bluuebunny/crossref_metadata_2025_split huggingface dataset:
The Closed Fund Alternative
Authors: Hairs C.J. , Arnold M. , Gustar A.J. , Hare D.J.P. , Needleman P.D. , Tuley P.J. , Webber J.M. 
Published: June 2011

ABSTRACTClosure of the fund to new business is a strategic option that is not usually considered as a part of the day-to-day running of a life assurance company. The paper explores certain circumstances in which it can be appropriate to consider it, though in the Working Party's view consideration of the closed fund alternative normally arises as a matter of course only in the context of demutualisations, and then as an indicator of the potential value of membership rights.The topic is discussed in terms of legal, regulatory and professional aspects, and the profession is invited to consider providing more specific guidance for Appointed Actuaries whose companies are faced with demutualisation proposals. A number of practical aspects of operating a closed fund are outlined. The high-level financial considerations are illustrated by reference to a hypothetical case, and the perspectives of directors, independent and Appointed Actuaries and others are considered.Several recent examples of demutualisations where the closed fund alternative was considered are summarised in appendices, and some examples of closed or virtually closed funds are cited.
Loss Reserves in the London Market
Authors: Maher G.P.M. 
Published: June 2011

ABSTRACTThis paper addresses the process of estimating loss reserves for a company or syndicate writing in the London Market. Particular emphasis is placed on insurers maximising the value of the process, and ensuring that the process is not simply a series of mathematical calculations. The use of sophisticated mathematical techniques should not distract from the importance of understanding the business and ensuring that data are correct. Sophisticated mathematical techniques can give rise to misleading impressions of confidence and accuracy to estimates, which are often subject to considerable uncertainty. The principles (rather than the detailed techniques) are illustrated by a case study based on a hypothetical London Market writer. Many of these principles are relevant to other markets.
Quantifying Operational Risk in Life Insurance Companies. Developed by the Life Operational Risk Working Party
Authors: Dexter N. C. , Ford C. L. , Jakhria P. C. , Kelliher P. O. J. , McCall D. , Mills C. K. , Probyn A. C. , Raddall P. A. , Ryan J. 
Published: June 2011

ABSTRACTThis paper overviews a practical approach to the assessment of operational risk in life insurance companies. It considers how actuaries, working in conjunction with risk management professionals and senior management, can develop a framework to assess the capital requirements relating to operational risk, taking into account the capital requirements of other risks and their interaction.This paper recognises that we do not live in an ideal world, and that a lot of the data which one might want for operational risk assessment are not, and in some cases never will be, available. Consequently, the approach outlined in this paper takes into account the fact that management and assessment of operational risk is at an early stage of development in the life industry. In addition, it outlines some of the areas where development is necessary or desirable in the coming years.There is a section on the operational risks against which it is appropriate to hold capital. As this is a new area for insurance companies, and given the governance requirements for Individual Capital Assessments, it is important to explain the results effectively to senior management. Therefore, a brief review of techniques for reporting the results of the assessment is provided.The paper concludes with some thoughts on how operational risk management can be embedded more in the business, and then considers what future work will help develop the framework. To echo the thoughts of the authors of the general insurance paper on this topic (Tripp et al., 2004), we hope that the paper will sow seeds for the development of best practice in dealing with operational risk, and will raise the awareness and increase the interest of actuaries in this emerging topic.This paper represents the views of the individuals in the working party, and not necessarily the views of their employers or the Actuarial Profession.
Variable Annuities
Authors: Ledlie M. C. , Corry D. P. , Finkelstein G. S. , Ritchie A. J. , Su K. , Wilson D. C. E. 
Published: June 2011

ABSTRACTThis paper provides a detailed overview of variable annuities. Consideration is given first to the definition of the term variable annuity. Common terminology used in the variable annuity market is introduced. The current state of the United Kingdom and other international markets is described. Then, by reference to a simplified product, an analysis of customer outcomes, pricing, reserving, risk management and hedging is carried out. The paper ends with a description of current U.K. pensions legislation and how it potentially constrains product development.
Pension Fund Valuations and Market Values
Authors: Head S.J. , Adkins D.R. , Cairns A.J.G. , Corvesor A.J. , Cule D.O. , Exley C.J. , Johnson I.S. , Spain J.G. , Wise A.J. 
Published: June 2011

The text of this paper, together with the abstract of the discussion held by the Institute of Actuaries on 25 October 1999, are printed in British Actuarial Journal, 6, I, 55-141.However, when this paper was discussed by the Faculty of Actuaries, the following ‘Survey of Practice’ had been carried out, and was also presented.
Estimation in the Constant Elasticity of Variance Model
Authors: Yuen K.C. , Yang H. , Chu K.L. 
Published: June 2011

