming to depend increasingly upon the actuary's skills to establish value for their overall business. On an ongoing basis, these requirements relate to such things as the need for more complete balance sheet presentation in the case of a proprietary company. Additionally, and inevitably, the actuary is drawn into the world of financial dealing in respect of takeovers and mergers where he is becoming exposed to the commercial risks inherent in being an ‘expert’. The stakes are increasing and in the larger cases hundreds and even thousands of millions of pounds are involved. In this world, the actuary can expect to be subject to a range of pressures from clients, media, takeover rules and so on, all of which are well removed from the actuary's traditional comfort zone. As the stakes increase, so does the threat of litigation.

The authors have recently been involved, one as principal and one as actuarial adviser, in the largest hostile takeover in the life insurance industry in the U.K. and, in the process, many issues of significance to the individual and the profession as a whole were exposed. This paper is intended to address this very important area and to flag some areas which could prove to be of increasing concern to the individual and to point to some where the Institute may wish to become involved.
Actuarial graduation practice and generalised linear and non-linear models
Authors: Renshaw A. E.
Published: April 2012

It is demonstrated how existing actuarial graduation practice, used in the construction of life tables, can be extended to considerable effect by formulating the techniques within the generalised linear and non-linear modelling framework.
Demutualisation of a United Kingdom mutual life insurance company
Authors: Needleman P. D. , Westall G.
Published: April 2012

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.
On modelling select mortality
Authors: Currie I. D. , Waters H. R.
Published: April 2012

In this paper we present an approach to the graduation of select mortality data and we illustrate this approach by graduating the CMIB's data for Female Permanent Assurances 1979–1982. The difference between our approach and that of the CMIB is that we graduate simultaneously by attained age and duration since selection.
Some thoughts on the actuary of the future
Authors: Akhurst R. B.
Published: April 2012

Actuarial practice has been changing rapidly over recent decades, and this speed of change is likely to continue. The actuary of the future will face challenges from many quarters, including the need to communicate with multi-disciplinary teams of competing professionals, and to live in an increasingly multi-national and cross-border environment. The discussion paper reviews such trends and challenges, both national and international, and seeks to stimulate a discussion of key issues, including supply and demand, expanding the scope of actuarial work, the role of the consultant, training implications and the development of a more international profession.
Portfolio selection and matching: a synthesis
Authors: Sherris M.
Published: April 2012

This paper considers a general framework for the selection of assets to meet the liabilities of a life insurance or pension fund. This general framework contains the mean-variance efficient portfolios of modern portfolio theory as a special case. The paper also demonstrates how the portfolio selection and matching approach of Wise (1984a, 1984b, 1987a, 1987b) and Wilkie (1985) fits into this general framework. The matching portfolio is derived as a special case, and is also shown to have implications for determining the central value of the liabilities.
Comments on ‘Some results on the Gompertz and Heligman and Pollard laws of mortality’
Authors: Renshaw A. E.
Published: April 2012

The consequences of graduating truncated English Life Table data by either the Gompertz or truncated Heligman and Pollard ‘laws of mortality’, recently advocated by Thatcher (1990), are examined in greater detail.
Allowing for asset, liability and business risk in the valuation of a life office
Authors: Mehta S. J. B.
Published: April 2012

The theme of this paper is that life office valuation can be based on an analysis of the characteristics of the individual cash flows which form the net cash flow of an office. These cash flows may be compared with the income and gains derived from traded securities such as equities and gilts in order to assess their values. Standard asset pricing models of modern portfolio theory enable one to allow for lapse, mortality and other risks.

The methodology outlined in the paper is illustrated by reference to the very different types of revenue generated by non-profit, unit-linked and with-profits products. It is also used, in the valuation of future new business, to allow for the risks that expected sales volumes and profitability levels will not be achieved.

The paper provides a rationale for the choice of discount rates used in the valuation of a life office and facilitates the comparison of life office and alternative investment opportunities.
Financing long-term care in Great Britain
Authors: Nuttall S. R. , Blackwood R. J. L. , Bussell B. M. H. , Cliff J. P. , Cornall M. J. , Cowley A. , Gatenby P. L. , Webber J. M.
Published: April 2012

This paper is concerned with the current and future financing of long-term care (LTC). This is defined as the provision of nursing and care services to those adults who are incapable, to some degree, of looking after themselves, but excluding short-term convalescent care. The current position is summarised, covering the demand and supply of LTC, how it is currently financed, new developments and consumer attitudes. The paper then goes on to consider future developments. Possible patterns of future demand, covering likely needs and costs are given. Consideration is then given as to how future demand may be financed.

