Document library
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- Author:
- Ruth Loseby
Research project on discount rates
Details of the initial call for research. Call for proposals for research project on discount rates Background The Management Board of The Actuarial Profession wishes to undertake a thought leadership cross-practice research project on discount ... read more >>
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- Author:
- Continuous Mortality Investigation
CMI Working paper 42. CMI life office mortality experience 2003-2006
CMI Working paper 42.CMI life office mortality experience 2003-2006 Continuous Mortality Investigation Working Paper 42 CMI Life Office Mortality Experience 2003-2006 Contents Section Page 1 The Mortality of Holders of Permanent ... read more >>
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- Author:
- Dimitrina S Dimitrova; Steven Haberman; Vladimir K Kaishev
Dependent competing risks: cause elimination and its impact on survival
The dependent competing risks model of human mortality is considered, assuming that the dependence between lifetimes is modelled by a multivariate copula function. The effect on overall survival of removing one or more causes of death is explored under two ... read more >>
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- Author:
- Robert Cowell
Exploration of a novel bootstrap technique for estimating the distribution of outstanding claims reserves in general insurance
This is a report on an exploration of the effectiveness of a novel non-parametric bootstrap method for estimating claims reserves, which we call the local chain ladder bootstrap technique. The method is simple and can readily be implemented in a ... read more >>
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- Author:
- Di Kuang; Bent Nielsen; Jens Perch Nielsen
Robust forecasting in the extended chain-ladder model
Chain-ladder-type models extended with a calendar effect are used for reserving in general insurance. We consider forecasting of reserves in a situation where the calendar parameters change out of sample. It is shown that methods for forecasting ... read more >>
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- Author:
- Yaniv Zaks
Optimal premiums based on utility function and solvency
Consider a portfolio containing heterogeneous risks. The premiums of the policyholders might not cover the liabilities of the insurer during one period of time. This risk should be taken into account while determining the load on the net premium. On the ... read more >>
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- Author:
- Di Kuang; Bent Nielsen; Jens Perch Nielsen
Chain-ladder as maximum likelihood revisited
It has long been known that maximum likelihood estimation in a Poisson model reproduces the chain-ladder technique. We revisit this model. A new canonical parametrisation is proposed to circumvent the inherent identification problem in the parametrisation. ... read more >>
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- Author:
- Robert Cowell
A non-parametric bootstrap method for claims reserving
A non-parametric bootstrap method for claims reserving Robert Cowell Faculty of Actuarial Science and Insurance Cass Business School 25th February 2009 Supported by a grant from the Actuarial Profession Overview trianglerightsld ... read more >>
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- Author:
- Continuous Mortality Investigation
CMI technical note: Comparison of approaches for calculating initial exposure
Working Paper 34 describes the methodology and assumptions used for CMI Self-Administered Pension Schemes (SAPS) mortality experience analyses. Whilst it gives an overview of the changes that have recently been made, the paper provides little detail on the ... read more >>
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- Author:
- Di Kuang; Bent Nielsen; Jens Perch Nielsen
Forecasting with the age-period-cohort model and the extended chain-ladder model
We consider forecasting from age-period-cohort models, as well as from the extended chain-ladder model. The parameters of these models are known only to be identified up to linear trends. Forecasts from such models may therefore depend on arbitrary linear ... read more >>
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- Author:
- Stephan Harrison
- Source:
- Environmental research group
Predicting future climate change: lessons from palaeoclimatology
Sophisticated general circulation models (GCMs) are used to model the climate and are the principal tools used to predict future climate change. The outputs of these models have important policy implications but the uncertainties associated with the ... read more >>
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- Author:
- A C Campbell; D C Grimley; J K Pallister; A M Stoker; Andrew Walton; Costas Yiasoumi
- Source:
- British Actuarial Journal [BAJ] (2006) 12(3): 639-727
Lessons from closure : an analysis and comparison of the issues facing closed life funds and closed pension schemes
LESSONS FROM CLOSURE: AN ANALYSIS AND COMPARISON OF THE ISSUES FACING CLOSED LIFE FUNDS AND CLOSED PENSION SCHEMES By A. C. Campbell, D. C. Grimley, J. K. Pallister, A. M. Stoker, A. R. Walton and C. A. Yiasoumi ... read more >>
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- Author:
- D Blake; A J G Cairns; K Dowd
- Source:
- British Actuarial Journal [BAJ] (2006) 12(1): 153-228
Living with mortality: longevity bonds and other mortality-linked securities
This 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 ... read more >>
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- Author:
- The Actuarial Profession
Annual research report 2004
This document summarises the research work undertaken in the Actuarial Profession during 2004. A high importance is placed on research, as is demonstrated both through the activities of volunteers in working parties and through grants awarded to outside ... read more >>
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- 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 >>
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- 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 >>
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- 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 >>
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- Source:
- British Actuarial Journal [BAJ] (2004) 10(5): 1047-1070
The Penrose report. A discussion meeting held by the Institute of Actuaries. Abstract of the discussion
The `Report of the Equitable Life Enquiry', by The Right Honourable Lord Penrose, was delivered to Treasury Ministers on 23 December 2003, and was published on 8 March 2004 by The Stationary Office (also at www.hm-treasury.gov.uk). Members were encouraged ... read more >>
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- Author:
- T J Sheldon; A D Smith
- Source:
- British Actuarial Journal [BAJ] (2004) 10(3): 543-626
Market consistent valuation of life assurance business
In recent years there has been a trend towards market consistent valuation in those institutions for which actuaries have responsibilities. The larger United Kingdom with-profits insurance companies are now preparing realistic balance sheets, both for ... read more >>
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- Author:
- R C Willets; A P Gallop; T Leandro; J L C Lu; A S Macdonald; K A Miller; S J Richards; N Robjohns; J P Ryan; H R Waters
- Source:
- British Actuarial Journal [BAJ] (2004) 10(4): 685-832
Longevity in the 21st century
The main objective of this paper is to offer a detailed analysis of mortality change in the United Kingdom at the beginning the 21st century. Starting from an exploration of 20th century mortality trends, focusing in particular on the 1990s, underlying ... read more >>