bluuebunny/crossref_metadata_2025_split huggingface dataset:
Notes on the Ftse Actuaries Share Indices (United Kingdom Series) in 2000
Authors: Brumwell J.C.H. 
Published: June 2011

ABSTRACTConsolidation of the FTSE Actuaries Share Indices Series and the FTSE Global Industry Classification System. Preparations for the introduction of ‘free float’ weightings (in six bands) on 18 June 2001.
Principles of the Future Education Strategy
Authors: Goford J. , Bellis C.S. , Bykerk C.D. , Carne S.A. , Creedon S. , Daykin C.D. , Dumbreck N.J. , Ferguson D.G.R. , Goodwin E.M. , Grace P.H. , Henderson N.S. , Thornton P.N. 
Published: June 2011

ABSTRACTThe paper explores the framework for the development of actuarial education in the future. The main aims are to broaden the profession while maintaining standards and to achieve global qualifications by working with other actuarial bodies. The suggested way forward would mean several changes from existing practice.
Transparent With-Profits — Freedom with Publicity
Authors: Clay G.D. , Frankland R. , Horn A.D. , Hylands J.F. , Johnson C.M. , Kerry R.A. , Lister J.R. , Loseby R.L. 
Published: June 2011

ABSTRACTWith-profits business has flourished for over a century as a means of providing access to equity-type investment whilst smoothing the volatility risk. Today's world demands greater transparency, and with-profits has come under increasing criticism in this regard. The Working Party concludes that it remains good value as an investment vehicle and suggests how its transparency can be significantly improved.The paper first analyses the characteristics of with-profits, which it notes has been permitted for stakeholder pensions. It then analyses the various criticisms of with-profits and considers how they can be rebutted without destroying its essential nature, pre-supposing the implementation of the Association of British Insurers' (ABI) Raising Standards scheme.The paper concludes that greater transparency is both necessary for rebuttal and also achievable without destroying the with-profits concept, to this end proposing a model for the internal analysis of identified classes of with-profits business and the inclusion of specified additional information in the statutory returns to the regulators. It also proposes that policyholders be given slightly more information than is specified under Raising Standards. Finally the paper analyses the implications for the life assurance industry, which it considers acceptable.
Stability of Models for the Term Structure of Interest Rates with Application to German Market Data
Authors: Cairns A.J.G. , Pritchard D.J. 
Published: June 2011

ABSTRACTThis paper discusses the use of parametric models for description of the term structure of interest rates and their uses. We extend earlier work of Cairns (1998), Chaplin (1998) and Feldman et al. (1998), by presenting new theoretical results and also by demonstrating that the same model can be applied to countries other than the United Kingdom. First, we prove that the process of fitting a yield curve to price data has a unique optimal solution in both zero-coupon-bond and low-coupon-bond markets. Furthermore, an alternative method of curve fitting to those proposed previously is shown to have a unique solution in all markets.The restricted-exponential model has previously been applied to U.K. data (Cairns, 1998). Here, we consider its wider application in European bond markets. In particular, we analyse German market data and conclude that the same model applies equally well to both countries.
Financial Condition Assessment
Authors: Ryan J.P. , Archer-Lock P.R. , Czernuszewicz A.J. , Gillott N.R. , Hinton P.H. , Ibeson D. , Malde S.A. , Paul D. , Shah N. 
Published: June 2011

ABSTRACTThis paper explores an approach to assessing the adequacy of capital resources for non-life insurance companies. It examines the range of risks faced by these companies and the factors that influence the analysis of their impact on an organisation's financial condition. The paper considers how the actuarial profession may contribute to this process, with particular reference to the regulatory regime envisaged in the United Kingdom.
Pensions, Funding and Risk
Authors: Chapman R.J. , Gordon T.J. , Speed C.A. 
Published: June 2011

ABSTRACTIn this paper, we identify the economic system in which occupational pension schemes operate. This system includes all parties to the pension arrangement, particularly the members of the scheme and the shareholders of the sponsoring company. This requires us to model the pension scheme not as a self-contained fund, but simultaneously alongside the company, and to recognise its interaction with other parties with financial interests in the scheme. Under this method, the stakes of the various parties aggregate to 100% of the assets of the company including the assets of the pension scheme. The power of this approach is that decisions taken in relation to the management of the pension scheme can be assessed by the effect they have on the way in which the overall economic value of the company is divided between stakeholders.
The Value of Life and the Cost of Living – Damages for Wrongful Birth (Staple Inn Reading 2001)
Authors: Hale  
Published: June 2011