The paper discusses some of the initiatives that might be undertaken to encourage proper planning by both the State and individuals and concludes that the actuarial profession should have a significant role to play in communicating the issues and evaluating solutions.
Profit, capital and value in a proprietary life assurance company. A discussion paper
Authors: O'Brien C. D.
Published: April 2012

The paper first considers concepts of profit in economics, accountancy and the law relating to financial reporting. It then considers the nature of life assurance business and suggests the accounting standards appropriate to life assurance companies which would ordinarily result in accounts showing a ‘true and fair view’. An analysis of the E. C. Insurance Accounts Directive shows that there may be circumstances where its provisions conflict with such standards.

The paper considers each of the statutory solvency method, embedded value reporting and the accruals method, and the author finds all of them to be inconsistent with accounting standards and the requirements of the Directive.

The author puts forward the ‘Earned Profits’ method, which applies accountancy principles in determining assets and liabilities and takes credit for outstanding revenue matching acquisition costs. This approach is then used in analysing the value of a life assurance company and measuring the rate of return on capital.
Realistic reporting of life insurance company policy liabilities and profits: developments in Anglo-American countries
Authors: Adams M. B. , Scott C. N. W.
Published: April 2012

This paper examines international developments in life insurance generally accepted accounting practice (GAAP) for policy valuation and profit recognition in four major Anglo-American markets—the U.K., Australia, the U.S.A. and Canada. Each valuation method examined has its advantages and disadvantages with respect to the needs of preparers and users of the annual corporate reports of life insurance companies. The paper documents that the statutory basis and U.S. GAAP are considered to have substantive deficiencies. In contrast, the U.K. accruals method, the Australian margin on services method and Canadian GAAP have much to commend them, particularly with regard to their flexibility to accommodate valuation adjustments for unexpected events. Nevertheless, from the preparers' point of view, the systems which would have to be developed to facilitate the U.K. accruals and Australian margin on services methods would be difficult and costly to implement. Profit reporting under Canadian GAAP is also sensitive to changes in actuarial reserving assumptions. The authors conclude that, since national preferences in actuarial and accounting practices are inevitable and because the product-market structures of life insurance markets are so distinctive, international harmonisation of life office GAAP is unlikely to occur for a very long time.
Some thoughts on the development and structure of the New Zealand life insurance industry
Authors: Adams M. B.
Published: April 2012

This paper seeks to explain key characteristics of the New Zealand life insurance industry, in particular the important role played by overseas-controlled mutual companies, and the dearth of regulation relative to other countries. It proposes that the dominance of mutual companies reflects the historical development of the New Zealand life insurance market. It also examines how agency theory may help to explain how the market has come to be dominated by mutual companies, and suggests that the unregulated nature of the life insurance industry may reflect the New Zealand government's historical role of direct intervention in the market through the Government Life Office. Further light on this issue is shed by the economic theory of regulation. This theory suggests that cartelisation and reinsurance may help to explain the existence of the unregulated insurance market in New Zealand. The paper concludes that many socio-economic and historical reasons may account for the distinctive features of the New Zealand life insurance industry. The possibilities are presented in this paper as a stimulus for further insurance markets-based research.
The comparative value of pensions
Authors: Johnston E.A.
Published: April 2012

1. This note incorporates a large part of the evidence given to the Scott Committee by the Government Actuary's Department, with additional material by myself as appropriate.

The Pay Comparison system

2. The actuarial calculations in question arise from job comparability exercises, when the value of the total remuneration package of specified jobs is being compared. In recent years, assessments have been made in the following circumstances:

(i) Pay comparison studies for the Non-industrial Civil Service.

(ii) Pay comparison studies for the Industrial Civil Service.

(iii) Adjustments are made by the Review Bodies, who recommend salaries for the Armed Forces, Doctors and Dentists and Top Salaries. The Review Bodies consider various pension comparisons, but are not obliged to give reasons for their salary recommendations.

(iv) Advice to the former Standing Committee on Pay Comparability (Clegg) for staff groups referred to them.

