Document library
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- Author:
- Malcolm Jones
- Source:
- Sessional Research Event: Efficient Portfolio Construction Using Cash-based and Derivative Instruments
Seeking diversification through efficient portfolio construction using cash-based and derivative instruments
Seeking diversification through efficient portfolio construction using cash-based and derivative instruments A discussion paper By M.W. Jones (based on working party paper by M.W. Jones, J. Neate and C. Yan) Presented to The ... read more >>
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Mortality improvements by socio-economic circumstances, discussion paper
This paper was presented at a sessional research meeting at Staple Inn Hall, London, on 24 September 2012. Mortality improvements by socio-economic circumstances in England (1982 to 2006) A discussion paper BY J.L.C. LU, W. WONG, AND M. BAJEKAL ... read more >>
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- Author:
- C.A. Cowling, R. Frankland, R.T.G. Hails, M.H.D. Kemp, R.L. Loseby, J.B. Orr and A.D. Smith
- Source:
- Sessional research paper
Developing a framework for the use of discount rates in actuarial work
The Management Board of the UK Actuarial Profession is undertaking a thought leadership cross-practice research project on the use of discount rates by UK actuaries. The timing for this research is particularly appropriate as there is a convergence ... read more >>
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- Author:
- J. Maher, J. Corrigan, A. Bentley and W. Diffey
- Source:
- Sessional research discussion paper
An executive's handbook for understanding and risk managing unit linked guarantees.
The focus of this paper is the identification, and more importantly, sustainable management, of risks embedded in guarantees attaching to unit linked savings and retirement contracts (as commonly referred to as GMxBs). In developing customer centric ... read more >>
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- Author:
- Paul Sweeting
- Source:
- Institute Sessional Meeting paper 24 May 2010
What SSAP 24 can tell us about accounting quality
Statement of Standard Accounting Practice (SSAP) 24 required, for the first time, particular levels of disclosure in relation to firms’ pension arrangements. Whilst this was a major step forward, it allowed a significant degree of discretion. This ... read more >>
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- Author:
- Richard Shaw; Andrew Smith; Grigory Spivak
- Source:
- Institute Sessional Meeting paper 10 May 2010
Measurement and modelling of dependencies in economic capital. A discussion paper.
Measurement and Modelling of Dependencies in Economic Capital A discussion paper By R.A. Shaw, A.D. Smith and G.S. Spivak Presented to The Institute of Actuaries 10 May 2010 MEASUREMENT AND MODELLING OF DEPENDENCIES IN ECONOMIC CAPITAL ... read more >>
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- Author:
- Richard Shaw; Andrew Smith; Grigor Spivak
- Source:
- Institute sessional meeting, 10 May 2010
Measurement and modelling of dependencies in economic capital [slides]
Slides accompanying the paper presented at the Institute sessional meeting on 10 May 2010. 5/11/2010 1 Measurement and Modelling of Dependencies in Economic Capital Richard Shaw, Andrew Smith and Grigory Spivak © 2010 The Actuarial Profession ... read more >>
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- Author:
- D. Besar, P. Booth, K.K. Chan, A.K.L. MIlne and J. Pickles
- Source:
- Sessional Paper
Systemic risk in financial services
The recent banking crisis has reminded us of how risks materialising in one part of the financial system can have a widespread impact, affecting other financial markets and institutions and the broader economy. This paper, prepared on behalf of the ... read more >>
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- Author:
- Elliot Varnell
- Source:
- Sessional meeting paper
Economic scenario generators and Solvency II
The Solvency II directive mandates insurance firms to value their assets and liabilities using market consistent valuation. For many types of insurance business Economic Scenario Generators are the only practical way to determine the market consistent ... read more >>
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- Author:
- Ana Madrigal; Fiona Matthews; Deven Patel; Andrew Gaches; Steven Baxter
- Source:
- Sessional meeting paper
What longevity predictors should be allowed for when valuing pension scheme liabilities?
Data held within administration records of occupational pension schemes yield a rich source of information on mortality rates and the statistical predictors (covariates) of longevity. In this paper we provide, for the first time, a multivariable analysis ... read more >>
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- Author:
- Otto Thoresen
- Source:
- Our Changing Future meeting 2008
Delivering money guidance (Slides)
Delivering Money Guidance Otto Thoresen 9 April 2008 Review Recommendations Governing principles Scope of the service Partnership model Multi- channel national approach New Brand Comprehensive marketing strategy FSA to take forward work Funding ... read more >>
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- Source:
- Our Changing Future meeting, 26 March 2008
Current topics 2008 (FASS). Investment
Faculty of Actuaries Students’ Society. Current Topics 2008. Investment. March 2008 Faculty of Actuaries Student Society, Current Topics 2008, Life Insurance. 2 Macroeconomic Effects of the Credit Crunch for Pension Plans Introduction This ... read more >>
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- Author:
- G M Hosty; S J Groves; C A Murray; M Shah
- Source:
- Sessional meeeting paper
Pricing and risk capital in the equity release market
One of the purposes of this paper is to investigate the profitability of typical equity release schemes in the market at present and so to address the question of whether competition has forced the market to function at non-profitable levels. PRICING AND ... read more >>
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- Author:
- Peter McDade; Neil Meldrum; David Stevenson
- Source:
- Our changing future meeting in Scotland
Individual Capital Assessment (ICA)
Our Changing Future - ICA Peter McDade Neil Meldrum David Stevenson All views are those of the authors and do not necessarily represent the views of their employers Agenda Background to ICA Main challenges ICG Process Operational Risk Using the ... read more >>
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- Author:
- A J G Cairns\; K Dowd
- Source:
- Sessional meeting paper
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- Author:
- C J Exley\; A D Smith
- Source:
- Sessional meeting paper
The cost of capital for financial firms [mp3 sound file]
Most businesses have assets financed by capital providers. The cost of capital is a measure of the returns required by those capital providers. Its main use is to set a target for the profits, which must be achieved on the firm's assets in order to ... read more >>
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- Author:
- Jon Exley; Andrew Smith
- Source:
- Sessional meeting paper
The cost of capital for financial firms (paper)
Most businesses have assets financed by capital providers. The cost of capital is a measure of the returns required by those capital providers. Its main use is to set a target for the profits, which must be achieved on the firm's assets in order to satisfy ... read more >>
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- Author:
- J J Caslin
- Source:
- Sessional meeting paper
Hedge funds
The paper opens by showing how certain types of hedge funds can reduce the risk and increase the return on a traditional balanced managed fund. An outline of the characteristics and risks of three types of hedge funds namely, long-short equity, convertible ... read more >>
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- Author:
- P M Booth; G Marcato
- Source:
- Sessional meeting paper
The measurement and modelling of commercial real estate performance
In this paper we discuss methods of developing real estate indices, the availability of real estate data, the problems of using published real estate data and how real estate data can be used for stochastic investment modelling for actuarial purposes. In ... read more >>
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- Author:
- G. C. Heywood, J. R. Marsland, and G. M. Morrison
Practical risk management for equity portfolio managers
The paper highlights the role of risk budgeting - how risk is 'spent' - in the investment management process and some of the practical issues encountered. Risk budgeting has received a great deal of interest from the investment management community ... read more >>