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Sessional Research Programme 2014/2015

  • Expert judgement. 8 June 2015

    Presented to an IFoA Sessional Meeting in Edinburgh on 8 June 2015, and to the IAA Colloquium in Oslo on 10 June 2015

    Abstract:
    Expert judgement has been used since the actuarial profession was founded. In the past, there has often been a lack of transparency regarding the use of expert judgement, even though those judgements could have a very significant impact on the outputs of calculations and the decisions made by organisations. The lack of transparency has a number of dimensions including the nature of the underlying judgements, as well as the process used to derive those judgements. This paper aims to provide a practical framework regarding expert judgement processes, and how those processes may be validated. It includes a worked example illustrating how the process could be used for setting a particular assumption. It concludes with some suggested tools for use within expert judgement. Although primarily focused on the insurance sector (including consideration of the impact of Solvency II), the proposed process framework could be applied more widely without the need for significant changes.

  • Sustainability in the financial system. 11 May 2015

    Sessional Research Meeting, 11 May 2015, Staple Inn, London. Research commissioned by the Resource and Environment Board

    Abstract:
    Much actuarial work is underpinned by the use of economic models derived from mainstream academic theories of finance and economics which treat money as being a neutral medium of exchange. The sustainability of a financial system whose understanding is based on a limited view of the role of money has increasingly been subject to criticism. In order to identify needed research programmes to address such criticisms and improve these disciplines, we sought to understand the current state of knowledge in economics and finance concerning the link between monetary and financial factors and sustainability.

    We have approached this through a search for relevant literature published in the highest-rated academic journals in economics, finance and the social sciences for titles and abstracts containing both references to the financial system on the one hand and sustainability and environmental factors on the other.

    The systematic search of a universe of 125 journals and 355,000 articles yielded the finding that surprisingly few research papers jointly address these concepts. Nevertheless, we find that current research shares a broad consensus that the implications of the growth-oriented economic model results in an increasingly interconnected and fragile financial system whose participants are not incentivised to fully recognise the natural environment and resource constraints. We further observe that the prescriptions offered are relatively limited and small-scale in their outlook and that there is a vital need for further research, particularly for actuaries who are required to take a longer term outlook.

    The Resource and Environment Board has supported this work with two key objectives: first to identify research that may have direct application to actuarial work and, second, to identify gaps in academic research that would help drive the IFoA's own research agenda. With this in mind there are three further areas of potential actuarial research. These are the policy aim of pursuing growth without limit within a finite ecosystem; discount factors as the primary means of capital allocation and investment decisions; and the use of GDP as the key metric of economic activity and success. We also conclude that further academic research is urgently needed to understand the sustainability of the banking and monetary system.

    Keywords:
    Literature review; Banking; Finance; Monetary policy; Sustainability; Green economy; Actuarial science

  • Model risk. 23 March 2015

    Sessional Research Meeting, 23 March 2015. Paper by the Model Risk Working Party, presented by N Mojaria

    Abstract:
    With the increasing use of complex quantitative models in applications throughout the financial world, model risk has become a major concern. Such risk is generated by the potential inaccuracy and inappropriate use of models in business applications, which can lead to substantial financial losses and reputational damage. In this paper, we deal with the management and measurement of model risk. First, a model risk framework is developed, adapting concepts such as risk appetite, monitoring, and mitigation to the particular case of model risk. The usefulness of such a framework for preventing losses associated with model risk is demonstrated through case studies. Second, we investigate the ways in which different ways of using and perceiving models within an organisation both lead to different model risks. We identify four distinct model cultures and argue that in conditions of deep model uncertainty, each of those cultures makes a valuable contribution to model risk governance. Thus, the space of legitimate challenges to models is expanded, such that, in addition to a technical critique, operational and commercial concerns are also addressed. Third, we discuss through the examples of proxy modelling, longevity risk, and investment advice, common methods and challenges for quantifying model risk. Difficulties arise in mapping model errors to actual financial impact. In the case of irreducible model uncertainty, it is necessary to employ a variety of measurement approaches, based on statistical inference, fitting multiple models, and stress and scenario analysis.

    Keywords:
    Model; Model Risk; Model Error; Model Uncertainty; Risk Culture

  • Considerations of State Pension Age in the UK. 16 March 2015

    Sessional Research Meeting, 16 March 2015, Edinburgh. Paper presented by Rob Hammond, Steven Baxter and Mark Sadler.

