bluuebunny/crossref_metadata_2025_split huggingface dataset:
Report on the Wilkie stochastic investment model
Authors: Geoghegan T. J. , Clarkson R. S. , Feldman K. S. , Green S. J. , Kitts A. , Lavecky J. P. , Ross F. J. M. , Smith W. J. , Toutounchi A. 
Published: April 2012

AbstractA FIMAG Working Party was set up in 1989 to consider the stochastic investment model proposed by A. D. Wilkie, which had been used by a number of actuaries for various purposes, but had not itself been discussed at the Institute. This is the Report of that Working Party. First, the Wilkie model is described. Then the model is reviewed, and alternative types of model are discussed. Possible applications of the model are considered, and the important question of ‘actuarial judgement’ is introduced. Finally the Report looks at possible future developments. In appendices, Clarkson describes a specific alternative model for inflation, and Wilkie describes some experiments with ARCH models. In further appendices possible applications of stochastic investment models to pension funds, to life assurance and to investment management are discussed.
HIV, AIDS and the approximate calculation of life insurance functions, annuities and net premiums
Authors: Haberman S. 
Published: April 2012

AbstractThe paper presents an application of the Markov chain as a tool for the calculation of life contingencies functions (e.g. assurance, annuity, net premium, policy value functions) arising from a multi-state model which represents the transmission and development of HIV and AIDS. The transmission model advocated by the Institute of Actuaries AIDS Working Party is modified and simplified and then applied to derive explicit formulae for these standard life contingencies functions. This investigation allows a thorough review of the properties of these functions to be conducted and assists with the calculation of premiums and reserves in the presence of HIV and AIDS.
Statistical motor rating: making effective use of your data
Authors: Brockman M. J. , Wright T. S. 
Published: April 2012

AbstractThe paper gives details of statistical modelling techniques which can be used to estimate risk and office premiums from past claims data. The methods described allow premiums to be estimated for any combinaton of rating factors, and produce standard errors of the risk premium. The statistical package GLIM is used for analysing claims experience, and GLIM terminology is used and explained thoughout the paper.Arguments are put forward for modelling frequency and severity separately for different claim types. Pitted values can be used to estimate risk premiums, and the incorporation of expenses allows for the estimation of office premiums. Particular attention is given to the treatment of no claim discount.The paper also discusses possible uses of the modelled premiums. These include the construction of ‘standardised’ one way tables and the analysis of experience by postal code and model of vehicle. Also discussed is the possibility of using the results for assessing the impact of competition, and for finding ‘niche’ markets in which an insurer can operate both competitively and profitably.
Reserving for catastrophe reinsurance
Authors: Craighead D. H. 
Published: April 2012

AbstractThe paper sets out the method required to be followed when estimating reserves for a Company or a Lloyd's Syndicate which has accepted reinsurance treaties that have given rise to catastrophe losses, sufficiently large to upset the normal development pattern and to affect the gross account quite differently from the net account. The losses may be caused by single factors such as aircraft crashes or oil rig disasters, or by the aggregation of claims resulting from a windstorm or an earthquake. The paper discusses two possible approaches to estimation of the gross losses; via exposure totals or via statistical modelling techniques.
Defining and protecting the pension promise
Authors: Goode Roy 
Published: April 2012

AbstractThe 1993 Jubilee Lecture considered two fundamental questions addressed in the report of the Pension Law Review Committee: when an employee joins an occupational pension scheme, what should the law consider to be the fundamental pension promise; and how should that promise be protected? The factors affecting the employee's expectations are examined in the light of the pension promise, and the conclusion drawn that certain expectations relating to accrued rights should be protected by law, although the employer should be able to control its financial commitments as to future service. The status of surplus, in both an ongoing scheme and in the event of a wind-up, is also considered, and recommendations made as to the use of a surplus if not already dealt with by the scheme rules. The two principal forms of protection for the pension promise which were recommended by the Pension Law Review Committee are discussed; firstly, the introduction of a minimum solvency standard, backed up by tighter rules for the prompt payment of contributions and by enhanced monitoring and reporting requirements for scheme auditors and actuaries; and secondly, the setting up of a statutory compensation fund to cover a deficit in the event of fraud or theft, to be financed by a post-event levy on schemes.
Life insurance company takeovers. A Report by a Working Party of the Life Assurance Joint Committee of the Institute of Actuaries and the Faculty of Actuaries, 15 October 1993
Authors: Sherlock E. B. O. , Froggatt H. W. , Gillott N. R. , Harvey R. M. , Jenkins J. A. , Keeler D. J. , Pickford M. A. , Taylor N. H. 
Published: April 2012

