bluuebunny/crossref_metadata_2025_split huggingface dataset:
Demutualisation of a United Kingdom mutual life insurance company
Authors: Needleman P. D. , Westall G. 
Published: April 2012

ABSTRACTThe paper firstly examines the way in which U.K. mutuals operate and the forces which are leading mutuals to consider demutualisation. Demutualisation is normally accomplished by a Scheme of Transfer under Section 49 of the Insurance Companies Act 1982. The role of the directors and actuaries is discussed, including the impact of the Institute's latest Guidance Note (GN15).The protection of policyholders' reasonable expectations, the value of membership rights and the basis of dealing with any orphan surplus are the central problems. The paper examines them in the context of both the open fund and closed fund situation and shows how they may be resolved.A simple model is used to project the financial position of both an open and closed fund in a demutualised company. The relative advantages and disadvantages of each indicate that different courses of action may be appropriate for mutuals in differing financial positions.
On modelling select mortality
Authors: Currie I. D. , Waters H. R. 
Published: April 2012

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

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

AbstractThis paper considers a general framework for the selection of assets to meet the liabilities of a life insurance or pension fund. This general framework contains the mean-variance efficient portfolios of modern portfolio theory as a special case. The paper also demonstrates how the portfolio selection and matching approach of Wise (1984a, 1984b, 1987a, 1987b) and Wilkie (1985) fits into this general framework. The matching portfolio is derived as a special case, and is also shown to have implications for determining the central value of the liabilities.
Allowing for asset, liability and business risk in the valuation of a life office
Authors: Mehta S. J. B. 
Published: April 2012

AbstractThe theme of this paper is that life office valuation can be based on an analysis of the characteristics of the individual cash flows which form the net cash flow of an office. These cash flows may be compared with the income and gains derived from traded securities such as equities and gilts in order to assess their values. Standard asset pricing models of modern portfolio theory enable one to allow for lapse, mortality and other risks.The methodology outlined in the paper is illustrated by reference to the very different types of revenue generated by non-profit, unit-linked and with-profits products. It is also used, in the valuation of future new business, to allow for the risks that expected sales volumes and profitability levels will not be achieved.The paper provides a rationale for the choice of discount rates used in the valuation of a life office and facilitates the comparison of life office and alternative investment opportunities.
Financing long-term care in Great Britain
Authors: Nuttall S. R. , Blackwood R. J. L. , Bussell B. M. H. , Cliff J. P. , Cornall M. J. , Cowley A. , Gatenby P. L. , Webber J. M. 
Published: April 2012

AbstractThis paper is concerned with the current and future financing of long-term care (LTC). This is defined as the provision of nursing and care services to those adults who are incapable, to some degree, of looking after themselves, but excluding short-term convalescent care. The current position is summarised, covering the demand and supply of LTC, how it is currently financed, new developments and consumer attitudes. The paper then goes on to consider future developments. Possible patterns of future demand, covering likely needs and costs are given. Consideration is then given as to how future demand may be financed.The paper discusses some of the initiatives that might be undertaken to encourage proper planning by both the State and individuals and concludes that the actuarial profession should have a significant role to play in communicating the issues and evaluating solutions.
Profit, capital and value in a proprietary life assurance company. A discussion paper
Authors: O'Brien C. D. 
Published: April 2012

AbstractThe paper first considers concepts of profit in economics, accountancy and the law relating to financial reporting. It then considers the nature of life assurance business and suggests the accounting standards appropriate to life assurance companies which would ordinarily result in accounts showing a ‘true and fair view’. An analysis of the E. C. Insurance Accounts Directive shows that there may be circumstances where its provisions conflict with such standards.The paper considers each of the statutory solvency method, embedded value reporting and the accruals method, and the author finds all of them to be inconsistent with accounting standards and the requirements of the Directive.The author puts forward the ‘Earned Profits’ method, which applies accountancy principles in determining assets and liabilities and takes credit for outstanding revenue matching acquisition costs. This approach is then used in analysing the value of a life assurance company and measuring the rate of return on capital.
Realistic reporting of life insurance company policy liabilities and profits: developments in Anglo-American countries
Authors: Adams M. B. , Scott C. N. W. 
Published: April 2012

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

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

1. This note incorporates a large part of the evidence given to the Scott Committee by the Government Actuary's Department, with additional material by myself as appropriate.The Pay Comparison system2. The actuarial calculations in question arise from job comparability exercises, when the value of the total remuneration package of specified jobs is being compared. In recent years, assessments have been made in the following circumstances:(i) Pay comparison studies for the Non-industrial Civil Service.(ii) Pay comparison studies for the Industrial Civil Service.(iii) Adjustments are made by the Review Bodies, who recommend salaries for the Armed Forces, Doctors and Dentists and Top Salaries. The Review Bodies consider various pension comparisons, but are not obliged to give reasons for their salary recommendations.(iv) Advice to the former Standing Committee on Pay Comparability (Clegg) for staff groups referred to them.(v) Compensatory additions to pay are quoted for a number of bodies whose staff are paid by reference to Civil Service and other public service rates, but who are in other pension schemes.
Control of insurance systems with delayed profit/loss sharing feedback and persisting unpredicted claims
Authors: Balzer L. A. , Benjamin S. 
Published: April 2012