ABSTRACTThe constant elasticity of variance (CEV) diffusion process can be used to model heteroscedasticity in returns of common stocks. In this diffusion process, the volatility is a function of the stock price and involves two parameters. Similar to the Black-Scholes analysis, the equilibrium price of a call option can be obtained for the CEV model. The purpose of this paper is to propose a new estimation procedure for the CEV model. A merit of our method is that no constraints are imposed on the elasticity parameter of the model. In addition, frequent adjustments of the parameter estimates are not required. Simulation studies indicate that the proposed method is suitable for practical use. As an illustration, real examples on the Hong Kong stock option market are carried out. Various aspects of the method are also discussed.
The Role of the Government Actuary's Department in Social Security in the United Kingdom
Authors: Daykin C.D. 
Published: June 2011

ABSTRACTThe Government Actuary's Department (GAD) came into being in 1919, originally arising from the perceived importance of applying actuarial skills to the financing of the United Kingdom social security system. Whilst the GAD has changed considerably over the years, and now operates as a publicly owned consulting firm, social security and related policy and regulatory advice remain at the core of the Government Actuary's role. This paper explores the nature of the role of the GAD in the social security area, and provides examples of the scope of GAD reports on the long-term finances of the National Insurance Fund. A brief description is given of some of the other areas of GAD's work.
Pension Schemes and Fixed Income Investment
Authors: Sweeting P. J. 
Published: June 2011

ABSTRACTThe purpose of this paper is to investigate the role that fixed income securities should play in pension scheme investment. In this paper I look at the investment characteristics of the various bond asset classes, including the nature of the income streams produced. I also look at the relationships between the various asset classes and their stability over time. I then look at the usefulness of the asset classes in the context of a pensioner portfolio, considering both capital values and income streams. I look at skew and excess kurtosis in the distributions of asset returns and consider the effect of their existence on the decision making process. Given that most asset models are calibrated using historical data, I do not carry out any modelling and instead analyse past data. Finally, I discuss practical issues that need to be considered, particularly in a United Kingdom context.
Guaranteed Annuity Options: Five Issues for Resolution
Authors: O'Brien C.D. 
Published: June 2011

ABSTRACTThis paper considers five issues arising from guaranteed annuity options in pension policies issued by United Kingdom life assurance companies. These are the investment strategies for such options, the implications for bonuses on with-profits policies, the measurement of the solvency position and preparation of accounts of the companies concerned, and the policy debate on compulsory annuitisation. In particular, the paper highlights the impact of improving mortality on the value of options, comments on the House of Lords judgment in the Equitable Life case, and suggests additional disclosures in the accounts of life assurance companies.
Corporate Diversity and the Provision of Financial Services
Authors: Guijarro P. , Hare D. J. P. 
Published: June 2011

ABSTRACTThe corporate landscape of United Kingdom financial services has changed considerably in the last fifteen years with virtually all the main players now shareholder-owned. The dominance of shareholder ownership may not last for ever and the pendulum could swing back to alternate structures. Should the actuarial profession look ahead and consider what, if anything, could be done to encourage diversity? This paper considers some of the issues involved and raises some questions for the profession to discuss.
How to Model Operational Risk, If You Must. Lecture to The Faculty of Actuaries
Authors: Embrechts P. 
Published: June 2011

INTRODUCTIONThe second Lecturer to the Faculty of Actuaries is Professor Paul Embrechts, Professor of Mathematics at the ETH Zurich (Swiss Federal Institute of Technology, Zurich), specialising in actuarial mathematics and mathematical finance. His previous academic positions include ones at the Universities of Leuven, Limburg and London (Imperial College), and he has held visiting appointments at various other universities. He is an elected Fellow of the Institute of Mathematical Statistics, an Honorary Fellow of the Institute of Actuaries, a Corresponding Member of the Italian Institute of Actuaries, Editor of the ASTIN Bulletin, on the Advisory Board of Finance and Stochastics and Associate Editor of numerous scientific journals. He is a member of the Board of the Swiss Association of Actuaries and belongs to various national and international research and academic advisory committees. His areas of specialisation include insurance risk theory, integrated risk management, the interplay between insurance and finance and the modelling of rare events.
Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities
Authors: Blake D. , Cairns A. J. G. , Dowd K. 
Published: June 2011

