bluuebunny/crossref_metadata_2025_split huggingface dataset:
Ordinary Branch Life Premiums in Modern Conditions
Authors: Asbury C. J. 
Published: July 2016

SynopsisRecent developments affecting the bases of calculation of ordinary life assurance and annuity premiums include the publication of the A1949-52 and a(55) mortality tables, the passing of the Finance Act 1956 and the rise in interest yields on life assurance funds to unprecedented heights, resulting in high bonus rates.Part I of the paper deals with the general effect of these and other developments on the three main variables of mortality, interest and expenses and in the charge to be made for the right to participate in surplus.Part II deals with the detailed effect of these developments on the actual premium calculation formulae used for various standard types of policy and for types of policy that have come into existence or increased substantially in importance in recent years, including self-employed annuities, variations on the temporary assurance theme and policies effected for estate duty purposes such as pure endowments with return and whole life assurances for large amounts at high ages.
Estate Duty on Life Assurances and Annuities
Authors: Williamson H. A. A. 
Published: July 2016

SynopsisThe paper is concerned mainly with the incidence of estate duty on life assurances and annuities under sub-sections 2 (1) (c) and 2 (1) (d) of the Finance Act 1894. The effect of changes in the law introduced by section 34 of the Finance Act 1959 are examined by reference to two trust policies effected under the Married Women's Property Acts, one a policy for the absolute benefit of the wife of the life assured and the other a policy also for the benefit of the wife but with the trust falling should she predecease her husband. Where the assessment falls under sub-section 2 (1) (c) the treatment of life policies now follows the same lines as gifts of other types of property and the requirements to obtain limitation or exemption from duty are considered in detail.The paper goes on to review the incidence of estate duty on joint life and last survivor annuities according to the manner in which the contract is written.Finally some examples are given of the effect on estate duty of dealings with policies by beneficiaries in terms of section 34 of the Finance Act 1959.
The Design, Application and Future Development of the F.T.-Actuaries Index
Authors: Haycocks H. W. , Plymen J. 
Published: July 2016

SynopsisNow that the original Actuaries Investment Index has been replaced by the F.T.-Actuaries 500 Share series, the Authors felt it appropriate to prepare a sequel to their earlier paper “Investment Policy and Index Numbers” submitted in 1956.The first part of the paper deals with the selection of the constituents and of the groups for the Equity indexes, and with the methods of averaging and weighting that are used.The new index with its wide coverage and its daily quotation represents a considerable advance over the earlier Actuaries and F.T. series and should be widely used for checking portfolio performance and for determining investment policy. Representing as it does the experience of a large and comprehensive sample of U.K. industry the index display should be of considerable application for long-term historical studies and for purposes of social research and national economic planning.Suggestions are made for extending the index coverage so as to include items such as the asset value, the cash flow, the stock level and the capital expenditure as used for investment analysis.In the final section entitled “Investment Analysis by Computor” the Authors draw attention to the value of the index statistics for investment analysis. These statistics might be used to build up data from which a form of investment analysis by computor could be developed.Altogether the question of further development of the index coverage and of making proper use of the statistics is a most fruitful field for further research by members of the profession.
Economic Instability and Growth of Output
Authors: Wilson Thomas 
Published: July 2016

SynopsisMuch concern has been expressed in recent years about the slow rate of growth of output in the U.K. as compared with the achievements of a number of other countries. One of the several explanations advanced is that Britain has suffered so much from instability—often referred to as “stop-go”. The first part of the paper sets out to test this proposition.The statistics of gross domestic product, industrial production and fixed investment over the years 1950 to 1963 or 1964 are analysed for the U.K., the U.S.A., West Germany, France, Italy, Sweden, and Japan. The results show that the fastest rates of growth were achieved in countries where there were also violent fluctuations of output. Fast growth, but not the fastest, was also associated elsewhere with a high degree of stability. The evidence is thus too contradictory to support, on the face of it, either the view that stability is a necessary condition of fast growth or that instability is necessarily the price of growth.The second part of the paper discusses some aspects of stabilization policy with particular reference to recent British experience.
A Comprehensive Data Processing System For a Life Office
Authors: Whitehead D. 
Published: July 2016

SynopsisThe paper outlines a system for processing the data of a life office to make efficient use of men and of machines available at the present time. The conditions to be met by an electronic computer and the persons responsible for its operation (systems analysts, programmers and operators) are first considered. The mechanical and manual aspects of the system are then dealt with in turn. After an outline of the problems involved in the institution of the system, the financial and other benefits to be expected are estimated in the light of the experience so far gained. Finally, a brief look is taken at the way in which developments may proceed in the future.
A New Type of Summation Graduation Formulae related to Whittaker's Analytical Formula
Authors: Davidson Andrew R. , Reid A. R. 
Published: July 2016