ABSTRACTThe lecture begins by outlining the differences in lifetime earnings between men and women, and between women with different levels of skill and with different numbers of children. It continues with a discussion on wrongful conception and wrongful birth, and the legal implications when damages are sought when children are born who were not meant to have been born. Many examples of claims for damages brought before the courts, over a period of time, are used to illustrate various aspects of this. Cases concerning both healthy and disabled children are discussed, and the changes that occur for all women who have given birth and the mother's responsibility of care are considered.
Notes on the FTSE All-World Index Series: Constituent Changes in 2000
Authors: Brumwell J.C.H. 
Published: June 2011

ABSTRACTDuring 2000, which was the fourteenth year of publication of the World Index series, it was expanded to cover a further twenty countries, as it absorbed the Barings Emerging Markets series, becoming the All-World series. Preparations continued for the promised mid-2001 adjustments to reflect the available free floats of constituents' shares.
Longevity in the 21st Century
Authors: Willets R. C. , Gallop A. P. , Leandro P. A. , Lu J. L. C. , Macdonald A. S. , Miller K. A. , Richards S. J. , Robjohns N. , Ryan J. P. , Waters H. R. 
Published: June 2011

ABSTRACTThe main objective of this paper is to offer a detailed analysis of mortality change in the United Kingdom at the beginning the 21st century. Starting from an exploration of 20th century mortality trends, focusing in particular on the 1990s, underlying forces driving trends in longevity are discussed. These include the ‘cohort effect’ and the ‘ageing of mortality improvement’. International mortality statistics and trends are also analysed. The pace of medical advances is discussed, with specific focus on research into the ageing process and a potential treatment for cardiovascular disease. The paper also discusses the potential threat from infectious diseases.The analysis of underlying trends suggests that life expectancy in retirement in the U.K. is likely to increase rapidly in the early part of the 21st century. Some scientists are also claiming that we will be seeing the fruits of anti-ageing research within just a few decades.A core theme of the paper is that future projections should be grounded in as good an understanding of the past as possible. Different methods for projecting future rates of mortality are discussed, and it is noted that emphasis should be placed on the uncertainty surrounding projections.The financial impact of using different assumptions for future mortality is explored. Significant differences in the cost of an annuity or pension arise from the use of the various projection bases.Life assurance companies have already declared significant losses as a result of strengthening reserves on annuity portfolios. Taken together, future increases in life expectancy, increasing awareness of the risk of providing longevity insurance, changes in legislation and shortages in market capacity and capital, may well lead to worsening annuity rates.It is difficult to assess the precise impact of future changes in life expectancy on final salary pension schemes. There is a lack of readily available information on the mortality assumptions being used in practice. It is therefore suggested that more disclosure in this area would be helpful. Employers sponsoring final salary schemes are making promises to their employees that extend up to 70 or 80 years into the future. Actuaries should be clear in spelling out to employers and trustees the nature of the risks behind the promises they are making. Future scheme design should reflect the possibility of substantial increases in life expectancy.An over-riding implication of the anticipated increases in life expectancy is that people will remain in work for longer in the future. The age at which people retire will inevitably have to increase, and this trend will necessarily drive changes in all aspects of our society. As actuaries we have a vital role in helping to inform the wider debate.
Realistic Liabilities and Risk Capital Margins for With-Profits Business. A Discussion Paper
Authors: Dullaway D. W. , Needleman P. D. 
Published: June 2011

ABSTRACTThe paper addresses some of the practical and theoretical issues raised by the move to a market consistent calculation of realistic liabilities and solvency capital for with-profits business. It also proposes some changes to the presentation of the realistic balance sheet, which the authors believe will provide greater transparancy, and more closely reflect the way in which with-profits business should be managed in future.
Address By The President of the Institute of Actuaries: Restoring Confidence in Long-Term Savings
Authors: Pomery Michael Alan 
Published: June 2011

ABSTRACTThis Presidential Address highlights the national problem of inadequate savings for retirement by the current working population. It examines what can be done to restore confidence in long-term savings and, in particular, looks at the contribution that individual actuaries and the Actuarial Profession can make. The Address also examines the origins in the current shortfalls in final salary pension schemes and the lessons to be learned from recent events, before going on to comment on the lessons from the report on Equitable Life by Lord Penrose.
The Role of the Actuary in the National Health Services
Authors: Orros G.C. 
Published: June 2011

ABSTRACTThe paper discusses the role of actuaries within the NHS. Actuaries have applied the concept of Geographic Information Systems to health data on patient traffic flows, transportation studies and specialty specific information on NHS providers (such as hospitals, ambulance stations and GP practices). Actuaries have been working with NHS Trusts to generate private patient income. Actuarial modelling developments, as part of a multi-disciplinary approach, have been used to interpret health data and to assist with the reconfiguration of NHS services. Actuaries have also been involved in long-term health services planning and in the financial planning of services for chronically ill patients.The paper outlines a series of case studies involving actuaries working in the NHS, highlighting their unique contributions. The case studies include advising on emergency health services planning, acute hospital service planning, NHS Trust private patient unit income generation, comparative peer group ranking studies, long-term population projections, health needs assessment and a feasibility study for a provider unit to care for the chronically ill. Finally, we discuss the role of the actuary in the NHS and his or her ability to build a communication bridge between NHS purchasers and providers, in the public interest.
Risk-Based Capital in General Insurance
Authors: Hooker N.D. , Bulmer J.R. , Cooper S.M. , Green P.A.G. , Hinton P.H. 
Published: June 2011

