Document library
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- Author:
- Andreas Tsanakas; Peter Tavner
- Source:
- General Insurance Convention 2002
Capital allocation in the Lloyd's insurance market [Slides]
1 Capital Allocation in the Lloyd’s Insurance Market Andreas Tsanakas and Peter Tavner Market Risk and Reserving Unit Contents Part 1 Lloyd’s RBC Overview Peter Syndicate Specific Adjustments “ “ Operational Risk “ “ Catastrophe Risk ... read more >>
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- Author:
- Simon Perry\; Stuart Robinson\; John Rowland
A study of mortgage prepayment risk
As recently as five years ago the average tenure of a residential mortgage in the UK was around seven years. Most lenders will tell you that the equivalent figure today is nearer four, due mainly to consumers’ increased willingness to switch lender for a ... read more >>
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- Author:
- Michael McCarter; Peter Clark
- Source:
- General Insurance Convention 2001
Fair value accounting for insurance (slides)
Fair Value Accounting for Insurance Michael G. McCarter, FCAS, MAAA Joint GIRO/CAS Convention Glasgow, Scotland October 5, 2001 * Introduction It’s not just fair value, it’s “Performance Reporting”! FASB and fair value. IASB and insurance ... read more >>
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- Author:
- Bruce Porteous
The Basel Capital Accord
Bruce Porteous explains why there might be fundamental changes in mortgage banking | TheActuary | September 2001 | BANKING | IN JANUARY 2001 the Basel Committee of the Bankfor International Settlements issued its consulta-tive document ‘The New Basel ... read more >>
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- Author:
- Keith Guthrie; Shyam Mehta; Andrew Smith
- Source:
- Finance and Investment Conference 2001
An autoregressive yield curve model - with no free lunch
1 AN AUTOREGRESSIVE YIELD CURVE MODEL - WITH NO FREE LUNCH A report by the Stochastic Investment Models Working Party Keith Guthrie Shyam Mehta Andrew Smith We gratefully acknowledge the kind assistance of Frances Southall in checking the ... read more >>
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- Author:
- Mike Brooks
- Source:
- Finance and Investment Conference 2001
The practicalities of budgeting, managing and monitoring active risk for pension funds
The Practicalities of Budgeting, Managing and Monitoring Investment Risk for Pension Funds Portfolio Risk and Performance Working Party Mike Brooks (chairman) David Bowie Martin Cumberworth Alistair Haig Bernie Nelson Faculty and Institute of ... read more >>
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- Author:
- Andrew Smith
- Source:
- Finance and Investment Conference 2001
Consistent assumptions for multinational asset models
Building an international ALM requires assumptions about expected returns on bonds, equities and currencies around the world. How can we be sure these are consistent? We test several methods of deriving assumptions. Using simple methods, we discover that ... read more >>
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- Author:
- Philip Booth, Robert Ashurst, Gerry Blundell, Stephen Brown, Martin Cumberworth, Guy Morrell, Rusell Pugh, Chris Waites, Property Sub-Committee Working Party
- Source:
- Finance and Investment Conference 2001
Options in real estate contracts
The purpose of this paper is to introduce the characteristics of a number of option-pricing problems in real estate investment. Many of these problems have been poorly researched and those from outside the real estate finance area may well find fertile ... read more >>
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- Author:
- R C Urwin; S J Breban; T M Hodgson; A Hunt
- Source:
- Sessional Meeting paper
Risk budgeting in pension investment
This paper extends the concept of investment efficiency from investment management structures to include strategic asset allocation and liability related issues. The concept of risk budgeting is developed. It represents a valuable way of incorporating risk ... read more >>
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- Author:
- R C Urwin; S J Breban; T M Hodgson; A Hunt
- Source:
- British Actuarial Journal [BAJ] (2001) 7: 319-364
Risk budgeting in pension investment
RISK BUDGETING IN PENSION INVESTMENT By R. C. Urwin, S. J. Breban, T. M. Hodgson and A. Hunt [Presented to the Faculty of Actuaries, 19 February 2001] abstract This paper extends the concept of investment efficiency from ... read more >>