AbstractThe working party was required to establish what actuarial information is needed by the financial world for the proper evaluation of a bid for a quoted insurance company, and, in the light of these findings, to consider what may be required in the way of guidance to actuaries. The report considers the issuesw hich occur when life insurance companies aresu bject to takeovers and to other changes of ownership. The Takeover Code has many implications in such situations and these are discussed fully, particularly any conflicts of interest and the independence or otherwise of the actuaries involved. The interests of policyholders are considered and advice is proffered to actuaries. A Guidance Note is being issued.
A consideration of book reserve schemes
Authors: Mason D. C. , Arnold R. L. M. , Clark R. E. , Crowter T. E. , Johnston A. I. , Neil S. M. , Walton A. N. 
Published: April 2012

AbstractWith the financial services industries in the member countries of the European Union coming under increasing attention resulting in relaxation of cross border controls, this paper addresses some pensions matters in this European context and how they may relate to the U.K. The main theme of the paper is the book reserve approach to pensions provision. Details of the German book reserve method are provided before developing possible ways in which this philosophy could be introduced into the U.K. These possibilities are assessed and consideration given to the effect they may have on the economy, commerce, the pension fund industry and, not least, the actuarial profession in the U.K.
Uniqueness of non-negative internal rate of return
Authors: Russell Allen M. , Rickard John A. 
Published: April 2012

We will be considering a productive investment project or financial security which yields a sequence of cash flows, positive or negative, over time. Let a1 (dollars) be the cash flow from the project at time t, where t takes the values 0, 1, 2,…, n. Given the known cash flows at from the project, and a known market rate of interest, i per period, at which money may be borrowed or invested, a common procedure is to accept the project if its present value P is greater than zero, whereAn internal rate of return of the project is defined to be a solution of the equationin (− 1, ∞), if, of course, one exists.
With profits without mystery
Authors: Ranson R. H. , Headdon C. P. 
Published: April 2012

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.
Time series models for insurance claims
Authors: Harvey A. C. , Fernandes C. 
Published: April 2012

ABSTRACTThe distribution of insurance claims in a given time period is usually regarded as a random sum. This paper sets up a time series model for the value of the claims and combines it with a model for the number of claims. Thus past observations can be used to make predictions of future values of the random sum, and the overall model ensures that they are discounted appropriately. It is shown that explanatory variables can be introduced into the model, and how it can be extended to handle several groups. The general approach is based on the recently developed structural time series methodology.
Negative incremental claims: chain ladder and linear models
Authors: Verrall R. J. , Li Z. 
Published: April 2012

AbstractThis paper considers the application of loglinear models to claims run-off triangles which contain negative incremental claims. Maximum likelihood estimation is applied using the three parameter lognormal distribution. The method can be used in conjunction with any model which can be expressed in lognormal form. In particular the chain ladder technique is considered. An example is given and the results compared with the basic actuarial method.
Practical applications of risk theory. Seminar, 29–30 September 1992
Authors: Macdonald A. S. 
Published: April 2012

A seminar on ‘The Practical Applications of Risk Theory’ was held at Staple Inn on 29–30 September 1992, organised jointly by the Institute and the Department of Actuarial Mathematics and Statistics at Heriot-Watt University. The aim of the seminar was to combine introductory talks on several aspects of risk theory with detailed presentations of case studies by practitioners.The first three sessions dealt with risk models.Ms Mary Hardy gave a short survey of the classical collective risk model, compound Poisson distributions, and some simple approximations to such distributions.
Johann Heinrich Lambert (1728–1777)
Authors: Daw R. H. 
Published: April 2012

1.1. This paper is intended as a tribute to a man who died at the age of 49 just over 200 years ago having made material contributions to what is now regarded as actuarial science, as well as to many other branches of science, but whose work has largely been overlooked.1.2. Johann Heinrich Lambert was born in Mulhouse, Alsace on 26 August 1728 and died in Berlin on 25 September 1777. He was largely self-taught, having had to leave school at the age of 12 to help his father in his tailor's shop. At the age of 20 he became tutor to the children of a noble Swiss family; this ended 10 years later when he had taken the children on an educational tour of Europe during which he was able to meet eminent scientists of the time and go to lectures at universities and learned societies. Eventually, in 1765, he obtained a post at the Royal Academy of Sciences in Berlin where he stayed until his death.
Iterative solution of the interest rate in a financial transaction: the hyperbolic method
Authors: Durbin P. L. 
Published: April 2012

1.1 This note describes an iterative method for determining the root of an equation, based on the assumption that the curve representing the equation is a rectangular hyperbola near the root.1.2. The method was derived for use in calculating the interest rate under financial contracts. Despite having a theoretically slower rate of convergence than Newton's method, in practice the hyperbolic method seems to require a fewer number of iterations for comparable accuracy. Moreover, it applies where the form of the function being evaluated is incapable of explicit description, and hence its derivative cannot be defined, such as where reinvestment rates of return are assumed.
Some financial aspects of a general insurance company
Authors: Abbott W. M. , Clarke T. G. , Treen W. R. 
Published: April 2012

