Document library
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- Author:
- Life Board
GN41: The role of the with-profits actuary. Version 1.2 [adopted by BAS on 19 May 2006]
This life insurance Guidance Note has been adopted by the Board for Actuarial Standards. The latest version is available on the <a href\="http://www.frc.org.uk/bas/actuarial/index.cfm" target\="external">BAS website</a>. MAP/GN41 V1.2 B41.1 ... read more >>
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- Author:
- Charles Cowling
- Source:
- Pensions Convention 2005
The top ten papers every scheme actuary should know 2005 (handout)
1 abcd 2005 Pensions Convention The top 10 papers every scheme actuary should know about Charles Cowling 5 – 7 June Grand Hotel, Brighton Top 10 Papers? ? Actuaries, pension funds and investment– Arthur, Randall (1989) ? The financial theory of ... read more >>
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- Author:
- Andrew Smith
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- Finance and Investment Conference 2005
Derivative prices and market behaviour (handouts)
1 Derivative Prices and Market Behaviour Andrew Smith AndrewDSmith8@Deloitte.co.uk Session G 10:20 – 10:40, 21 June 2005 Agenda ? Market views and how to construct them ? How do market views compare to observed economic behaviour? ? How can we ... read more >>
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- Author:
- Alvar Chambers; Andrew Barnes; Matthew Barnes; Leon Beukes; D E Dyer; Paul Fulcher; Malcom Kemp; Adrian Lawrence; Charles Tatham; Natalie Winter
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- Finance and Investment Conference 2005
Liability driven benchmarks for UK defined benefit pension schemes
1 LIABILITY DRIVEN BENCHMARKS FOR UK DEFINED BENEFIT PENSION SCHEMES BY A.J. CHAMBERS, A.E. BARNES, M. BARNES, L.J. BEUKES, D.E. DYER, P. FULCHER, M.H.D. KEMP, A.M. LAWRENCE, C.D. TATHAM, N.M. WINTER [Presented to the Institute of Actuaries ... read more >>
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Report of a determination of a DPB Committee hearing of the Institute of Actuaries. P D Whitehead & Co. 20 June 2005
Report of a DPB Committee hearing held on 20 June 2005 at which charges were considered against P D Whitehead & Co, a firm, which until September 2003 was the holder of a Designated Professional Body Licence from the Institute of Actuaries. Institute ... read more >>
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- Author:
- Martyn Dorey; Philippe Joubert; Coomaren Vencatasawmy
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- Finance and Investment Conference 2005
The risk ridge
The risk ridge Martyn Dorey Phil Joubert Coomaren Vencatasawmy 20 June 2005 2 1. Introduction In 1952, Harry Markowitz [1] developed the basic techniques for portfolio optimisation- usually referred to as mean-variance analysis that is ... read more >>
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- Author:
- Philippe Joubert
- Source:
- Finance and Investment Conference 2005
Stochastic volatility models: considerations for the lay actuary
Stochastic models for asset prices processes are now familiar to actuaries. Many of the models used in life office and pension fund valuation and asset-liability modelling studies assume deterministic volatility parameters. Empirical evidence however, ... read more >>
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- Author:
- Robert Howie; Shalin Bhagwan; Leon Beukes; Harjeet Cheema; Con Keating; Khurram Mirza; Ian Morley; Yasmin Saltuk
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- Finance and Investment Conference 2005
Hedge funds
Hedge Funds Examining the Potential Benefits and Risks of Hedge Fund Investing Robert Howie (Chair), Shalin Bhagwan, Leon Beukes, Harjeet Cheema, Con Keating, Khurram Mirza, Ian Morley, Yasmin Saltuk Abstract Hedge funds continue to interest ... read more >>
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- Author:
- Paul Sweeting
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- Finance and Investment Conference 2005
Funding and asset allocation strategies - why firms and trustees behave as they do
An Analysis and Critique of the Methods Used by Rating Agencies Report of FIB Credit Working Party Presented to the Joint Faculty and Institute of Actuaries 2004 Finance & Investment Conference 29 June 2004 ... read more >>
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- Author:
- Martyn Dorey; Philippe Joubert
- Source:
- Finance and Investment Conference 2005
Modelling dependencies: an overview
1 Modelling dependencies: An Overview Martyn Dorey Phil Joubert Coomaren Vencatasawmy Presented to the Finance & Investment Conference, 19-21 June 2005, Whittlebury Hall, Silverstone 2 1 Introduction In 1888, Francis Galton ... read more >>
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- Author:
- Jiajia Cui; Frank de Jong; Eduard Ponds
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- Finance and Investment Conference 2005
The value of intergenerational transfers within funded pension schemes
The value of intergenerational transfers within funded pension schemes∗ Jiajia Cui† Frank de Jong‡ Eduard Ponds§ May 23, 2005 Abstract In this paper we model the transfers of value between the various generations in a ... read more >>
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- Author:
- Paul Stanworth; Ian Sykes; Andrew Smith
- Source:
- Finance and Investment Conference 2005
To hedge or not?