ABSTRACTThis paper addresses the problem of longevity risk — the risk of uncertain aggregate mortality — and discusses the ways in which life assurers, annuity providers and pension plans can manage their exposure to this risk. In particular, it focuses on how they can use mortality-linked securities and over-the-counter contracts — some existing and others still hypothetical — to manage their longevity risk exposures. It provides a detailed analysis of two such securities — the Swiss Re mortality bond issued in December 2003 and the EIB/BNP longevity bond announced in November 2004. It then looks at the universe of hypothetical mortality-linked securities — other forms of longevity bonds, swaps, futures and options — and investigates their potential uses. It also addresses implementation issues, and draws lessons from the experiences of other derivative contracts. Particular attention is paid to the issues involved with the construction and use of mortality indices, the management of the associated credit risks, and possible barriers to the development of markets for these securities. It suggests that these implementation difficulties are essentially teething problems that will be resolved over time, and so leave the way open to the development of flourishing markets in a brand new class of securities.
The Investment Return from a Portfolio with a Dynamic Rebalancing Policy
Authors: Wise A.J. 
Published: June 2011

ABSTRACTAn analysis is made of the effect on portfolio performance if assets are continually rebalanced to constant market value proportions, relative to the passive ‘buy and hold’ strategy. The probability that one strategy outperforms the other is evaluated on the basis of a geometric diffusion model of market prices and by reference to historical data.
Actuaries and Derivatives
Authors: Kemp M.H.D. 
Published: June 2011

ABSTRACTThis paper draws analogies between techniques used to reserve for, control and manage derivatives and techniques used by actuaries in other fields. It concentrates on equity derivatives. It also includes a review of the factors which significantly influence the appropriate size of reserves to hold for a derivatives portfolio. These include the likelihood of market jumps, uncertainty in future market volatility and the size of transaction costs, as well as on more obvious factors like position risk.
OSCOLA, a UK Standard for Legal Citation
Authors: Meredith Sandra 
Published: June 2011

AbstractOSCOLA, the Oxford Standard for the Citation Of Legal Authorities, was first devised in 2000. The fourth edition, published in November 2010, includes for the first time guidelines for citing Scottish, Irish and Welsh cases and legislation, historical legal sources and new media such as blogs. It also provides more extensive general advice about using quotations, managing and cross-referencing footnotes and organising bibliographies and tables of cases and legislation. OSCOLA can be used in conjunction with bibliographic software such as Endnote and is becoming the UK national standard for legal citation.
Spatio-temporal constraints on the zoo hypothesis, and the breakdown of total hegemony
Authors: Forgan Duncan H. 
Published: June 2011

AbstractThe Zoo Hypothesis posits that we have not detected extraterrestrial intelligences (ETIs) because they deliberately prevent us from detecting them. While a valid solution to Fermi's Paradox, it is not particularly amenable to rigorous scientific analysis, as it implicitly assumes a great deal about the sociological structure of a plurality of civilizations. Any attempt to assess its worth must begin with its most basic assumption – that ETIs share a uniformity of motive in shielding Earth from extraterrestrial contact. This motive is often presumed to be generated by the influence of the first civilization to arrive in the Galaxy. I show that recent work on inter-arrival time analysis, while necessary, is insufficient to assess the validity of the Zoo Hypothesis (and its related variants). The finite speed of light prevents an early civilization from exerting immediate cultural influence over a later civilization if they are sufficiently distant. I show that if civilization arrival times and spatial locations are completely uncorrelated, this strictly prevents the establishment of total hegemony throughout the Galaxy. I finish by presenting similar results derived from more realistic Monte Carlo Realization (MCR) simulations (where arrival time and spatial locations are partially correlated). These also show that total hegemony is typically broken, even when the total population of civilizations remains low. The Zoo Hypothesis is therefore only justifiable on weak anthropic grounds, as it demands total hegemony established by a long-lived early civilization, which is a low probability event. In the terminology of previous studies of solutions to Fermi's Paradox, this confirms the Zoo Hypothesis as a ‘soft’ solution. However, an important question to be resolved by future work is the extent to which many separate hegemonies are established, and to what extent this affects the Zoo Hypothesis.
Meeting the ‘multi-’ requirements in organic agriculture research: Successes, challenges and recommendations for multifunctional, multidisciplinary, participatory projects
Authors: Barbercheck Mary , Kiernan Nancy Ellen , Hulting Andrew G. , Duiker Sjoerd , Hyde Jeffrey , Karsten Heather , Sanchez Elsa 
Published: June 2011

