Papers and reports

This paper considers the valuation for solvency purposes of traditional long-term insurance business. It concentrates on without-profits business, and discusses the reserves that are required to protect against the contingency of sudden adverse changes in asset values (the ‘mismatching’ or ‘resilience’ test). The details of a suitable test, and a method of applying it in practice using a ‘matching rectangle’, are described.

This paper describes the philosophy of with profits business which has been developed in the authors’ office, as a practical illustration of the running of such business in modern conditions. A description is given of how the philosophy is implemented in the main areas of actuarial management, including valuation methods, bonus distribution, product design and expense control. The discussion is extended to address a number of topics which are the subject of current debate including the financial strength of offices, future bonus prospects and disclosure of expenses

This paper describes the philosophy of with profits business which has been developed in the authors’ office, as a practical illustration of the running of such business in modern conditions. A description is given of how the philosophy is implemented in the main areas of actuarial management, including valuation methods, bonus distribution, product design and expense control. The discussion is extended to address a number of topics which are the subject of current debate including the financial strength of offices, future bonus prospects and disclosure of expenses.

This paper is the report of a Research Group which has been examining developments in calculating devices, the effects on actuarial work and the future outlook.

If, as suggested in the introduction to this paper, the Markowitz approach to risk is not sufficiently general, it is clearly highly desirable to develop a more general theory of investment risk by returning to first principles and using only those axioms which can be shown to be of universal validity. This paper describes how a general theory of this type can be developed and then examines in detail whether the Markowitz approach can indeed be regarded as a special case of this more general framework.

This paper has the strictly practical objective of devising procedures for managing equity portfolios to the best advantage. First, Modern Portfolio Theory (MPT), which has been developed over the last 35 years with just this objective, is critically examined; from a study of the history of MPT and of its philosophy, principles and practices, the authors conclude that this discipline makes no contribution whatever to improving the performance. Having failed to get a solution from MPT, the authors study the possibility of achieving their objective by rigorous investment analysis.

The Working Party on AIDS was established in April 1987 to give the profession information about, and to take any necessary action in relation to, the problems posed by HIV infection and AIDS. Three Bulletins have been issued by the Working Party, in September 1987, December 1987 and July 1988. These Bulletins covered what the Working Party saw as the important aspects of the problem from the point of view of the profession.