bluuebunny/crossref_metadata_2025_split huggingface dataset:
A realistic approach to pension funding
Authors: Thornton P. N. , Wilson A. F. 
Published: April 2012

AbstractRecent developments which affect the financing of occupational pension schemes in the U.K. arc reviewed. These point to the need for realistic bases, and an approach to finding a ‘best estimate’ is described. It is suggested that typical bases contain significant margins and the long-term dangers of using bases which contain margins are illustrated using a model fund. A review of funding methods suggests that the projected unit and entry age methods should be used for normal purposes in conjunction with a discounted income approach to the valuation of assets. Suggestions are made as to the degree of prudence appropriate for funding purposes.
Investment — assessing a manager's skill and monitoring the risks
Authors: Day N. , Green S. J. , Plymen J. 
Published: April 2012

AbstractThe paper proposes a new way of assessing an investment manager's skill in the day-to-day management of portfolios. The authors argue that traditional investment performance measurement techniques, whilst appropriate for many purposes, do not provide the insights necessary to judge the skill of investment managers. To judge manager skill, it is necessary to consider the activity within the portfolio in terms of the purchases, sales and trades, and to determine the value added by that activity. The paper sets out a framework by which this analysis can be carried out and, by means of examples, indicates how the results can be interpreted. The paper also explores briefly a number of other issues such as the qualitative aspects of performance monitoring. In writing the paper, the concept of risk in various guises was never far from the authors' minds, and it is true to say that the meaning of risk in the context of assessing manager skill lies at the very heart of the paper.
Techniques of project management
Authors: Williams A.J. 
Published: April 2012

This paper addresses certain aspects of management practice. As such, it is unusual if not unique in the catalogue of topics discussed by the Institute, and it is instructive to examine briefly why this may be.Firstly, management and the skills associated with its successful practice are not specifically actuarial concerns. There are numerous platforms from which one may advance theories of management practice and, because management skills are of general application, those platforms are generally broader than the technical disciplines which draw us together as members of one profession.Secondly, the opportunities for and the consequences of good management are necessarily imprecise, relating as they do to the enhancement of ventures of all kinds through the intelligent use of that most indispensable resource available to managers: the individuals on whom they can call to execute the consequences of their decision-making. The degree of imprecision is so great that the practice of management is frequently termed an art rather than a science. The net of actuarial science has a mesh of a shape to catch a number of philosophies (such as the concept of Equity) which are not purely value-based—but the philosophy of human-resource management has never been one of these, escaping from the sweep of our professional scrutiny to be caught (if at all) in the trawl of the behavioural sciences. It is certainly possible to succeed in the written examinations leading to an actuarial qualification without any consideration of the aptitudes, skills and resources needed for good management.
Matching
Authors: Wise A. J. 
Published: April 2012

1.1 The basic task of actuarial valuation is to compare the quantity of assets with the quantity of liabilities. A refinement is to compare qualities as well as quantities.1.2 The qualities of assets and liabilities are their characteristics of cash flow, duration, growth, price volatility, etc. This note considers a conceptual and mathematical framework for matching in the most general terms.1.3 Insurance work in the United Kingdom uses the notion of reserves for mismatching. Pension fund valuations in the U.K. also tend to use a notion of matching when considering the actuarial value placed on the fund.
Using APL for financial calculations
Authors: Forfar D. O. 
Published: April 2012

The computer language APL is not as well known in the financial field as it might be and yet its structure and syntax make it very well suited to financial and actuarial calculations (as well as to mathematical and statistical calculations)—indeed it might almost be called a natural language for financial calculations.In a contribution to the XVI ASTIN Colloquium in Liège, 1982, entitled ‘Description and Comparison of various Programming Languages and their Suitability for Non-Life Actuaries’, J. A. Bartola concluded that APL was a very attractive programming language for actuaries.
Address by the President. Actuarial highways
Authors: Martin Leonard John 
Published: April 2012

AbstractThe Address is a journey in three parts. The first part describes the world scene in the last century when the Institute was founded and traces the development of actuarial work to the present day. The current U.K. pension scene is then broadly reviewed and the journey ends with vistas of the future. The concentration of actuarial work towards life assurance and pensions is attributed to meeting the needs of the past and encouragement is given to the urgent extension of the work of the profession into wider fields.The U.K. pension scene is described as being complex, confused and filled with uncertainty. The profession is urged to assist government actively and positively, to examine the expected future growth of pension funds, and to compare the financing of retirement benefits in the U.K. with other methods adopted in Europe.Work in wider fields is envisaged as embracing general insurance, the health and care of the aged, banking and finance, and the appraisal of capital projects.
Distribution of financial services
Authors: Gupta A. K. , Westall G. 
Published: April 2012

