Document library

PDF file icon
Author:
Economic Capital Subgroup of the Society of Actuaries Risk Management Task Force

Specialty guide on economic capital

At its most basic level Economic Capital can defined as sufficient surplus to cover potential losses, at a given risk tolerance level, over a specified time horizon. This is the working we will use throughout this Specialty Guide, adding details as needed ... read more >>

PDF file icon
Author:
Reinsurance Bad Debt Provisions Working Party; Richard Bulmer (Chairman)
Source:
Advisory note

Reinsurance bad debt provisions for general insurance companies. With supplementary note October 2005

There is currently no standard approach to the assessment of reinsurance bad debt provisions. This paper covers: the principal actuarial issues which need to be considered when setting reinsurance bad debt provisions; possible methodologies which could be ... read more >>

PDF file icon
Author:
J B Crozet
Source:
General Insurance Convention 2005

Revenue management and insurance cycle

1 Revenue Management And Insurance Cycle Paper prepared for GIRO 2005 JB CROZET MSc FIA CFA FSS 2 Introduction This paper is a reflection on the optimal strategy for deploying a fixed amount of insurance ... read more >>

PDF file icon
Author:
Simon Sheaf
Source:
General Insurance Convention 2005

Claims inflation - The Scarlet Pimpernel of actuarial work (Handout)

1 Claims Inflation - The Scarlet Pimpernel of Actuarial Work Simon Sheaf Simon Brickman GIRO 2005 Will Forster 19 October 2005 Agenda Introduction Survey results Examples of current issues affecting claim frequency and severity Methods for estimating ... read more >>

PDF file icon
Author:
James Orr; Trevor Maynard
Source:
General Insurance Convention 2005

Update from the maths toolkit for actuaries' working party (Slides)

1 A Maths Toolkit for Actuaries James Orr & Trevor Maynard A Working Title Production Part I The Model Actuary The Rate of Change The Subject of Conjecture The Continuously Developing Profession Part II Academic Research Software Survey IT ... read more >>

PDF file icon
Author:
Rodney Bonnard; Simon Margetts
Source:
General Insurance Convention 2005

Credit risk (Handout)

1 Credit Risk 32nd ANNUAL GIRO CONVENTION The Imperial Hotel, Blackpool Credit Risk Contents Introduction Example Company and reinsurance protection Traditional Approach MultiNomial Parameter Uncertainty Momentum Dependency Conclusion and ... read more >>

PDF file icon
Author:
Hilary Johnson
Source:
Younger Members' Convention 2005
PDF file icon
Author:
P J L O'Keeffe; A J Desai; K Foroughi; G J Hibbett; A F Maxwell; A C Sharp; N H Taverner; M B Ward; F J P Willis
Source:
British Actuarial Journal [BAJ] (2005) 11(3): 407-496

Current developments in embedded value reporting

This paper reviews the developments in reporting of traditional embedded value and summarises some of the reasons why this is now undergoing change. It considers the purpose of an embedded value calculation and the effect of differing attitudes to risk. ... read more >>

PDF file icon
Author:
A D Wilkie; M P Owen; H R Waters
Source:
British Actuarial Journal [BAJ] (2005) 11(2): 199-312

Notes on options, hedging, prudential reserves and fair values

In this paper we present many investigations into the results of simulating the process of hedging a vanilla option at discrete times. We consider mainly a `maxi' option (paying Max(A, B)), though calls, puts and `minis' are also considered. We show the ... read more >>

PDF file icon
Author:
I Iqbal
Source:
British Actuarial Journal [BAJ] (2005) 11(1): 133-182

Effective decision making in a life company

In the recent past life companies have made many decisions which they have had cause to deeply regret. This paper looks at the range of decision making theories available. It then examines recent examples of decisions that had unfavourable consequences ... read more >>

PDF file icon
Author:
A C L Dyson; J Exley
Source:
British Actuarial Journal [BAJ] (1995) 1(3): 471-557

Pension fund asset valuation and investment

The theoretical basis for, and practical application of, the discounted income method for valuing UK pension fund assets is discussed, with particular reference to the widely adopted application to variable income (equity type) assets, as proposed by ... read more >>

PDF file icon
Author:
Life Board

GN22: Disclosure - FSA rules. Version 2.2 [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/GN22 V2.2 B22.1 ... read more >>

PDF file icon
Author:
Professional Affairs Board

GN1: The prudential supervision in the UK of long-term insurance business. Version 6.2 [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/GN1 V6.2 B1.1 ... read more >>

PDF file icon
Author:
Life Board

GN40: The role of the actuarial function holder. Version 1.0 [superseded by version 1.1 prior to coming into effect on 31 Dec 2004]

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/GN40 V1.0 B40.1 ... read more >>

PDF file icon
Author:
Institute of Actuaries Designated Professional Body Committee

Compliance Bulletin 13, December 2004

Contents: Revised DPB Handbook\; Insurance Mediation Directive (IMD)\; IMD amendments to the DPB Handbook\; Non-IMD amendments to the DPB Handbook\; the decision not to extend the DPB regime to mortgages\; DPB fees - Insurance Mediation December 2004 1 ... read more >>

PDF file icon
Author:
Life Board

GN45: Determining with-profits insurance capital component. Version 1.1

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/GN45 V1.1 B45.1 ... read more >>

PDF file icon

GN7: The role of actuaries in relation to financial statements of insurers and insurance groups writing long-term business and their relationship with auditors. Version 3.1 [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/GN7 V3.1 B7.1 ... read more >>

PDF file icon
Author:
Life Board

GN46: Individual capital assessment. Version 1.1 [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/GN46 V1.1 B46.1 ... read more >>

PDF file icon
Author:
Life Board

GN47: Stochastic modelling for life insurance reserving and capital assessment. Version 1.1 [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/GN47 V1.1 B47.1 ... read more >>

PDF file icon
Author:
Pensions Board

GN48: Compliance review: Pensions. Version 1.0

This GN was current from 31 December 2004 to 31 December 2006. This pensions Guidance Note has been retained by the Actuarial Profession. MAPGN48 V1.0 B48.1 GN48: Compliance Review: Pensions Classification Recommended Practice from 31.12.04 to ... read more >>