In an earlier introductory paper (J.I.A.107, 513), Balzer and Benjamin (1980) presented a model of an insurance system with delayed profit/loss sharing feedback from insurer to insured. The system was considered from a general control and dynamic systems theory viewpoint. Certain fundamental concepts were introduced and the dynamic responses of cash flow f(k) and accumulated cash flow fa(k) to an isolated group of unpredicted claims presented. This paper takes the analysis further in a number of important ways.The general structure and details of the mode1 of the insurance system can be found in the earlier paper.
Mortality differences between smokers and non-smokers—a reply to Benjamin and Michaelson
Authors: Haberman S. 
Published: April 2012

The purpose of this brief note is to comment on the methodology used by Benjamin and Michaelson in their estimation of the expectations of life for non-smokers and smokers and the differences between these expectations of life.The author of this note has discussed the methodology with the first author of this earlier paper and with their research assistant.
Reflections on resilience: some considerations of mismatching tests, with particular reference to non-linked long-term insurance business
Authors: Purchase D. E. , Fine A. E. M. , Headdon C. P. , Hewitson T. W. , Johnson C. M. , Lumsden I. C. , Maple M. H. , O'Keeffe P. J. L. , Pook P. J. , Robinson D. G. 
Published: April 2012

ABSTRACTThe paper considers the valuation for solvency purposes of traditional long-term insurance business. It concentrates on without-profit business, and discusses the reserves that are required to protect against the contingency of sudden adverse changes in asset values (the ‘mismatching’ or ‘resilience’ test). The details of a suitable test, and a method of applying it in practice using a ‘matching rectangle’, are described. Investigations into the effectiveness of such a test, using both deterministic and stochastic methods, are followed by concluding remarks on the underlying philosophical issues raised.Full numerical results are presented in the Appendices.
Modelling the operations of a general insurance company by simulation
Authors: Daykin C. D. , Hey G. B. 
Published: April 2012

1.1 The traditional approach to examining the financial status of a company is to look at the balance sheet and the profit and loss account. Such information is usually publicly available, it is certified by the auditors as having been drawn up according to relevant accounting standards and it is generally presumed to communicate reliable information.1.2 In the case of a manufacturing or trading company the profit and loss account records purchases and sales and the balance sheet will include a valuation of stock in hand, since it is anticipated that this will give rise to future sales income. Working capital is required because products have to be manufactured or purchased before they can be sold. Profit is realized when the product is sold for more than it cost to buy it or to make it.
Driving the pension fund
Authors: Benjamin S. 
Published: April 2012

ABSTRACTIn an earlier paper the control characteristics of the aggregate method of funding were displayed by way of its response to a spike, step and random variation in the earned rate of interest, together with a simple intuitive method of setting the valuation rate of interest.The projected unit method is analysed here in the same way.A further algorithm is developed which aims at driving an opening fund and contribution rate to a desired fund and contribution rate in n years, using the smoothest path of contribution rates.
Stochastic simulation in life office solvency assessment
Authors: Hardy M. R. 
Published: April 2012

AbstractIn this paper an asset/liability model is used to compare the quality of information available from a set of stochastic simulations with a traditional deterministic sensitivity test approach.The traditional approach applied to a range of variants of the basic model office fails to distinguish adequately very risky strategies from relatively secure strategies. The stochastic simulation method succeeds in ranking the various strategies considered into an intuitively satisfactory order of insolvency risk, as well as giving quantitative information on the relative probabilities of insolvency of different strategies and on the timing of potential solvency problems.
A theoretical analysis of the matching of assets to liabilities
Authors: Wise A. J. 
Published: April 2012

1.1. This paper is supplementary to another by the same author on the subject of matching. It describes the mathematical analysis of the following problem.1.2. We are given:1. a pattern of expected future cash flows under a pension scheme or insurance contract;2. a set of investments available for purchase; and3. a model of the future behaviour of investment conditions.What set or sets of available investments would provide the best match against the given liabilities in order to minimize any likely surplus or deficiency on completion of the liability cash flows?
The matching of assets to liabilities
Authors: Wise A. J. 
Published: April 2012

1.1. The concept of the matching of assets to liabilities is fundamental in matters of finance. In its broadest sense matching is relevant both to the investment of life office and pension funds and to actuarial calculations in relation to those funds.1.2. Matching is inherently connected with the uncertainty of future conditions, as measured by such indicators as rates of interest, inflation and currency exchange. It is when conditions do not work out as hoped for or expected that the risks associated with mis-matching can materialize. Whether considering investment policy or an actuarial calculation it is important that the nature of a portfolio which minimizes these risks be appreciated, and yet it is often difficult to specify such a portfolio with precision. This may not be a source of difficulty in practice when the judgement of the actuary is applied to the problem in hand, but there is evident scope for refinement of the concepts.
The effect of taxation on the pricing of government securities
Authors: Leung A. P. 
Published: April 2012