Synopsis of PaperThe basis of this Paper is the new method of graduation introduced by Professor E. T. Whittaker, and expressed in the equationwhere δ indicates central differencing, so that δ6u′x=Δ6u′x−3;u′=the graduated and u the ungraduated values of a series of observations, and ∈ is a measure of the importance assigned in any particular case to adherence to the original data as against perfect smoothness in the graduated curve.Certain terminal conditions attach to this equation, and it is suggested that if no attempt be made to carry the method to the extremes of the series of data, these terminal conditions may be disregarded.By methods described in the Paper, different summation formulae of graduation are derived from the equation, giving ε various values. The results of test graduations of the a(f) and a(m) ultimate tables by certain of these formulae are shown, and compared with the results under the exact solutions obtained by Dr. A. C. Aitken. A graduation is also made of the Female Government Annuitants 1900-1920 Experience, and the results are compared with these produced by the methods suggested in Dr. Buchanan's recent paper (T.F.A., x., p. 289), and in the discussion thereon.It is suggested that ε will prove of practical value as an aid to the selection and classification of graduation formulae, and that summation formulae obtained by the methods described have thus a practical advantage as well as one of theory.
The Theory of Selection: its History and Development
Authors: Buchanan James 
Published: July 2016

Synopsis of PaperThe Paper is a review of the theory of selection as developed by British actuaries.The fundamental ideas underlying the theory were present in the minds of actuaries from a very early date. Apparently the earliest allusion to the subject was that of Joshua Milne in his treatise on Annuities and Assurances; but its importance was clearly recognised by Arthur Morgan in his Introduction to the Experience of the Equitable Society, and by Thomas Galloway in the Preface to the Experience of the Amicable Society.
A Mathematical Model for the Gilt-Edged Market
Authors: Clarkson R. S. 
Published: July 2016

SynopsisThis paper investigates what general form of price model is required to represent a market that is in equilibrium under switching action and describes how a special case of this general price model can be applied to the gilt-edged market, with particular emphasis on long-dated stocks. Applications of the mathematical model are then developed in a form that could be used by a life office or pension fund for the management of a portfolio of long-dated British Government stocks. Finally, a comparison is made between conventional yield curve methods of analysis and methods based on this mathematical model.
Notes on the Financial Times-Actuaries British Government Securities Indices in 1977
Authors: Wilkie A. D. 
Published: July 2016

1.1. The paper “The F.T.-Actuaries Fixed Interest Indices” by G. M. Dobbie and A. D. Wilkie (J.I.A., 105, 15 and T.F.A., 36, 20.3) gave details of the purpose and construction of the F.T.-Actuaries fixed interest indices, and the note “The F.T.-Actuaries British Government Securities Indices 1976” (J.I.A., 105, 27 and T.F.A., 36, 2.1.4) gave details of the constituents, changes and values of the B.G.S. indices in 1976. The present note continues the history for a further year.1.2. In §8.2 of the paper it was observed that during 1977 the government had issued stocks where the issue price was payable in separate “calls” on a series of dates. The published indices, however, included these stocks only when they were fully paid. An alternative series of indices has also been constructed, allowing for the calls as and when they occurred. This note gives details for the alternative series, but refers also to the published series where the results differ.
Some Remarks on Splines
Authors: McCutcheon J. J. 
Published: July 2016

AbstractAlthough detailed proofs of certain of the more elegant fundamental properties of splines are sometimes non-trivial, the basic underlying ideas are very simple indeed. With a modern computer it is easy to implement the methods described in this paper. Many computer libraries will include optimisation and spline subroutines which can be combined conveniently for this purpose. (For example, several of the calculations in this paper were carried out with the aid of NAG library facilities.)
Indexing Long-Term Financial Contracts
Authors: Wilkie A. D. 
Published: July 2016

