Document library
-
- Author:
- Paul Fulcher; Stuart Jarvis
- Source:
- Life Conference and Exhibition, 20 - 22 November 2011
G01: Stable measures of risk capital
Conventional risk measures – e.g. Solvency II – are procyclical, forcing asset sales into falling markets, with adverse consequences for customers and the economy. We look at how to develop more stable measures, for internal models and use by regulators, ... read more >>
-
- Author:
- Ray Bennett; Steven Hall
- Source:
- Life Conference and Exhibition, 20 - 22 November 2011
F12: Financial and regulatory reporting parallels with the banking industry and implications for capital managment
The banking industry has lobbied globally for pragmatic accounting and regulatory responses to the financial crisis. How does this compare with the insurance industry and what can we learn? This session will cover: high level summary of latest ... read more >>
-
- Author:
- Niel Daniels; Jeff Davies
- Source:
- Life Conference and Exhibition, 20 - 22 November 2011
F07: Solvency II - will it radically change the purchasing of reinsurance?
Solvency II has been with us for some time now and the impact is gradually being assessed. This session will look at the effect of Solvency II on reinsurance purchasing habits and will use the results of a survey of life office and other interested ... read more >>
-
- Author:
- Brian Purves; James Quin
- Source:
- Life Conference and Exhibition, 20 - 22 November 2011
C08: Market reporting - getting your message across to create value
Life company share prices have suffered numerous downgrades over the years from which they are still yet to recover. The complexity and inconsistency of market disclosures combined with a lack of clarity on how companies actually make money are major ... read more >>
-
- Author:
- Gower Wisdom; Steven Zietsman
- Source:
- Life Conference and Exhibition, 20 - 22 November 2011
D02: War games using interactive workshops to communicate Solvency II capabilities
Actuaries have invested significant time in Solvency II models producing substantial management information. but do we engage and communicate this information well, ensuring that Solvency II is not just seen as an actuarial project? we will demonstrate ... read more >>
-
- Author:
- James Crispin; Sean McGuire
- Source:
- Life Conference and Exhibition, 20 - 22 November 2011
C03: Solvency II risk-adjusted performance measures
Solvency II requires companies to ensure that performance measures reflect the capital requirements determined by the internal model. We have developed risk-adjusted performance measures which are robust and pragmatic. This presentation will: discuss the ... read more >>
-
- Author:
- James Needham; Wesleyan Assurance Society
- Source:
- Life Conference and Exhibition, 20 - 22 November 2011
C02: Developing an internal model for a medium-sized comany
This session will provide an insight into the development of an internal model for Wesleyan Assurance Society including: objectives of the internal model satisfying the Financial Services Authority's pre-application process qualifying criteria and IMAP ... read more >>
-
- Author:
- Mike Claffey; Ceall O'Dunlaing
- Source:
- Life Conference and Exhibition, 20 - 22 November 2011
F06: Assets within personalised funds - does default matter?
With open architecture offerings on Portfolio Bonds and SIPP's, it is tempting for life companies to assume all credit risk falls to the policyholder. But when does this assumption break down? This session will consider the following ... read more >>
-
- Author:
- Conflicts of Interest Working Party
Conflicts of Interest Working Party (2011). Conflicts of Interest Transcript of London Consultation Meeting 24 October 2011. Edinburgh: Institute and Faculty of Actuaries
This is the transcript of the conflicts of interest consultation meeting in London on 24 October 2011. Transcribed by G & I Goodbarne Tel. 01277-210553 The Actuarial Profession Institute and Faculty of Actuaries -------- Conflicts of ... read more >>
-
- Author:
- Andrew Cairns; Torsten Kleinow
- Source:
- Life Conference and Exhibition, 20 - 22 November 2011
F04: Mortality models for multiple populations using covariates
We present consistent mortality models for multiple populations based on covariates, for example, smoking prevalence. The aims of our research are to: refine mortality projections explain the differences in mortality improvements between different ... read more >>
-
- Author:
- Alex Summers; Tim Wilkins
- Source:
- Life Conference and Exhibition, 20 - 22 November 2011
B10: Opening the bonnet on economic scenario generation for Solvency II
As the foundation for cash flow projections, the economic scenario generator is one of the key "black boxes" to open for Solvency II readiness. This session will share our experiences in areas such as: creating a robust, transparent framework for applying ... read more >>
-
- Author:
- Jamie Leitch
- Source:
- Life Conference and Exhibition, 20 - 22 November 2011
B08: Has mortality pricing gone mad?