(v) Compensatory additions to pay are quoted for a number of bodies whose staff are paid by reference to Civil Service and other public service rates, but who are in other pension schemes.
Control of insurance systems with delayed profit/loss sharing feedback and persisting unpredicted claims
Authors: Balzer L. A. , Benjamin S.
Published: April 2012

In an earlier introductory paper (J.I.A.107, 513), Balzer and Benjamin (1980) presented a model of an insurance system with delayed profit/loss sharing feedback from insurer to insured. The system was considered from a general control and dynamic systems theory viewpoint. Certain fundamental concepts were introduced and the dynamic responses of cash flow f(k) and accumulated cash flow fa(k) to an isolated group of unpredicted claims presented. This paper takes the analysis further in a number of important ways.

The general structure and details of the mode1 of the insurance system can be found in the earlier paper.
Addendum to ‘The improving accuracy of the basic data and the exposed-to-risk of the English life tables’ (JIA 109, 117)
Authors: Daw R. H.
Published: April 2012

In the above note I suggested that the improved accuracy of E.L.T. No. 13 as compared with E.L.T. No. 12 was largely because E.L.T. No. 13 was based on census and death registrations at which the date of birth had been asked for instead of age. Since writing that note I have come across interesting evidence that more accurate results are obtained when date of birth is asked for at a census than when age is required.
Mortality differences between smokers and non-smokers—a reply to Benjamin and Michaelson
Authors: Haberman S.
Published: April 2012

The purpose of this brief note is to comment on the methodology used by Benjamin and Michaelson in their estimation of the expectations of life for non-smokers and smokers and the differences between these expectations of life.

The author of this note has discussed the methodology with the first author of this earlier paper and with their research assistant.
Reflections on resilience: some considerations of mismatching tests, with particular reference to non-linked long-term insurance business
Authors: Purchase D. E. , Fine A. E. M. , Headdon C. P. , Hewitson T. W. , Johnson C. M. , Lumsden I. C. , Maple M. H. , O'Keeffe P. J. L. , Pook P. J. , Robinson D. G.
Published: April 2012

The paper considers the valuation for solvency purposes of traditional long-term insurance business. It concentrates on without-profit business, and discusses the reserves that are required to protect against the contingency of sudden adverse changes in asset values (the ‘mismatching’ or ‘resilience’ test). The details of a suitable test, and a method of applying it in practice using a ‘matching rectangle’, are described. Investigations into the effectiveness of such a test, using both deterministic and stochastic methods, are followed by concluding remarks on the underlying philosophical issues raised.

Full numerical results are presented in the Appendices.
Projecting the spread of AIDS into the general population—application to life assurance
Authors: Lörper J.
Published: April 2012

The following paper sets out the actuarial basis for the Cologne Re model projecting the spread of AIDS. We project new infections, new AIDS cases, and deaths for the sexually active population and demonstrate the effect on the German life assurance industry.
Modelling the operations of a general insurance company by simulation
Authors: Daykin C. D. , Hey G. B.
Published: April 2012

1.1 The traditional approach to examining the financial status of a company is to look at the balance sheet and the profit and loss account. Such information is usually publicly available, it is certified by the auditors as having been drawn up according to relevant accounting standards and it is generally presumed to communicate reliable information.

1.2 In the case of a manufacturing or trading company the profit and loss account records purchases and sales and the balance sheet will include a valuation of stock in hand, since it is anticipated that this will give rise to future sales income. Working capital is required because products have to be manufactured or purchased before they can be sold. Profit is realized when the product is sold for more than it cost to buy it or to make it.
Modelling a with-profits life office
Authors: Ross M. D.
Published: April 2012

1.1 In this paper I intend to concentrate on the application of mathematics and the problems faced and (sometimes) solved by such application, rather than on the mathematics itself. That is not to belittle the mathematics in any way, and I would like to acknowledge at the start that the stochastic financial model which underlies the results given in this talk is based on Professor Wilkie's model as detailed in T.F.A.39, 341.
Driving the pension fund
Authors: Benjamin S.
Published: April 2012

In an earlier paper the control characteristics of the aggregate method of funding were displayed by way of its response to a spike, step and random variation in the earned rate of interest, together with a simple intuitive method of setting the valuation rate of interest.

The projected unit method is analysed here in the same way.

A further algorithm is developed which aims at driving an opening fund and contribution rate to a desired fund and contribution rate in n years, using the smoothest path of contribution rates.
Stochastic simulation in life office solvency assessment
Authors: Hardy M. R.
Published: April 2012

In this paper an asset/liability model is used to compare the quality of information available from a set of stochastic simulations with a traditional deterministic sensitivity test approach.