1.1 In recent years, the United Kingdom members of the actuarial profession have become increasingly involved in the general insurance industry and therefore the Institute decided that the subject of general insurance should be included in its syllabus from 1977.1.2 Prior to 1977 there were a number of papers and articles, written for either the General Insurance Study Group or the Research Committee, on various subjects related to general insurance. These papers and articles have not always had a wide circulation, although they have been deposited in the library at Staple Inn.1.3 Most of these papers were of an explanatory or technical nature. In the authors' opinion, the actuary has a much wider rôle in general insurance than the technical one of estimating the liabilities of claims. In fact, the actuary should be able to provide a blue-print or framework for the financial management of a general insurance company.1.4 A general insurance company is a financial concern; therefore the actuarial profession should have a rôle to play. In describing the financial concern, the actuary is required to chart the waters linking profitability, solvency, growth, reserving basis, dividend policy and capital requirements. As the second half of this paper will show, these items are inter-linked and decisions on one should not be taken in isolation as they will have repercussions on one or more of the other items.
The flock and the sheep and other essays
Authors: Redington F. M. 
Published: April 2012

This is not so much a paper as a series of loosely-connected essays and it requires explanation.For some years I have felt that my generation had an unusual duty to the history of the profession. The first 180 years of actuarial history no doubt seemed eventful enough at the time but they took place against a stable background when interest rates were seldom outside the range 3% to 5%. But since 1945, say, a turbulence undreamed of in those earlier days has become the commonplace of our activities.
Compound interest in the seventeenth century
Authors: Lewin C. G. 
Published: April 2012

Richard Witt'sArithmeticall Questions, published in 1613, was a landmark in the history of compound interest. In a previous paper (J.I.A.96, 121) I have described the book and attempted to show why it is so important.This article sets out some information about Witt's life, which has come to light as a result of research done since the previous article (when very little was known about him). Then follows a discussion of some of the books on compound interest which were published later in the seventeenth century. These not only help to fill in the practical background but also show how the techniques came to be more widely known and how problems arose when interest rates were reduced. It is worth noting that there was an average inflation rate of around 1% p.a. during the first half of the century and an average inflation rate of nil, or even a slight deflation, during the second half (Birks & Morrell, 1976; Mitchell & Deane, 1962). Thus, to a very considerable extent, the interest rates used in calculations were real rates of interest.
Non-parametric graduation using kernel methods
Authors: Copas J. B. , Haberman S. 
Published: April 2012

LetEbe an event whose probability of occurrence depends on some continuous variablex, P(E|x) =qxFor example,Emay be death andxage,Emay be incidence of lung cancer andxamount of smoking, orEmay be reconviction of a parolee withxprevious criminal convictions (with suitable definitions of the underlying time interval for the occurrence ofE). Given observations on n individuals with characteristicxand the incidence ofE, it is desired to estimate the functionqx.The simplest case is when the data are grouped—supposexoccurs innxcases of whichEoccurssxtimes. Then the elementary crude estimate isThis paper describes a simple, non-parametric method of graduating observed rates or probabilities of the formThe technique has been used for smoothing data sets arising in medicine and criminology (Copas(1)(2)) and is extended here to an actuarial example and the results compared with more traditional approaches.
An invariance principle for the analysis of non-life insurance claims
Authors: Taylor G. C. 
Published: April 2012

SummaryThe paper is concerned initially with the admissibility of particular claim payment models. Admissibility is restricted by the requirement that, if claims escalation is excluded, the amount of outstanding claims at any epoch of development of a generation of claims should be independent of the future speed of finalization.This simple requirement represents aninvariance condition. The problem of admissibility of models can therefore be approached in the manner of invariance problems in physics. Standard techniques of variational calculus are used.
The effect of size and other economic factors on the expense rate behaviour of UK life insurance companies
Authors: Praetz P. D. 
Published: April 2012

This paper finds a strong size effect for the total business of 106 U.K. life companies from the 1981–82 Insurance Directory and Year Book.The industry is regulated by the 1982 Insurance Companies Act which consolidated earlier legislation. This does not control output or prices of firms but many other items including investment. The industry is not highly concentrated with the five largest firms in 1980 with 30% of premiums. In 1980, total ordinary branch premiums amounted to £5.8 billion.Section 2 surveys briefly some relevant research, while §3 discusses the data and size and other economic factors for life assurance firms. Section 4 discusses the empirical results while §5 has a brief conclusion.
Solvency margin funding for general insurance companies
Authors: Taylor G. C. 
Published: April 2012

