General Insurance Convention 1987
Torquay, 29-30 October 1987
Claims reserving manual (Draft contents and specimen pages). - Chamberlin, Gary F. 16 pages.
Progress with the Manual has, regrettably, been slower than hoped. To produce a fully satisfactory work has proved a larger task than at first envisaged. But momentum has been regained, and publication in mid-1988 is now confidently expected.
Discounting in general insurance. - Abbott, William M. 77 pages.
The objective is not to consider the logic, merit or wisdom of discounting technical reserves in general insurance. The starting point is the assumption that if it were to be decided that provisions should be discounted, then there would be practical problems to be resolved. The objective of this paper is to identify and consider the practical issues that arise.
Excess of loss premium rating: London Market. - Guaschi, Frank E. 4 pages.
The purpose of this note is to demonstrate the part which actuaries can play in assisting underwriters to rate excess of loss business. I stress the word "assist" because it is important that we do not see ourselves as in any way replacing underwriters.
Financial economics and the theory of solvency. - Devitt, E R F. 19 pages.
The first International Conference on Insurance Solvency was held in June 1986 in Philadelphia, U.S.A. At this Conference, the Solvency Working Party presented a paper which reported their work to date. The Conference was also attended by a collection of individuals from the U.S. who were trained as financial economists and whose approach to the solvency question was entirely different from our own. The second International Conference on Insurance Solvency is now being planned for May 1988. Its stated objective is the integration of the different approaches of actuaries and economists. It was felt that an explanation of the theoretical foundation of financial economics would prove useful to those who are likely to attend the second International Solvency Conference and also that a study of this body of knowledge might provide insights which could enable further progress to be made on the important question of solvency. The purpose of this paper is to provide that explanation.
Fundamental principles of modern portfolio theory and option pricing. - Bernstein, Geoffrey D. 9 pages.
The starting point for modern portfolio theory is the efficient market hypothesis. This comes in three forms but it can be summarized simply in the statement that "it is extremely difficult for the ordinary investor to make money from trading in shares". This is hardly a concept which is likely to upset the typical investment manager. That is until he works out the corollary:- such a high proportion of the money invested in the Stock Exchange is professionally managed that he (the investment manager) may be "an ordinary investor".
Lloyd's and the London Market (Contents and specimen chapters). - Hart, David M (ed) 23 pages.
The object of this monograph is to extend the general insurance element of the actuarial examination course into the area of the London market, primarily for the use of candidates studying the general insurance subject at the specialist level. It is, however, probable that the material will also be of interest to other categories of reader.
In particular, I believe it would be useful background material for qualified actuaries who have never studied this special aspect of general insurance, but who find employment opportunities in London market organisations, either in a consultancy role, or as employed actuaries. Also, it could be of considerable interest to London market employers who have no experience of actuarial expertise, and little idea of what an actuary may be able to do to help them solve specific problems.
Overseas developments. - Kennedy, Samuel P L. 5 pages.
Following last year's convention in Windermere, it was decided that a working party should be set-up to review overseas developments including a review of the ASTIN Bulletin and overseas actuarial journals.
Practical pricing: London Market. - Czapiewski, Colin J W. 18 pages.
The attached is an early draft for chapter 5 of the London Market monograph. It is anticipated that substantial alterations will be necessary before a suitable form is attained.
The aim, rightly or wrongly, is to emphasise the practical nature of London Market pricing and the necessary simplicity of calculation. The methods must be easily explained to an underwriter and therefore too much theory is out of place. However some jargon is unavoidable. Some of the methods have been used for many years, well before actuaries were on the scene.
Report of the Solvency Working Party. - Solvency Working Party. 2 pages.
The material which we are presenting consists of two complementary papers, by Russell Devitt on "Financial Economics and the Theory of Solvency" and Geoffrey Bernstein on "Fundamental Principles of Modern Portfolio Theory and Option Pricing". It is hoped that these will give other members of the GISG a reasonably gentle introduction to these topics, about which we may hear a lot more in future.