    Abstract:
    State Pension Age (SPA) is an issue of topical interest in the UK at the time of writing due to the Government’s plans to link SPA at future dates to estimates of the projected longevity of the population. This paper considers the background to the current position, how the linkage is proposed to work, other factors that may need to be considered and some changes in the proposed State pension regime that could be alternatives to, or complementary with, a changing SPA.

    Keywords:
    State Pension Age; State pensions; Life expectancy;

  • The link between classical reserving and granular reserving through double chain ladder and its extensions. 2 February 2015

    Sessional Research Meeting, 2 February 2015, Staple Inn, London. Paper presented by Jens Nielson, Professor of Actuarial Science, Cass Business School

  • Forecasting death rates using exogenous determinants. 26 January 2015

    Sessional Research Meeting, 26 January 2015. Paper presented to the Society of Northern Ireland Actuaries (SoNIA) by Declan French and Colin O'Hare.

  • Towards the optimal reserving process. 19 January 2015

    Sessional Research Meeting, 19 January 2015. Paper by the Toward the Optimal Reserving Process (TORP) Working Party presented by Neil Bruce

    Abstract:
    Our principal focus in this paper is on ways that a Fast Close process (or indeed any reserving process) can be structured to maximise the value added within the process given the time and resource available. This builds on the use of actual vs. expected techniques investigated in our previous paper, and also looks at forces external to the reserving function that may derail smooth progress. We highlight a number of practical ways that the balance can be restored in favour of adding value rather than crunching numbers. This paper forms the second in the TORP series.

    Keywords:
    Fast Close, TORP, Reserving, Actual vs. expected

  • The benefits and challenges for insurers considering non-traditional investments. 19 January 2015

    Sessional Research Meeting, 19 January 2015, Staple Inn, London. Paper by the Non-traditional Investments Working Party

    Abstract:
    Life insurers have historically relied upon investment markets as a key source of profit and crucially have been able to do this whilst embarking on relatively ‘vanilla’ investment strategies. In the current low yield environment, broadening their investment horizons is critical to maintaining profitability.

    This paper summarises some relevant external literature and the working party’s own research in understanding the potential benefits and pitfalls for insurers seeking to invest in non-traditional assets.

    The objective of this paper is to help educate and promote understanding by all (the many) relevant parties. In doing so, we hope to help organisations to achieve some further economic success for the ultimate benefit of society.

    Whilst this paper has primarily been written from the perspective of a life insurer, we hope it will be of interest to a much wider audience. Many of the asset classes considered here are relevant to general insurers, pension funds and the wider capital markets.

    It is very important to note that the paper does not contain investment advice and the analysis represents the views of the individuals and the working party and not the companies which they represent or the Profession. The paper does not make any comment as to the suitability (or otherwise) of specific investments for particular investors.

    Keywords:
    Non-traditional assets, alternative assets, investments, ALM, loans, infrastructure, PPP, PFI, social housing, real estate, residential mortgage, commercial mortgage, ground rent, student accommodation, asset backed securities, ABS, RMBS, CMBS, aircraft lease, emerging markets debt, high yield, private placement, private equity, hedge fund, insurance linked security, ILS.

  • Longevity basis risk methodology. 8 December 2014

    Executive Summary:
    This paper summarises the work to date of Cass Business School and Hymans Robertson LLP in relation to assessing longevity basis risk. This work was commissioned by the Longevity Basis Risk Working Group (LBRWG) and funded by the Life and Longevity Markets Association (LLMA) and Institute and Faculty of Actuaries (IFoA). The LBRWG was formed by the LLMA and IFoA in December 2011 with a remit to investigate how to provide a market-friendly means of analysing longevity basis risk.