In Australia, the Insurance Acts 1973 introduced the formal requirement of a solvency margin. The solvency margin required by Statute is a proportion (15% in fact) of net premium written in the last completed financial year. Since then, there has been a certain amount of discussion on the means of funding that margin under expansionary conditions.The vicissitudes of the discussion in Australia and the United Kingdom have been as follows.At first, it appeared unquestioned that increases in solvency margin must be financed effectively by premium loadings. For example, Loader and Ryder (1976) state flatly that “The increase in solvency margin must be met from profit earnings”. The ideas of Loader and Ryder were adopted as a point of departure by Cooper and Long (1977). Basically the same theme was presented by Eriksen and Jones (1977).
Hedging the market: the performance of the FTSE 100 Share Index
Authors: Dimson E. , Marsh P. R. 
Published: April 2012

AbstractIn this paper, we examine the hedging performance of the new FTSE 100 Share Index. First, we reconstruct a back-history of the monthly and daily index values using the London Share Price Database. Then we analyse the statistical characteristics of the Index, comparing it with the FT–Actuaries All Share and FT Ordinary Indexes. Finally, we examine the sources of undiversification within the FTSE Index. We conclude that the market is likely to track the FTSE Index to within a close tolerance, and that the residual tracking error is attributable partly to sector imbalances, but more importantly, to imbalances in exposure to smaller capitalization stocks.
Generalized annuities and assurances, and their inter-relationships
Authors: Roberts Leigh 
Published: April 2012

AbstractBy the definition of generalized assurances and annuities, the relation 1 = Ās + δās is shown to be the simplest member of a family of relations in which the present value of the capital and interest repayments is equated to the original amount of a loan. When the force of interest is constant over time, the relation takes the simple form above, but when the force is a polynomial in time, the interest payments become a series of annuities, the payments on which increase over time at different rates.
Bonus declarations after a fall in interest rates
Authors: Smaller S. L. 
Published: April 2012

1.1 On 21 December 1976 I received the following memorandum from Mr A. E. Tinckler, who was then the Actuary of my Company. It read:1.2. “We have been discussing recently some of the effects on the Life Fund of a significant fall in interest rates, and I think we agree that the time has now come to set up a formal study to analyse the problem and to make recommendations.1.3. “There is no doubt that interest rates in the United Kingdom are very much higher at the present time than in other comparable countries. There are good reasons for this state of affairs, but it is most unlikely to continue over more than a few years, unless the country is to descend to very low levels indeed in the international league. In spite of many pessimistic assertions to the contrary, there are good grounds for thinking that the present rates will come down very substantially indeed over the next few years.
The optimality of the net single premium in life insurance
Authors: Ramsay Colin M. 
Published: April 2012

Vadiveloo et al (1982) introduced a criterion for choosing, among the various net risk premium payment plans, the so-called optimum one. They considered a life insurance situation where benefits were payable at the end of the year of death. Of course, premiums cease after death! This optimum criterion was the minimization of the discounted net profit variance. Their model can be mathematically described as follows. Consider an insured life aged exactly x having a death benefit with present value, if death occurs at time t, denoted by B(t). If the present value of the total premiums paid up to time t is R(t) and the random variable T denotes the time of the death of x, then the profit at death has present value Z(T) where Z(T)=R(T)−B(T).The optimum net premium payment plan, R*(t), is the one that minimizes Var[Z(T)] subject to E[Z(T)] = 0.
Measuring relative mortality experience
Authors: Haberman S. 
Published: April 2012

SummaryA common method of measuring relative mortality experience in actuarial, demographic and epidemiological studies is by way of comparison of the actual number of deaths and the number expected if a given standard experience were applicable. The properties of this method are discussed. Further ways of making such a comparison are described, one of which (the widely used Cumulative Mortality Ratio) has a serious bias in application to follow-up mortality studies. The properties of an alternative approach, the Ratio of Geometric Average Death Rates (RAD), are also discussed. This extends the analysis published in 1982 by the author, although attention is focused here on ratios that measure relative mortality experience.
Modelling excess mortality using GLIM
Authors: Renshaw Arthur E. 
Published: April 2012

It is now some sixteen years since Sir David Cox (1972) published his epoch making paper in which he incorporated regression type arguments into life-table analysis. Central to the method was the introduction of the multiplicative hazardwith vector of covariatesz, unknown regression parameters β, and so-called base-line hazard λ*(t) = λ (t, 0). Applications of the method, based on the conditional likelihood argument expounded by Cox in which the base-line hazard λ* is unknown, have proliferated in the intervening years, largely in the field of medical statistics. There have been relatively few applications in which the base-line hazard is assumed known at the outset. Specific cases include Breslowet al.(1983), Berry (1983) and Hillet al.(1985).