Working Paper 112 was originally published in November 2018 and reissued in January 2019 (see above). The working paper describes additional analyses of pension annuities in payment over the period 2011 to 2014.
The working paper describes additional analyses of pension annuities in payment over the period 2011 to 2014. This follows Working Paper 101 which was issued in July 2017 alongside the “all offices” results for 2011-2014.
This paper sets out the results of two separate pieces of analysis:
- indicative graduations of the 2011-2014 data, including by product; and
- multivariate analysis of the experience using Generalised Linear Models.
Both analyses are intended to help us consider whether it is appropriate to produce new graduated mortality tables for pension annuities in payment and, if so:
- What factors we should include in the tables, in addition to age and gender; and
- What issues we may encounter in the data, and how we should resolve such issues.
We do not intend issuing new tables based on the dataset used for these analyses; instead we will use a more recent period once we have that dataset. Undertaking these analyses is intended to facilitate speedier production of new tables and making them available in this paper gives Subscribers an opportunity to comment on our preliminary thinking. We have included a number of specific questions at the end of the paper and would be very pleased to receive comments on these; comments can be sent to annuities@cmilimited.co.uk preferably by 31 December 2018, to enable us to take account of these views in producing draft tables.
Note: the paper and accompanying spreadsheet are available to Authorised Users only.
An Excel spreadsheet of the indicative rates is released alongside this paper.
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ARC Webinar Series 2021 - Use of Primary Health Care Records Data in Actuarial Research
Webinar9 March 2021
As part of the ARC Webinar Series 2021, this webinar will review the work of the UEA/Aviva research team over the last four years on a major research programme funded by the IFoA’s Actuarial Research Centre. -
Implications of Climate Change for Life Insurer's Risk Modelling and Strategic Asset Allocation
12 March 2021
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Whilst insurers have been performing stress and scenario testing for many years, in the last 12 months the PRA has increased its focus on the ability to identify, measure and increase financial and operational resilience.
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Finance in the Public Interest Series
16 March 2021 - 23 March 2021
There is widening debate that many of our social, financial and regulatory institutions need to be rethought so that we can create more sustainable futures, particularly in light of the Covid-19 pandemic, the policy/macro-economic response to the pandemic and how it affects consumers, as well as the impending climate crisis. This multi-day series of three keynote webinars, individually presented by leading economist John Kay, Sir Paul Collier, Professor of Economics and Public Policy at the Blavatnik School of Government, Ashok Gupta, Chair at Mercer Ltd, and Nico Aspinall, Chief Investment Officer at B&CE, will open up discussion on these essential topics. The series will culminate in a panel session with Chief Economist of the Bank of England, Andy Haldane.
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The price is righter
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This discussion will revolve around the latest industry developments including and introduction to Part VII transfers and Schemes of Arrangement (process, parties involved and recent events), insights and lessons from recent with-profits transactions and restructurings (including Equitable Life and Pru-Rothesay), how firms can apply these learnings to future arrangements, and the outlook for future with-profits transactions and restructurings (including the impacts of Covid-19 and Brexit)
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The role of stewardship in creating long term value
25 March 2021
What is stewardship and how has the landscape changed under the 2020 UK Stewardship Code? How does effective stewardship create long term value for beneficiaries and what roles do asset owners and asset managers play in active stewardship. This webinar will offer answers to these questions in a practical approach to stewardship reporting. -
Dr Catherine Donnelly will present the basics of the structures for pooling longevity risks and summarise recent research results in this area in addition to outlinging future research around this topic. This is work under a research programme funded by the IFoA's Actuarial Research Centre, called 'Minimizing longevity and investment risk while optimising future pension plans'.
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Mis-estimation risk is a key element of demographic risk, and past work has focused on mis-estimation risk on a run-off basis. However, this does not meet the requirements of regulatory regimes like Solvency II, which demands that capital requirements are set through the prism of a finite horizon like one year. This paper presents a value-at-risk approach to mis-estimation risk suitable for Solvency II work.
As part of the ARC Webinar Series 2021, this webinar will review the work of the UEA/Aviva research team over the last four years on a major research programme funded by the IFoA’s Actuarial Research Centre.
Climate change poses a significant threat across many regions and sectors, and businesses. Insurers and asset managers, must play a role in ensuring transparency around climate related risks and opportunities.
What is stewardship and how has the landscape changed under the 2020 UK Stewardship Code? How does effective stewardship create long term value for beneficiaries and what roles do asset owners and asset managers play in active stewardship. This webinar will offer answers to these questions in a practical approach to stewardship reporting.