The traditional approach applied to a range of variants of the basic model office fails to distinguish adequately very risky strategies from relatively secure strategies. The stochastic simulation method succeeds in ranking the various strategies considered into an intuitively satisfactory order of insolvency risk, as well as giving quantitative information on the relative probabilities of insolvency of different strategies and on the timing of potential solvency problems.
Unitised with profits — Gamaliel's advice
Authors: O'Neill J. E. , Froggatt H. W.
Published: April 2012

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.
The age pattern of mortality
Authors: Heligman L. , Pollard J. H.
Published: April 2012

The development of a ‘law of mortality’, a mathematical expression for the graduation of the age pattern of mortality, has been of interest since the development of the first life tables by John Graunt (1662) and Edmund Halley (1693). Although Abraham De Moivre proposed a very simple law as early as 1725 the best known early contribution is probably that of Benjamin Gompertz (1825). Since World War II mathematical formulae have been used to graduate sections of the English Life Tables, as well as assured lives mortality, and pensioner and annuitant mortality. Reviews of attempts at finding the ‘law of mortality’ have been given by Elston and Benjamin and Haycocks.
The interaction between morbidity and mortality
Authors: Pollard A. H.
Published: April 2012

1.1. This is intended as a discussion paper or a working paper. It does present new data; but that is not its main purpose. Its aim is to stimulate thinking about possible techniques for studying mortality through morbidity, rather than to produce results. The Secretary of the International Union for the Scientific Study of Population when outlining the purpose of a new committee of the I.U.S.S.P. on “factors affecting mortality and the length of life” stated that “it is a common feeling that the traditional demographic and actuarial approach to mortality produces diminishing returns. It is also a common feeling that closer links with other biomedical disciplines, with genetics or biology, are essential if we wish as demographers to improve our contribution to the study of mortality.”(1)The formation of that Committee was a major factor prompting me to set down some views which I have long held on the subject of mortality studies.
The recent trend of mortality in Great Britain
Authors: Daykin C. D.
Published: April 2012

This note continues an annual series on mortality rates in Great Britain; the previous note in the series appeared in J.I.A. 107, 529 and dealt with mortality in 1978. Tables 1 and 2 below show central death-rates for Great Britain for the years from 1966 to 1979 and Tables 3 and 4 show the ratios of these rates to the corresponding average rates for the three years 1970–72, which have been taken as a standard. Death-rates in this form for the years from 1961 to 1978 have been published in earlier notes in this series. The rates for 1979 have been calculated using the deaths recorded as occurring in Great Britain in 1979 and the ‘home’ population at 30 June 1979, i.e. the number of people actually in the country at the time, as estimated by the Registrars General of England and Wales and of Scotland.
Claims reserving, state-space models and the Kalman filter
Authors: de Jong Piet , Zehnwirth B.
Published: April 2012

1.1. This paper describes a consistent and justifiable means of establishing adequate claims provisions in General Insurance. The topic has created widespread interest amongst actuaries, accountants and regulatory authorities. The issue of adequate provisions is of utmost importance to policyholders, whose justifiable claims must be paid, insurance companies who must be able to satisfy shareholders and make proper assessments of premiums, and regulatory authorities who must be satisfied that adequate provision has been made for all liabilities.
Pension problems and their solution
Authors: Stewart C. M.
Published: April 2012

1 Whichever way you look at it, pensions are a problem. The Policy Studies Institute has expressed concern at the increased burden of State pensions fifty years from now when the number of pensioners increases in relation to the number of contributors. The Institute for Fiscal Studies too is anxious for the same reason and makes the criticism that insufficient consideration was given to the long-term cost when the State scheme was extended in 1978 so as to provide an additional earnings-related pension. The report of the Scott Committee has reduced but not wholly eliminated controversy on the extra value of index-linked public service pensions compared with the pensions commonly provided in the private sector. Employers, on whom the financial burden finally rests, are hard pressed to finance the accrued pension rights of their employees in final salary pension schemes and are unable to make the additional contribution necessary to preserve the values of the pensions and deferred pensions of former employees.
Alfred Watson Memorial Lecture: The outlook for the liberal professions
Authors: Morpeth Douglas
Published: April 2012