AbstractThe historic barriers between the different companies which comprise the financial services industry are breaking down. In order that organisations may prosper in the new environment the relationships between products, distribution and clients need to be understood. A theory is developed to explain the historic position and the dynamics of the current environment and indicate future trends. The conclusion is that successful organisations will be those which fully understand and specialise in a limited number of sectors, and those who start with a clientbase and a distribution system which will not inhibit the introduction of other distribution methods so that they can become multi-product and multi-distribution organisations. Finally, the paper explores the relationships between pricing policy and distribution by means of distribution chains to determine the point and degree of price sensitivity.
The supervision and control of pension funding in the United Kingdom
Authors: McLeish D. J. D. , Stewart C. M. 
Published: April 2012

AbstractThis paper looks at the existing controls on minimum funding standards and the solvency of defined benefit pension schemes in the United Kingdom. It considers the definition and disclosure of solvency margins and then goes on to look at the operation of a ‘Pensioners’ Protection Fund which would underwrite the solvency of schemes in a winding-up. With submissions due to the Goode Committee before the end of 1992, this paper will provide a well-timed opportunity to discuss some of the issues to be addressed by that Committee.
Graduation by dynamic regression methods
Authors: Verrall R. J. 
Published: April 2012

AbstractThis paper extends the theory of graduation by parametric formulae to include dynamic estimation methods. This is an application of the Kalman filter and allows the parameters of the curve fitted to vary with age. The amount of variation is determined by the amount of smoothing required, and the method can be regarded as a combination of curve fitting and sequential smoothing, each of which has been used separately for performing graduations. In practice, a dynamic straight line can always be used for the graduation and the method has a sensible logical interpretation.
Financial reinsurance
Authors: Wilkinson R. C. , Clark P. K. , Craighead D. H. , Dean J. W. , Silverman A. H. , White M. G. 
Published: April 2012

AbstractThis paper seeks to define and explain financial reinsurance, a type of reinsurance growing rapidly in the general insurance market. It provides criteria for underwriters and actuaries to understand the degree of risk transfer involved and the limitations on that risk transfer. It seeks to set out criteria, applicable to both insurer and reinsurer, for estimating reserves where financial reinsurance covers are involved and for compliance with supervisory requirements. Several examples are given of typical financial reinsurance contracts currently in use.
Dynamic response of insurance systems with delayed profit/loss sharing feedback to isolated unpredicted claims
Authors: Balzer L. A. , Benjamin S. 
Published: April 2012

SummaryA mathematical model of the dynamic behaviour of an insurance system with delayed profit/loss sharing feedback is developed. The model is then subjected to a disturbance input consisting of an isolated group of unpredicted claims and the dynamic responses of cash flow and accumulated cash flow determined. Increasing delays are seen to lead first to undesirable oscillatory responses and eventually to instability. where the responses become unbounded. Such behaviour is noted to be independent of the type of business and to be a property of the feedback mechanism and not related to the type of disturbance input.
A market equilibrium model for the management of ordinary share portfolios
Authors: Clarkson R. S. 
Published: April 2012

1.1 The price of a particular ordinary share represents an equilibrium position between the views of those participants in the market who wish to buy and those who wish to sell. Most participants, and certainly all institutional investors, have access to a vast amount of background information, and share prices adjust continuously as these participants revise their buying or selling prices in the light of new information or in the light of a changed interpretation of existing information. If an explicit price model can be developed solely from the principle that prices are in equilibrium once all participants in the market have acted on their interpretation of the information available to them, this model will be of considerable assistance in the management of ordinary share portfolios.1.2 This paper describes the construction and application of such a price model and discusses the optimal extent to which mathematical and statistical methods can be employed in portfolio management. A recent paper by Clarkson (1980) describes the stage of development that had been reached at the end of 1978; the present paper expands on the underlying concept of market equilibrium and on the practical implications for the management of institutional portfolios of ordinary shares.
Scientific underwriting: ‘stroke’ as a model
Authors: Haberman S. 
Published: April 2012

The paper reports the results and conclusions of a project which provided a statistical analysis of survival after stroke (or cerebrovascular disease) and derived appropriate life assurance underwriting ratings. The methodology used has been described elsewhere and will be referenced as needed.The project forms a pilot study set up to consider the feasibility of collecting and analysing in detail the considerable medical and actuarial literature that has accumulated on the prognostic experience of impaired lives over the last 30 years.
Salary survey comprising: (1) 1982 survey of the professional activities and earnings of recently qualified members. (2) A comparison of the results of the 1982 survey with those of the three previous investigations
Authors: Gunlake J. H. , Benjamin B. 
Published: April 2012