SynopsisThe prime purpose of the paper is to present the case for the issue of longterm index-linked stocks by the government and by other borrowers, for the issue of index-linked life assurance and annuity contracts by life offices and for the index-linking of pension scheme benefits, all of which the author believes are possible and would be beneficial to all parties.Part 1 of the paper uses the methods of statistical time-series analysis to study the way in which inflation has behaved in the U.K. over the long period 1661 to 1980 and over various shorter and more recent periods. While prices were far from static in the period up to 1914 the average change was nevertheless almost nil. However, during the 20th century prices have generally risen and in recent years this rise has accelerated. It is possible that the series has become unstable, and hyperinflation will result. It is certain that no one statistical model can satisfactorily “explain” the movements of prices. Future uncertainty is now very great.The author concludes from this that index-linking oflong-termcontracts, i.e. adjusting for price changes after they have occurred, is more satisfactory to both parties to the contract than to guess at a single fixed inflation rate and build that into the contract.Part 2 discusses the issue of long-term index-linked government stocks. It demonstrates the uncertainty attached to fixed interest borrowing and lending, and the harmful effect on the future PSBR of the government's present funding methods. The author discusses the Wilson Committee's view on index-linking, and supports their suggestions of tax changes to make practicable the issue by companies of index-linked loan stocks. Index-linked house purchase loans are also advocated.In Part 3 the author presents the advantages to life offices and their policyholders of policies with index-linked premiums and benefits, and discusses some of the complications of such policies, in particular the tax obstructions for certain types of policy.In Part 4 the author suggests that index-linked pensions are both desirable and possible for all pension schemes, not only those in the public sector, though possibly they should start at a reduced level. Evidence is presented to show that “negative real returns” on ordinary share investment were a temporary aberration of the mid 1970s, and that in more recent years ordinary shares have shown very satisfactory real returns, which may very well continue. Ordinary shares have nothing to fear from index-linked stocks, and pension funds should be able to earn satisfactory real returns on any assets other than long-term fixed interest stocks.
Some Applications of the Poisson Distribution in Mortality Studies
Authors: Scott W. F. 
Published: July 2016

AbstractLet θx, denote the number of deaths (from all causes or a certain cause) at age x last birthday arising from the central exposed to risk Ecx. We show that, under certain conditions, θx, has approximately a Poisson distribution with parameterwhere μy denotes the force of mortality at age y. This result is applied to find confidence intervals for the true central death rate, to estimate the distribution of the cost of claims and the expected death strain.The frequently-used actuarial formulawhere A is the actual deaths and E the expected deaths, is found to hold in large investigations, as is the alternative (but generally less accurate) formula
A Financial Framework for Pension Funds
Authors: McLeish D. J. D. 
Published: July 2016

1.1. This paper is written at a time when, I believe, the greatest challenge facing actuaries engaged in pension work is to communicate.1.2. We must communicate with Trustees, with members, with employers, with Government, with accountants, with the O.P.B., with the S.F.O. and, through the media, with public opinion: we must also communicate with each other.
On Estimating the Force of Mortality
Authors: McCutcheon J. J. 
Published: July 2016

AbstractIf x1<x2<…<xn and the values of lx1, lx2,…, lxn are given, we may wish to estimate the value of the force of mortality at a particular age xi. Two alternative methods of estimation, each used in standard tables, are discussed in some detail.The most general estimates for each method are given by equations (13) and (22) above, the coefficients {cij} in these equations being defined by equation (11).In the particular case of consecutive ages, the relevant estimates are given by equations (14) and (23). In this case the values of {cij} for n = 3, 5, 7, and 9 are contained in Tables 1—4 above.
The Solvency of Life Assurance Companies
Authors: Hardie A. C. , Limb A. P. , Loades D. H. , Lumsden I. C. , Mason D. C. , Pollock G. , Robertson E. S. , Scott W. F. , Wilkie A. D. 
Published: July 2016

1.1.1. In October 1980 the Council of the Faculty of Actuaries set up a Working Party with the following brief:—(1) To investigate the criteria by which the solvency of life assurance companies should be assessed and to determine the amount of the solvency margin which should be required in practice by supervisory authorities. The existing requirements of the E.E.C. Life Establishment Directive should be considered with a view to recommending any desirable alterations thereto to be made when those requirements are reviewed in due course by the E.E.C. Commission. In carrying out its work the Working Party should co-operate with Working Parties or Committees of other actuarial bodies.(2) To report the result of their investigations to Council.
A Note on Varying Rates of Interest
Authors: Scott W. F. 
Published: July 2016

SynopsisLet us suppose, for the purpose of calculating premium rates, that interest rates will not fall below those of the straight lines from their present value io to in in n years' time (in < io), thereafter remaining constant at in. On the basis of this assumption we derive formulae for the (minimum) effective rates of interest on single and annual premium contracts of term m years (m ≤ n, or m > n) and give examples in which gross interest rates fall from 8%, 9%, 10%, 11%, to 4½% in 40 years' time, and other examples. We conclude with a discussion of modifications to the term of the contracts which enable our results to be used for pure endowments, with-return endowments, endowment assurances, deferred annuities and other policies in life assurance and pensions business, and we mention some objections to our methods.Our thanks are due to C. M. Stewart, F.I.A., F.S.S., for suggesting some improvements to this note.
Accounting for Inflation—Recent Proposals and Their Effects
Authors: Parker P. W. , Gibbs P. M. D. 
Published: July 2016