ABSTRACTThis paper looks at the problems of assessing, for solvency purposes, the capital requirements of a non-life insurer in the context of the United Kingdom. It considers how these capital requirements might vary according to the different risks to which an insurer is subject and how this Risk-Based Capital (RBC) might be measured in practice, using as a case study the RBC formula recently introduced in the United States of America. The paper also discusses the application of RBC concepts to the problem of internal capital allocation, to assist in measuring an insurer's rate of return to shareholders by business unit, as well as the more obvious regulatory application. The advantages and disadvantages of a formula-based approach to capital requirements for solvency purposes are discussed in comparison with possible alternative approaches to insurance supervision.
An Alternative to the Net Premium Valuation Method for Statutory Reporting
Authors: Scott P.G. , Elliott S.F. , Gray L.J. , Hewitson T.W. , Lechmere D.J. , Lewis D. , Needleman P.D. 
Published: June 2011

ABSTRACTThis paper reviews the present statutory valuation method and regime. It discusses the usefulness and effectiveness of the method in relation to the current range of insurance contracts. It suggests a possible alternative approach to statutory valuation which could enable offices to demonstrate both their solvency and their ability to meet policyholders' reasonable expectations. It reviews the effects of introducing the suggested method and its relationship with other current reporting issues.
A Primer in Financial Economics
Authors: Whelan S.F. , Bowie D.C. , Hibbert A.J. 
Published: June 2011

ABSTRACTThis paper is divided into three parts. Taken together, the three parts intend to provide the reader with an overview of the first 101 years of financial economics, with particular attention on those developments that are of special interest to actuaries. In Section 1, S.F. Whelan attempts to capture the flavour of the subject and, in particular, to give an overview or road map of this discipline, highlighting actuarial input. In Section 2, D.C. Bowie gives a concise and self-contained overview of the Modigliani and Miller insights (or MM Theorems, as they are often known). In Section 3, A.J. Hibbert considers the novel option pricing method proposed by Black, Merton, and Scholes. These two insights are highlights of this newscience, and, in both cases, contradict our intuition.T.S. Elliot, the mathematically trained poet, described the darkness that intercedes between the idea and the action as the ‘shadow’. There is a shadow to be considered between these insights and their application. The demonstration of the results requires, of course, some idealised circumstances, and therefore the extent and degree of their applicability to the non- idealised problems encountered by actuaries requires some delicate considerations. An attempt is made to outline these further considerations.
Economic Applications to Actuarial Work: Personal Pensions and Future Rates of Return
Authors: Cantor A.C.M. , Sefton J.A. 
Published: June 2011

ABSTRACTThis paper considers certain applications of economics to actuarial work, concentrating on three issues of public interest. The background to the first two issues is the Government's encouragement of personal pensions particularly through stakeholder pensions. The paper shows how the use of an economics model enables investigations to be made, firstly on the demand for personal pensions by different income groups and secondly on the likely inequality of benefits between generations due to variations in the rates of return. The conclusion on the first issue is that personal pensions are of little benefit to low-earners, i.e. those the Government most wants to benefit, and recommends a way of rectifying this; the main conclusion on the second issue is that households will take action to mitigate much of the inequality. The third issue, that of estimating future rates of return, is one of key financial importance. The paper reviews relevant economic papers in this area and considers how the actuarial profession may improve communication with the economics discipline and with its members.
On Valuation and Risk Management at the Interface of Insurance and Finance
Authors: Møller T. 
Published: June 2011

ABSTRACTThis paper reviews methods for hedging and valuation of insurance claims with an inherent financial risk, with special emphasis on quadratic hedging approaches and indifference pricing principles and their applications in insurance. It thus addresses aspects of the interplay between finance and insurance, an area which has gained considerable attention during the past years, in practice as well as in theory. Products combining insurance risk and financial risk have gained considerable market shares. Special attention is paid to unit-linked life insurance contracts, and it is demonstrated how these contracts can be valued and hedged by using traditional methods as well as more recent methods from incomplete financial markets such as risk-minimisation, mean-variance hedging, super-replication and indifference pricing with mean-variance utility functions.
Notes on the FTSE All-World Index Series: Constituent Changes in 2001
Authors: Brumwell J. C. H. 
Published: June 2011