1. In August 1982, a questionnaire relating to professional activities and earnings was sent to all members of the Institute in the United Kingdom who completed the examination between 1966 and 1981 inclusive. Questions regarding remuneration related to the year ended 5 April 1982.2. Out of 970 questionnaires despatched 901 were returned, and of these 895 were sufficiently complete to be included in the analysis. Thus the effective response rate was 92%. The Council of the Institute is grateful to all those who participated.3. The Council would also like to express their appreciation of the work carried out by Professor Bernard Benjamin, of the Centre for Research in Insurance and Investment in the City University, who arranged for the tabulation of the data and prepared a report on it.
Criteria of smoothness
Authors: Barnett H. A. R. 
Published: April 2012

1.1 The actuarial profession has for decades, indeed centuries, used age-related tables, particularly (although not exclusively) of mortality, which in preparation have been subjected to the process known as graduation. Five purposes of such graduation have recently been set out by Vallin, Pollard and Heligman and these may be summarized as follows:(1) to smooth the data, make them easier to handle, remove irregularities and inconsistencies;(2) to make the result more precise on the reasonable assumption that the real mortality underlying the observations is a smooth curve, i.e. to remove sampling and other errors;(3) to aid inferences from incomplete data;(4) to facilitate comparisons of mortality;(5) to aid forecasting.Of these purposes, (1), (2) and (3) may all be paraphrazed as implying that the purposes are to make the table smooth, and (4) and (5) as indicating uses to which a table may better be put if smoothed. So the purposes of what the profession has come to term ‘graduation’ all boil down to the production of a smooth table, and for the rest of this paper until the last section I shall use the word ‘smoothing’ rather than ‘graduation’. But what is smooth?
Pension aspects of takeovers: a review of practice
Authors: Garner A.S. , Thornton P.N. , Wise A.J. 
Published: April 2012

1.1 The purpose of this paper is to review current practice regarding the pension aspects of takeovers and mergers of companies and businesses in the UK, with particular reference to the involvement and responsibilities of actuaries. Although there is an increasingly international aspect to such transactions, this is outside the scope of this paper.1.2 Previous papers dealing with this subject either in part or in whole include those by Gilley, by Pomery and Jones, and by Chapman and Jagelman.
Alfred Watson Memorial Lecture: Public and professional attitudes to risk
Authors: Warner Frederick 
Published: April 2012

It is a privilege, Mr President, to be invited to lecture to your Institute, especially in commemoration of Alfred Watson who did so much to establish the firm foundations of your profession. These are of such detail and intricacy that you remain elite and hardly subject to the kind of challenges which more and more affect other professions. Perhaps your time will come as mutterings are heard about your valuations of pension funds and to whom they belong.The subject of this lecture tonight is the way in which risk has forced itself to the front of public discussion and finds the expression in comment almost every day, whether on the issue of vaccine damage to children, medical negligence, the Chernobyl disaster, landslides in Colombia or floods in Bangladesh.
Improving the performance of equity portfolios
Authors: Clarkson R. S. , Plymen J. 
Published: April 2012

This paper has the strictly practical objective of devising procedures for managing Equity portfolios to the best advantage.First, Modern Portfolio Theory, (MPT) which has been developed over the last 35 years with just this objective, is critically examined; from a study of the history of MPT and of its philosophy, principles and practices, the authors conclude that this discipline makes no contribution whatever to improving the performance.The Index Fund step-up is a sterile concept. Surely a professional investment manager, using modern techniques of data banks, investment analysis, etc. should improve on the Index performance. This objective is in conflict with the Perfect Market Principle. For the less erudite investors, who are, of course, in the majority, the Perfect Market Principle may well apply, at any rate, to the well researched leading shares. However, the Perfect Market Principle should not apply to the erudite, professional investor, well equipped and well advised, who should be able to find many opportunities for situations with undervalued and overvalued shares, both among the leading issues and particularly within the smaller companies that get less research attention.
Projecting the spread of AIDS in the United Kingdom: a sensitivity analysis
Authors: Daykin C. D. , Clark P. N. S. , Eves M. J. , Haberman S. , le Grys D. J. , Lockyer J. , Michaelson R. W. , Wilkie A. D. 
Published: April 2012

AbstractIn AIDS Bulletins Nos. 1 to 4 the Institute of Actuaries AIDS Working Party presented projections of HIV infection and AIDS based on a model developed by Wilkie. This paper explores the sensitivity of those projections to the various different assumptions which have to be made and presents results on a number of alternative sets of assumptions.
Work time lost to sickness, unemployment and stoppages: measurement and application
Authors: Haberman S. , Bloomfield D. S. F. 
Published: April 2012

AbstractThe paper considers a number of methods of estimating the work time lost due to sickness, unemployment and stoppages. The most satisfactory approach suggested is based on a multiple state working life table. Numerical examples of the measurement of work time lost are provided for particular application to the actuarial assessment of damages (arising out of personal injury or fatal accident). Other applications, including the pricing of unemployment insurance, are also discussed.
Notes on the Financial Times-Actuaries Index in 1973
Authors: Brumwell J. C. H. 
Published: April 2012