To Hedge or Not? By Paul Stanworth, Ian Sykes and Andrew Smith Finance & Investment Conference, 19-21 June 2005, Whittlebury Hall, Silverstone Paul.Stanworth@rbos.com ian.sykes@kpmg.co.uk andrewdsmith8@deloitte.co.uk This session will ... read more >>
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- Author:
- Julia Coronado\; J Nellie Liang
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- Empirical Pension Economics and Finance seminar, 15 June 2005
What determines funding and asset allocation decisions in private pension funds: evidence from the United States (handouts)
1 What Determines Funding and Asset Allocation Decisions in Private Pension Funds: Evidence from the United States Julia Coronado, Watson Wyatt J. Nellie Liang, Federal Reserve Board US Pension Funds and Capital Markets 18%Defined Benefit Liabilities ... read more >>
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- Author:
- Richard Disney
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- Empirical Pension Economics and Finance seminar, 15 June 2005
Economics of pension take-up: theory and evidence for the UK (handouts)
1 Economics of pension take-up: theory and evidence for the UK Richard Disney University of Nottingham, and Institute for Fiscal Studies Empirical Pension Economics and Finance, June 15, 2005 Institute of Actuaries seminar The policy issues • ... read more >>
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- Author:
- Richard Disney
- Source:
- Empirical Pension Economics and Finance seminar, 15 June 2005
Economics of pension take-up: theory and evidence for the UK
Economics of pension take-up: theory and evidence for the UK Richard Disney University of Nottingham, and Institute for Fiscal Studies Empirical Pension Economics and Finance, June 15, 2005 Institute of Actuaries seminar The policy issues • Do ... read more >>
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- Author:
- Chief Risk Officer Forum
A framework for incorporating diversification in the solvency assessment of insurers
This paper sets out the case for recognising diversification benefits in solvency assessment as well as a practical approach to incorporate effectively these diversification benefits into solvency assessments. 10 June 2005 A framework for incorporating ... read more >>
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- Author:
- Chief Risk Officer Forum
Principles for regulatory admissibility of internal models
This presentation is based on research (Internal Models Benchmarking Study) carried out on behalf of the Chief Risk Officer Forum by Damir Filipovic and Daniel Rost of the University of Munich, with additional support from Mercer Oliver Wyman in the ... read more >>
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- Author:
- Neville McKay
- Source:
- Pensions Convention 2005
Understanding the strength of the employer covenant (handout)
Version 1.0 January 11 1 Business Recovery Services Understanding the strength of the Employer Covenant 7 June 2005 The Pensions Regulator PricewaterhouseCoopers LLP2 Today s speakers Jonathon Land Credit Advisory Specialist Completed a secondment ... read more >>
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- Author:
- Terry Simmons
- Source:
- Pensions Convention 2005
Financing the deficit (handout)
1 Financing the deficit human resource services human resource services Pension deficit funding Terry Simmons human resource services The pension scheme problem – the deficit ? Many UK pension schemes currently have a deficit ? Primarily caused by ... read more >>
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- Author:
- Robert West
- Source:
- Pensions Convention 2005
Age discrimination in pension schemes (handout)
1 Annual Pensions Convention 2005 The De Vere Grand Hotel, Brighton, 5-7 June Age Discrimination in Pension Schemes By Robert West Partner and Head of the Pensions Department, Baker & McKenzie The European Employment Directive (27 November 2000) ? ... read more >>