ABSTRACTDuring 2001, which was the fifteenth year of publication of the FTSE All-World Index series – previously known as the Financial Times-Actuaries World Index, and the FT/S&P Actuaries World Index – the major change was the implementation of long promised adjustments to reflect the available free floats of each constituent company's shares on 18 June 2001.
Reserving, Pricing and Hedging For Policies with Guaranteed Annuity Options
Authors: Wilkie A. D. , Waters H. R. , Yang S. 
Published: June 2011

ABSTRACTIn this paper we consider reserving and pricing methodologies for a pensions-type contract with a simple form of guaranteed annuity option. We consider only unit-linked contracts, but our methodologies and, to some extent, our numerical results would apply also to with-profits contracts.The Report of the Annuity Guarantees Working Party (Bolton et al., 1997), presented the results of a very interesting survey, as at the end of 1996, of life assurance companies offering guaranteed annuity options. There was no consensus at that time among the companies on how to reserve for such options. The Report discussed several approaches to reserving, but concluded that it was unable to recommend a single approach. This paper is an attempt to fill that gap.We investigate two approaches to reserving and pricing. In the first sections of the paper we consider quantile, and conditional tail expectation, reserves. The methodology we adopt here is very close to that proposed by the Maturity Guarantees Working Party in its Report to the profession (Ford et al., 1980). We show how these policies could have been reserved for in 1985, and what would have been the outcome of using the proposed method.In a later section we consider the feasibility of using option pricing methodology to dynamically hedge a guaranteed annuity option. It is shown that this is possible within the context of the model we propose, but we submit that, in practical terms, dynamic hedging is not a complete solution to the problem since suitable tradeable assets do not in practice exist.Finally, we describe several enhancements to our models and methodology, which would make them even more realistic, though generally they would have the effect of increasing the required contingency reserves
Lease Terms, Option Pricing and the Financial Characteristics of Property
Authors: Adams A.T. , Booth P.M. , MacGregor B.D. 
Published: June 2011

ABSTRACTTraditional and standard discounted cash flow valuation techniques are unable to deal with a variety of options contained in lease contracts. In the United Kingdom the most important embedded option is the upward-only rent review. This becomes more valuable to the landlord in an era of low demand and low inflation, as nominal market rents are more likely to fall. Lease contracts are freely negotiated between landlord and tenant, and alternative forms of rent review clause would fundamentally change the investment characteristics of property. Many other less common options also exist in lease contracts and these create further valuation difficulties. It is essential that property valuation techniques be developed that explicitly value the options in lease contracts.
Lessons from Closure: An Analysis and Comparison of the Issues Facing Closed Life Funds and Closed Pension Schemes
Authors: Campbell A. C. , Grimley D. C. , Pallister J. K. , Stoker A. M. , Walton A. R. , Yiasoumi C. A. 
Published: June 2011

FOREWORDAn observer of the United Kingdom financial services scene over the last few years will have noticed the rising numbers of closed with-profits funds and final salary schemes closed to new entrants. Closed funds were not previously unheard of, but until recently most life insurance and pensions actuaries would not have come across them in their daily work.There can be no doubt that, when compared to open funds, the closed variety have different characteristics and their financial management requires different approaches. Life and pensions actuaries tend to operate in their own separate fields, largely oblivious to what their fellow actuaries in other practice areas are doing. The growth of closed funds gives the two major branches of the U.K. actuarial profession an ideal opportunity to explore what we can learn from each other.I am very grateful to the authors for tackling this subject on behalf of the profession and hope that it will be the first of many examples of useful cross-fertilisation of ideas.
Maturity Guarantees Revisited: Allowing for Extreme Stochastic Fluctuations using Stable Distributions
Authors: Finkelstein G.S. 
Published: June 2011

ABSTRACTThe paper examines the suitability of the stable family of distributions with the Maturity Guarantees Working Party's stochastic investment model (Fordet al, 1980). It then examines the effect of replacing the Gaussian assumption made by the working party with a more general stable distribution. It also explains how the appropriate stable distribution can be fitted.
Modelling the Impact of Reinsurance on Financial Strength
Authors: Coutts S.M. , Thomas T.R.H. 
Published: June 2011

ABSTRACTThis paper develops the Daykin et al (1994) asset/liability model to examine specifically the effects of different reinsurance programmes on the capital of a direct insurance company. By modelling the gross premiums and claims separately from the impact of reinsurance on them, it is possible to examine directly the effects of different reinsurance programmes on a company's expected performance just as easily as changes in asset mix or business volumes. The paper goes on to discuss the necessary assumptions to be built into such a model, and then gives a worked example. The emphasis of the paper is on management reporting rather than on mathematical detail.