AbstractOrganic farming is one of the fastest growing agricultural sectors worldwide, and funds to support research and extension activities that address the needs of organic producers are becoming more widely available in the USA. Solutions to problems in ecologically complex systems, such as organic farming systems often exceed the expertise of individual investigators or single disciplines. Further, the complex nature of ecological and social interactions within systems-based agricultural research requires not only more emphasis on information exchange but also synthesis between multidisciplinary teams of academic researchers and organic farmers. Accordingly, federal grant agencies that support organic agriculture research increasingly require that projects encompass multiple academic disciplines, multiple functions (research, outreach, education), and the participation of stakeholders for the ultimate purpose of the integration of knowledge. Many researchers, educators and administrators at land grant universities (LGUs) remain inexperienced in multidisciplinary, multifunctional and participatory research. Using post-completion project interviews of the project investigators on an organic transition project, we identified eight factors that affected the integration of knowledge from a farmer advisory board and the conduct of our multidisciplinary, participatory organic transition project. The first five factors include shared values, balance in technical competence, institutional capacity for research, team capacity for problem solving and institutional resistance. The research team also identified three other factors that evoked confusion and divergence during the project, and include the ambiguity of power and control of knowledge, the proposed experimental plan and terms of team engagement. We considered participatory elements of the project according to Biggs’ linear typology of participation, but found more appropriate Neef and Neubert's position that a linear scale of participatory approach is an inadequate framework for helping agricultural scientists to decide on whether and in which phases they want to, can and should incorporate participatory elements into their research projects. From these findings, we conclude with critical issues for academic research and extension teams to consider during the development and before conduct of these types of projects. We also offer recommendations for LGUs and other research institutions, and funding organizations, to facilitate multidisciplinary, multifunctional, participatory research.
Current status and future prospects for laboratory study of angular momentum transport relevant to astrophysical disks
Authors: Ji Hantao 
Published: June 2011

AbstractA concise review of the past and ongoing laboratory experiments on rotating flows and the associated angular momentum transport relevant to astrophysical disks is given in three categories: hydrodynamic, magnetohydrodynamic, gas and plasma experiments. Future prospects for these experiments, especially for those directly relevant to the magnetorotational instability (MRI), are discussed with an emphasis on a newly proposed swirling gas and plasma experiment.
Calculation of fusion rates at extremely low energies in laser plasmas
Authors: Mascali D. , Gambino N. , Tudisco S. , Anzalone A. , Bonanno A. , Gammino S. , Musumeci F. 
Published: June 2011

AbstractAt temperatures and densities that are typical of plasmas produced by lasers pulses interacting with solid targets, at power intensities I > 1012W/cm2, the classical Debye screening factor in nuclear reactions becomes comparable with the one of the solar core. Preliminary calculations about the total number of fusion reactions have been performed following an hydrodynamical approach for the description of the plasma dynamics. This approach is propaedeutic for future measurements of D-D fusion reaction rates.
Particle acceleration in fast magnetic reconnection
Authors: Lazarian A. , Kowal G. , de Gouveia Dal Pino E. , Vishniac E. 
Published: June 2011

AbstractOur numerical simulations show that the reconnection of magnetic field becomes fast in the presence of weak turbulence in the way consistent with the Lazarian & Vishniac (1999) model of fast reconnection. This process in not only important for understanding of the origin and evolution of the large-scale magnetic field, but is seen as a possibly efficient particle accelerator producing cosmic rays through the first order Fermi process. In this work we study the properties of particle acceleration in the reconnection zones in our numerical simulations and show that the particles can be efficiently accelerated via the first order Fermi acceleration.
Plasma astrophysics implication in discovery and interpretation of X-ray radiation from comets
Authors: Ibadov S. 
Published: June 2011

AbstractDiscovery of soft X-ray radiation from comet Hyakutake C/1996 B2 by space telescope ROSAT in March 1996 as well as establishing the regularity of the phenomenon for comets in general opened a new area of research for the plasma astrophysics. The first soft X-ray observations have been motivated by the results of a theoretical investigation on the efficiency of production of energetic photons, in the energy range 0.1-1 keV, by hot plasma clumps generated in dusty comets via high velocity collision with interplanetary dust at small heliocentric distances. Moreover, the soft X-ray luminosities measured significantly exceeded the value predicted. A short review of proposed theoretical models and mechanisms for explaining X-ray emission from comets as well as some prospects for the future X ray observations of comets are presented.
Large eddy simulations in plasma astrophysics. Weakly compressible turbulence in local interstellar medium
Authors: Chernyshov A. A. , Karelsky K. V. , Petrosyan A. S. 
Published: June 2011

AbstractWe apply large eddy simulation technique to carry out three-dimensional numerical simulation of compressible magnetohydrodynamic turbulence in conditions relevant local interstellar medium. According to large eddy simulation method, the large-scale part of the flow is computed directly and only small-scale structures of turbulence are modeled. The small-scale motion is eliminated from the initial system of equations of motion by filtering procedures and their effect is taken into account by special closures referred to as the subgrid-scale models. Establishment of weakly compressible limit with Kolmogorov-like density fluctuations spectrum is shown in present work. We use our computations results to study dynamics of the turbulent plasma beta and anisotropic properties of the magnetoplasma fluctuations in the local interstellar medium.