Classification of Stock Exchange Securities by IndustryAs a result of quarterly meetings of the Index Constituents & Industrial Classification Committee, the classifications of 60 companies were changed either because the original classification was found to be wrong, or because the company had clearly changed its business. These changes were only made after notification to the company concerned and in most cases after discussions with the company; apart from those with whom negotiations had begun in 1972, a further 65 companies were approached in 1973. Classifications of newly floated companies were made by the Stock Exchange Quotations Department but the published lists were scrutinized and occasional changes were recommended.The original classifications were set out in the 1970 note in this series (J.I.A., 97, 111–12). During 1973, Group 52 was renamed ‘Newspapers & Periodicals’, and five minor amendments to the definitions of other Groups were made.
Notes on the 10th ASTIN Colloquium
Authors: Green P. J. H. 
Published: April 2012

ASTIN—the section of the International Actuarial Association whose main interest is in the actuarial study of non-life insurance—held its 10th Colloquium at the University of Essex from 4–8 September 1973.In all 161 members, representatives of corporate members, and accompanying persons attended, including 20 members of the Institute of Actuaries and 4 Fellows of the Faculty of Actuaries. 21 countries were represented and for the first time Great Britain provided the largest delegation.The subject for the Colloquium was ‘Mathematical and Statistical Models underlying nonlife insurance’ and 24 papers or written contributions were presented. The Colloquium was opened by R. E. Beard, O.B.E., F.I.A., in his dual capacity as co-ordinator of the Scientific Programme and Professor at Essex University. The Chairman of ASTIN, Professor Bühlmann from Switzerland, expressed the gratitude of all to the University of Essex for the facilities given and his pleasure at the 10th Colloquium being held in the United Kingdom, a country recognized as the Father of Insurance.
Care robots for the supermarket shelf: a product gap in assistive technologies
Authors: BLACKMAN TIM 
Published: April 2012

ABSTRACTThe literature on the development of assistive robots is dominated by technological papers with little consideration of how such devices might be commercialised for a mass market at a price that is affordable for older people and their families as well as public services and care insurers. This article argues that the focus of technical development in this field is too ambitious, neglecting the potential market for an affordable device that is aleady in the realm of the ‘adjacent possible’ given current technology capabilities. It also questions on both ethical and marketing grounds the current effort to develop assistive robots with pet-like or human-like features. The marketing literature on ‘really new products’ has so far not appeared to inform the development of assistive robots but has some important lessons. These include using analogies with existing products and giving particular attention to the role of early adopters. Relevant analogies for care robots are not animals or humans but useful domestic appliances and personal technologies with attractive designs, engaging functionality and intuitive usability. This points to a strategy for enabling mass adoption – which has so far eluded even conventional telecare – of emphasising how such an appliance is part of older people's contemporary lifestyles rather than a sign of age-related decline and loss of independence.
Economic principles for resource allocation decisions at national level to mitigate the effects of disease in farm animal populations
Authors: HOWE K. S. , HÄSLER B. , STÄRK K. D. C. 
Published: April 2012

SUMMARYThis paper originated in a project to develop a practical, generic tool for the economic evaluation of surveillance for farm animal diseases at national level by a state veterinary service. Fundamental to that process is integration of epidemiological and economic perspectives. Using a generalized example of epidemic disease, we show that an epidemic curve maps into its economic equivalent, a disease mitigation function, that traces the relationship between value losses avoided and mitigation resources expended. Crucially, elementary economic principles show that mitigation, defined as loss reduction achieved by surveillance and intervention, must be explicitly conceptualized as a three-variable process, and the relative contributions of surveillance and intervention resources investigated with regard to the substitution possibilities between them. Modelling the resultant mitigation surfaces for different diseases should become a standard approach to animal health policy analysis for economic efficiency, a contribution to the evolving agenda for animal health economics research.
Shaking the Pot of Modelling Tools: Some Open Problems in the Field
Authors: Harmanec Petr 
Published: April 2012

AbstractTo inspire and provoke lively discussions, I argue that the accuracy of the basic physical properties of stars, based on analyses of well-observed detached binaries, might be worse than usually believed. I offer some ways how to deal with the situation. I end with a few comments on the studies of extra-solar planets.
Techniques for Observing Binaries in Other Galaxies
Authors: Bonanos Alceste Z. 
Published: April 2012

AbstractI present an overview of the techniques used for detecting and following up binaries in nearby galaxies and present the current census of extragalactic binaries, with a focus on eclipsing systems. The motivation for looking in other galaxies is the use of eclipsing binaries as distance indicators and as probes of the most massive stars.