I have always had a healthy and perhaps wary respect for actuaries since I was interviewed by the ‘Scottish Widows’ in Edinburgh after finishing my studies at Edinburgh University in 1949. During this interview, people were pointed out to me who were still trying to pass their examinations after 19 years and, when I saw what the examination syllabus included, reason took over and I decided to go down the easier path of accountancy.
Decrement tables and the measurement of morbidity: II
Authors: Haberman S.
Published: April 2012

1.1. An earlier paper by the author has attempted to describe the theories of multi-state life tables and inhomogeneous Markov chains in their application to the study of morbidity as introduced by Pollard. It is the purpose of this paper to extend the model to describe the relationship between the incidence and prevalence of a disease. The implications of certain assumptions about the presence of mortality and of differentials in the level of mortality are also discussed.
On the calculation of ‘real’ investment returns
Authors: Wilkie A. D.
Published: April 2012

1. The rise in the general level of prices that has occurred in Britain at varying speeds over the last half century has caused many investments to appreciate considerably in money terms, but without this necessarily representing any increase in the purchasing power of the monetary proceeds. It has for some time been desirable to adjust for changes in the general purchasing power of money, and to calculate returns on investment ‘in real terms’. The issue by the British Government of Index Linked Treasury Stocks provides investments whose future return is defined in terms of the Retail Prices Index (R.P.I.), and it is desirable to calculate ‘real’ redemption yields on these stocks. There has been some discussion about how such real yields should be calculated, and, as will be seen, it is necessary to make certain assumptions in order to produce explicit results. The Joint Investment and Index Committee of the Institute of Actuaries and the Faculty of Actuaries has asked me to prepare this note in order to explain the details of how real yields should be calculated, and what assumptions need to be made and stated. I am very grateful to the members of the Committee, particularly the Chairman, R. H. Pain, for their assistance in its preparation.
A review of the law relating to insolvent life insurance companies and proposals for reform
Authors: Barrow G. E. , Ferguson D. G. R.
Published: April 2012

The initial object of this paper was to make general observations on the draft Insurance Companies (Winding-Up) Rules 1983 which were circulated for comment and would be made under Section 59 of the Insurance Companies Act 1982. They concern the identification of general and long-term assets and liabilities, and the evaluation of policyholders' claims, in a winding-up. The wider objective is to review insolvency law generally in relation to long-term insurers and in particular the interaction between the general law concerning companies and the specific law relating to insurance companies. This review leads the authors to set out the case for a radical new approach.
An approach to the study of multiple state models
Authors: Waters H. R.
Published: April 2012

1.1. Multiple state life tables can be considered a natural generalization of multiple decrement tables in the same way as the latter can be considered a natural generalization of the ordinary mortality table. The essential difference between a multiple state model and a multiple decrement model is that the former allows for transitions in both directions between at least two of the states, see for example Haberman (1983, Fig. 2). whereas in the latter, transitions between any pair of states can be in one direction only, if they are possible at all; see for example Haberman (1983, Fig. 1). Multiple state life tables, unlike mortality tables and multiple decrement tables, are not included in the professional actuarial examination syllabuses in Britain and have only rarely been mentioned in the British actuarial literature, one example being C.M.I.R. (1979, Appendix 2). Despite this, such models have been included in the actuarial examination syllabuses of other countries for several years, for example Denmark, and would appear to have obvious actuarial applications, for example sickness insurance. Dr Haberman's paper (J.I.A. 110) on the subject of multiple state models is to be welcomed since it provides both an introduction to this subject and an interesting application. The approach to the study of multiple state models put forward by Haberman (1983, §3) is characterized by the use of flow, orientation and integration equations. For brevity we shall refer to this as the FOI-approach to multiple state models. The purpose of the present paper is to put forward an alternative approach to multiple state models. This approach uses the forces of transition, or transition intensities, between states as the fundamental quantities of the model. For brevity we shall refer to this as the TI-approach.
A theoretical analysis of the matching of assets to liabilities
Authors: Wise A. J.
Published: April 2012

1.1. This paper is supplementary to another by the same author on the subject of matching. It describes the mathematical analysis of the following problem.

1.2. We are given:

1. a pattern of expected future cash flows under a pension scheme or insurance contract;

2. a set of investments available for purchase; and

3. a model of the future behaviour of investment conditions.

What set or sets of available investments would provide the best match against the given liabilities in order to minimize any likely surplus or deficiency on completion of the liability cash flows?