SynopsisA time-honoured convention in accounting has been that accounts should be based on historic cost, with all items being recorded in terms of the purchasing power of the pound at the date of each transaction. In a period of rapid inflation, accounts on the traditional basis become distorted and dangerously misleading. The authors describe the theory and practice of the proposals of the Accounting Standards Steering Committee for current purchasing power accounting and examine replacement cost accounting, comprehensively applied, as an alternative. They point out the advantages, despite somewhat greater practical difficulties, of current value accounting. A sample of large United Kingdom companies is analysed and the effect on their earnings of the A.S.S.C.'s proposals is estimated where these figures are not already published. Share price movements by different industry sectors over the last five years are examined in relation to changes in earnings on inflation accounting principles. It is stressed that gaining from inflation accounting is not the same as gaining from inflation, and that liquidity is a separate question. Problems of taxation (notably on stock appreciation) are discussed and practice in other countries is mentioned, as are the implications for price controls, trade unions, and indexation. The authors hope that the Sandilands Committee on Company Accounts and Inflation will find a convincing case for inflation-adjusted accounts to form the basis for taxation and price controls. They look forward to the gradual abandonment of historiccost accounts, regarding the proposals of the A.S.S.C. as a desirable but imperfect first step, and urge that meantime investors and creditors should make their own estimates of the impact of inflation on particular companies.
The Interaction Between State and Occupational Pension Schemes in the United Kingdom
Authors: McBride W. B. 
Published: July 2016

SynopsisThe paper discusses the implications of the Social Security Pensions Act 1975 and associated Regulations for occupational pension scheme design and finance. Firstly, a general preface deals with currently topical matters. Secondly, integration of State and Occupational Schemes as practised up to the present time is described. Next, integration in future, whether contracted in or contracted out, is considered from the scheme design point of view, and some problems are mentioned. Finally, the financial background to the contracting-out conditions is described and some evaluation made of the terms available.
Life Assurance Accounting and the Sandilands Report
Authors: Lundie W. 
Published: July 2016

SynopsisThe paper considers the possible application of the system of Current Cost Accounting proposed by the Inflation Accounting Committee (the Sandilands Committee) to the accounts of life assurance funds and pension funds. The author concludes that, while it is practicable and possibly desirable that the method of valuing assets leading to Revenue Account and Balance Sheet should conform with generally accepted accounting principles and be capable of independent audit, the nature of funds securing long term financial obligations is such that a complete accounting picture is only possible if the system is converted to a system of Present Value Accounting by the actuary in his Report. In the second part of the paper, the author makes suggestions regarding the presentation of results by the actuary.
Some Thoughts on Solvency of Life Assurance Companies
Authors: Baker A. C. , Graham N. S. 
Published: July 2016

SynopsisIn recent years, the insolvency of Life Assurance Companies has become a subject of practical importance to the actuarial profession. In April 1976 Mr. Peter Shore, then Secretary of State, stated in this connection that “prevention is better than cure”. The authors of this paper contend that prevention has been neglected because of the more immediate problems of recognition when insolvency is reached and the action required after the event.After some comments upon the legislation, the authors discuss the role of the Appointed Actuary. They then consider the main causes of insolvency, and suggest that the basic cause of the recent financial difficulties of certain Life Offices was rapid expansion based upon inadequate capital and free reserves. The paper argues the need for explicit solvency margins in preference to implicit ones and proposes a method for determining the capital base of a life office and the maximum growth rates which can be supported.
Proposals for the Statutory Basis of Valuation of the Liabilities of Linked Long-Term Insurance Business.
Authors: 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. , Purchase D. E. , Robinson D. G. 
Published: July 2016

1.1 The background to the production of this paper is somewhat involved, but is necessary for an understanding of why it contains what it does. Readers who are familiar with recent developments in the valuation field may proceed straight to Section 2.1.2 Statutory valuations of long-term insurance business under the Insurance Companies Act 1982 (“the Act”, which superseded the 1974 and 1981 Acts) and the Insurance Companies Regulations 1981 (“the current Regulations”) have now been prepared by actuaries for some years. Similarly the guidance issued by the profession to Appointed Actuaries, specifically GN1 and GN8, has also remained substantially unchanged over that period. The time was opportune for valuation practice to be reviewed in the light of recent experience.