bluuebunny/crossref_metadata_2025_split huggingface dataset:
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

SynopsisWritten 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

SynopsisThe 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

SynopsisThe 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

SynopsisThe 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.
Life Assurance Profitability, Performance and Prospects
Authors: Plymen J. , Woodward D. L. 
Published: July 2016

SynopsisThe 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

SynopsisThe 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

SynopsisThe 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.
Notes on Equal Treatment for Men and Women in Occupational Social Security Schemes
Authors: Wilkie A. D. 
Published: July 2016

AbstractThese 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.
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

SynopsisThis 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

SynopsisThe 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

SynopsisThe 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

SynopsisThe 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

SynopsisDuring 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

SynopsisThe 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.
A Practical Approach to Applying Immunisation Theory
Authors: Shedden A. D. 
Published: July 2016

SynopsisIn 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

SynopsisThe 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.
With Profits Without Mystery
Authors: Ranson R. H. , Headdon C. P. 
Published: July 2016

AbstractThe 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

AbstractThe 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.