University research
Funding of external research (of the type likely to be undertaken by universities) is approved by the Management Board who consider topics on which bids will then be sought.
This page gives some examples of projects that have received funding.
Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view - grant awarded of £12,575 - On-going (grant awarded 2008)
Membership
Chair: Professor Vytaras Brazauskas - University of Wisconsin-Milwaukee
Aims and objectives
The aim of the project is to develop modern methodological tools for fitting of the Generalized Pareto Distribution (GPD), a widely applicable model, and investigate the impact of the fits on risk measuring and risk modelling applications. In particular, the effects on estimation of such risk measures as Value-at-Risk and Conditional Tail Expectations will be examined theoretically, via Monte Carlo simulations, and via real-data investigations.
Expected outcome
Expected outcomes are:
(a) to present results at two actuarial conferences (e.g., IME Congress, ASTIN Colloquium),
(b) to publish two papers in leading actuarial journals (e.g., Annals of Actuarial Science, IME).
IFS Retirement Saving Consortium - grant awarded of £25,000 - On-going (grant awarded 2008)
Membership
Chair: Carl Emmerson - Deputy Director, The Institute for Fiscal Studies
Other members:
Paul Johnson - FSA, Professor James Banks - Deputy Research Director - The Institute for Fiscal Studies
Aims and objectives
A consortium of organisations including the Institute of Actuaries funded a programme of work on pensions at the IFS over the period January 2004 to December 2006. Since then the policy agenda has moved on considerably but there are still considerable gaps in what is known about levels of saving and retirement provision across the life cycle. More recently data resources are becoming available which, taken together, will allow us to answer important questions about the nature of both pension and non-pension saving across all stages of the lifecycle. Example questions to be researched are:
How do saving rates and wealth accumulation change over the lifecycle, and how have these patterns changed in recent years?
What is the relationship between peoples lifetime earnings and their retirement incomes and what factors are associated with high ratios of the latter to the former?
How many people might be affected by the move to Personal Accounts, and what are the characteristics of both them and their employers?
How have recent trends in the overall value of pension provision differed between public and private sectors and how might such differences be expected to impact on retirement and savings outcomes?
Expected outcome
The Actuarial Profession is continuing its membership of the consortium to fund and guide IFS research focussing on addressing the above four questions with an aim for output in 2010 and to gain:
Chance to influence the work of this leading team of researchers
Access to early results from a highly important work programme
The chance to reflect on policy implications with other senior industry and government officials.
RAMP - Social/environmental aspects of major projects –Ongoing (project started September 2008)
Contact: Alison Brown, Institute of Civil Engineers
Aims and objectives :
(a) To identify and understand current practice regarding the methods used to take social and environmental considerations into account when appraising major projects in the UK and overseas;
(b) To identify and develop a “best practice appraisal framework” which incorporates the financial results and the social/environmental costs and benefits (taking account of risk).
One of the inputs will be the valuable work which has been undertaken by Engineers against Poverty, an organisation which has studied these matters in relation to projects round the world. Actuaries will be able to make an important contribution, applying their skills on risk and finance to develop the methodology. A key part of the work will be to find suitable ways of expressing social and environmental considerations and risks in financial terms, so that they can be taken into account in investment models. Some social/environmental considerations may be capable of evaluation in fairly precise terms, in which case the resulting hypothetical cash flows could be fed into a “net present value” model in the normal way (possibly with an adjustment to the discount rate), whereas other considerations may be much less certain and require vision and the analysis of alternative possible scenarios. For some risks the degree of uncertainty and the possible adverse consequences may be so great that the risks need to be managed in accordance with the precautionary principle. It will also be necessary to consider the possible development of principles for dealing with conflicts of interest.
Expected Outcome
There will be three principal outputs from the research:
- A published select bibliography
- A report on the views of the interviewees
- Additions to the RAMP framework, showing how social/environmental considerations can be taken into account in project appraisal and risk management, including in particular the quantification of such considerations in financial terms where appropriate.
The overall budget is £50,000, to be financed equally by the Institution of Civil Engineers (ICE) and the actuarial profession, i.e. £25,000 each.