0.1. Since the concept of immunization was introduced in Redington (1952) many new ideas have been advanced in connexion with the pricing of government securities. It is shown in Bierwag (1977) for example, that the applicability of an immunization strategy depends on the form of movements assumed possible in the yield curve.0.2. Much of this earlier work has been framed in deterministic terms, where prices or yields are assumed to be known in advance, and uncertainty has been introduced via arbitrary instantaneous changes in those yields. It is easily shown that portfolios of securities with a given mean term or duration are immune (in the sense of yielding the same return at the required realization date) to certain forms of instantaneous change.
The recent trend of mortality in Great Britain
Authors: Daykin C. D. 
Published: April 2012

This note continues an annual series on mortality rates in Great Britain; the previous note in the series appeared in J.I.A. 111, 181 and dealt with mortality in 1981.Following the 1981 Census, revised estimates of the ‘home’ population of England and Wales since 1961 have been published. These allow for revision of past estimates in the light of the Census and also for a new definition of ‘home’ population, which brings the concept closer to that of ‘resident’ population. The ‘home’ population is now defined as including residents temporarily outside the country but excluding foreign visitors. It includes members of both H.M. and foreign forces stationed in the United Kingdom but excludes members of H.M. forces who are stationed abroad.
Determination of the rate of investment return for the discounting of general insurance outstanding claims
Authors: Taylor G. C. 
Published: April 2012

SummaryThe paper concerns the situation in which an evaluation of outstanding claims is discounted, in anticipation of investment return earned by the funds supporting that liability. Factors bearing upon the choice of an appropriate rate of return to be assumed in this evaluation are considered.The ‘standard approach’ to this problem is criticized in two main respects:(i) there is usually no statement (indeed, no consideration) of whether the discounted value of outstanding claims is to be associated with assets at book, market, or some other value;(ii) the discounting of outstanding claims is often performed by means of an assumed ‘inflation gap’, i.e. an assumed difference between future rates of inflation and investment return.Various other matters germane to the determination of an appropriate rate of investment return are listed in Section 2.Sections 3 and 5 deal particularly with points (i) and (ii) raised above. It is suggested that, in certain circumstances, an evaluation of outstanding claims which fails to address (i) or is carried out on an ‘inflation gap’ basis will be virtually meaningless.Section 4 deals with the case of an insurance fund in which assets are matched with technical liabilities by amount and term. The considerations which would cause the rate of investment return projected in these circumstances, to differ from that projected in the case of an absence of matching are discussed.Section 6 deals with the issue of exactly which assets are to be regarded as supporting the liability for outstanding claims. It is apparent that the identification of such assets will affect the rate of return to be regarded as referable to outstanding claims. Particular matters considered include:(i) assets to be associated with acquisition of new business (and hence not with outstanding claims);(ii) debtor and creditor items. particularly outstanding premiums and inwards loans.Section 7 gives a numerical example of the projection of future rates of investment return. This is done by means of a computer projection of various items of a hypothetical insurance fund, taking into account projected future:(i) interest rates;(ii) rate of growth of new premium;(iii) the required distribution of assets by sector;(iv) profitability of business underwritten.Conclusions on the various matters considered are dotted through the paper. For convenience, they are collected together in Section 8.
A statistical study of the variability of sickness data
Authors: Daw R. H. 
Published: April 2012

1.1. In 1979 the first set of graduated sickness rates derived from the data supplied by a number of insurance companies was published by the PHI Sub-Committee (C.M.I.R. 4, 1979).Sickness is a much more complex phenomenon than mortality. I get the impression from working on the 1972–75 sickness experience of, as it were, a certain looseness and lack of coherence in the data which I have not found in mortality data. Some of this could be due to the much smaller size of the data and to the heterogeneity of the experience. Much of the latter has been removed in the Standard experience of 1975–78 but, not having studied these data, I can say nothing about the effect of this. It is therefore not surprising that the PHI Sub-Committee had considerable doubts “about the possibility of judging the success of the graduation by applying standard statistical tests” such as those normally used for mortality data.
Movements of pension contributions and fund levels when rates of return are random
Authors: Dufresne Daniel 
Published: April 2012

This paper proposes a simple model for studying the variability of contribution rates and fund levels, when rates of return are random. The funding methods considered are those which (1) produce an actuarial liability (AL) and a normal cost (NC), and which (2) adjust the latter by a constant fraction ‘k’ of the difference between AL and the actual fund (this discrepancy is known as the ‘unfunded liability’; for a description of actuarial cost methods the reader is referred to Trowbridge (1952), Winklevoss (1977) or Turner et al. (1984)). Thus at every valuation datetotal contribution = normal cost + k × (unfunded liability).
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: April 2012

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.
The epidemiology of HIV infection and AIDS
Authors: Daykin C. D. 
Published: April 2012

AbstractThe current state of knowledge on the epidemiology of HIV infection and AIDS is reviewed, with extensive references to the medical literature. The particular focus is on those aspects of the epidemiology of HIV infection which are of interest in the formulation of models for projecting the future spread of the virus and its impact in terms of numbers of cases of AIDS and deaths from AIDS.