Over the past 10 years, protection mortality rates in the UK have continued to go in one direction – downwards. This talk looks at why rates have decreased and the most significant factors (medical, lifestyle, risk control and distribution) when ... read more >>
-
- Author:
- Andrew D Smith; Paul Sweeting
- Source:
- Life Conference and Exhibition, 20 - 22 November 2011
A04: Fractals markets
Benoit Mandelbrot passed away on 14 October 2010. He left a legacy of work on fractals, whose usefulness in financial modelling is hotly contested. Alongside the better publicised ideas of action at a distance and models with infinite variance, more ... read more >>
-
- Author:
- Practising Certificates Committee
Practising Certificates Committee (2011); Practising Certificates Scheme - Communication; Edinburgh; Institute and Faculty of Actuaries
Communication on the Practising Certificates Scheme effective 25 January 2012. 18 November 2011 Sir Philip Mawer Chairman of PREC New arrangements covering the issue of Practising Certificates to actuaries are to come into effect on 25 January 2012. ... read more >>
-
- Author:
- Adam Koursaris; Peter Murphy
- Source:
- Life Conference and Exhibition, 20 - 22 November 2011
A01: Using Least-Squares Monte Carlo for capital calculation
Calculating capital in a Solvency II internal model can be complex and runtime intensive due to the nested stochastic nature of the problem. Least-Squares Monte Carlo (LSMC) technique provides an efficient and accurate solution to this problem. ... read more >>
-
- Author:
- Institute and Faculty of Actuaries
Enhanced transfer values. Briefing for pensions actuaries
This briefing has been prepared for pensions actuaries. It is intended to update them on the work the Institute and Faculty of Actuaries has done and is continuing to do to support both its members and in the wider public interest with regard to ... read more >>
-
- Author:
- Andrew Smith
- Source:
- Momentum Conference, 30 November - 2 December 2011
D05: Calibration of risk distributions (a how to)
16/11/2011 1 © 2010 The Actuarial Profession www.actuaries.org.uk How to Calibrate Risk Distributions Andrew D Smith (andrewdsmith8@deloitte.co.uk) 2 December 2011 Agenda Modelling Extreme Events 1 Modelling Extreme Events Standard Formula, ... read more >>
-
- Author:
- Nick Dexter; David Hare
- Source:
- Life Conference and Exhibition, 20 - 22 November 2011
D11: FanTAStic or caTAStrophic? An update on TAS implementation
With the four principal TASs affecting the life sector now in force, this talk looks at the practical ways companies have implemented the new standards, considers which areas have proved the most difficult and what solution companies have adopted to ... read more >>
-
- Author:
- Con Keating
- Source:
- Momentum Conference, 30 November - 2 December 2011
D03: The problems with funding
16/11/2011 1 The problems with funding Con Keating Momentum Conference Manchester December 2011 Mixed Attribute Accounting • Assets are market prices and liabilities are net present values of estimated future cash flows discounted using a AA ... read more >>
-
- Author:
- Clive Pugh
- Source:
- Momentum Conference, 30 November - 2 December 2011
C01: Experience of the pensions regulators
16/11/2011 1 © 2010 The Actuarial Profession www.actuaries.org.uk Momentum Conference 2011 Michael Hayles Experience of the Pensions Regulator Agenda • Moral hazard powers – recap • Experience to date – CN – FSD • Process and ... read more >>