    The key outputs of this work are:

    • for modelling books which are ‘self-credible’ (i.e. a large number of lives & sufficient back history) a shortlist of ‘best of breed’ 2 –population models (specifically the M7-M5 model, or in some situations the CAE+Cohorts model);
    • for modelling the majority of books which are not self-credible, an alternative, easy to apply “characterisation approach”;
    • a clear decision tree framework to aid the selection of an appropriate methodology for assessing basis risk from those mentioned above;
    • a clear recognition of the importance of choice of time series underpinning any 2- (or multi-) population model

    These outputs are backed up by an extensive body of research, including:

    • a review of how trends have varied between different (sub) populations in the past, covering both the highlights of existing literature and additional research based on the Club Vita dataset of UK occupational pension schemes;
    • a review, classification and general formulation of two-population models that could be considered for modelling longevity basis risk;
    • a thorough and systematic assessment of candidate two-population mortality models to identify those which provide the most suitable balance between flexibility, simplicity, parsimony, goodness-of-fit to data and robustness;
    • case studies, review of key challenges and consideration of practical issues in relation to both the M7-M5 model and the characterisation approach.

    Keywords:

  • The effect of model uncertainty on the pricing of critical illness insurance. 24 November 2014

    Sessional Research Meeting, 18 November 2014. Paper presented by George Streftaris

  • Quantitative approaches to model uncertainty. 29 October 2014

    Sessional Research Meeting, 29 October 2014, at Staple Inn Hall, London. Presented by Andreas Tsanakas, Cass Business School, City University, and Andrew Smith, Deloitte

  • Adverse selection in a start-up long-term care insurance market. 22 September 2014

    Sessional Research Meeting, 22 September 2014. Les Mayhew, Cass Business School.

Contact Details

If you have any questions or wish to discuss any aspect of our funding for member-led research please contact the Research and Knowledge Team:

arc@actuaries.org.uk

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Events calendar

  • IFoA & PRI Webinar: TCFD – leaders and challenges

    Online webinar
    2 September 2019

    Spaces available

    In collaboration with the Institute and Faculty of Actuaries, the Principles of Responsible Investment is delighted to host this webinar discussing the response to the TCFD’s recommendations two years on from their publication. The webinar will feature new analysis of the 591 investors representing $45 trillion who responded to PRI’s 2019 climate indicators, insights from the past Chair of the IFoA’s Resource and Environment Board as well as an investor case study of implementation in practice from Aviva. 

  • SIAS Event: Climate Zero to Climate Hero

    Staple Inn Hall, High Holborn, London, WC1V 7QJ
    3 September 2019

    Spaces available

    An introductory session to help you get ahead with climate change.

    • Science, terminology and initiatives: handy facts to keep in your back pocket 
    • Getting your point across: how to influence people and avoid common traps and pitfalls
    • Taking action: what are actuaries expected to do...and what are we actually doing?
  • KSS event – The Regulatory Perspective

    Deloitte Saltire Court 20 Castle Terrace Edinburgh EH1 2EG
    5 September 2019

    Spaces available

    This KSS talk, presented by the FCA Head of Department in Scotland, will focus on the following 3 main areas:

    • FCA business plan priorities
    • The future of regulation
    • FCA Engagement in Scotland
  • Professional Skills Training session (Jointly held with China Life)

    China Life Insurance, Beijing •  China Life Shanghai Office • China Life Shenzhen Office  
    6 September 2019

    Spaces available

    Friday, 6 September, Beijing Local Time (CST) 14.00-16.30; British Summer Time (BST) 07.00-9.30

    The IFoA Beijing Office and China Life are pleased to be co-hosting a Professional Skills Training (PST) session in Beijing, Shanghai and Shenzhen on Friday, 6 September. Wen Li (FIA), the IFoA Lead Representative in China and East Asia, will lead the PST presentation and discussion on ‘Getting it right!’.

    The main venue will be in Beijing. Members in Shanghai and Shenzhen can join the interaction with Beijing via video conference at China Life’s regional venues. (see full details below)

  • Spaces available

    The actuarial profession has much to offer the world of banking. In this second webinar on opportunities for actuaries in banking we have two actuaries sharing their experience. They will talk about the opportunities there are in banking; describing the actuarial aspects of the work they do, the roles they see for actuaries and the skills actuaries can bring to the banking industry. They will share their experiences of how they got into banking as well as give their thoughts on how actuaries can enter the banking profession.

  • KSS event – The Future of the Actuarial Profession with Alan Watson

    Willis Towers Watson 2 Lochrin Square, 96 Fountainbridge, Edinburgh EH3 9QA
    23 September 2019

    Spaces available

    This KSS talk will explore how the Actuarial Profession is changing by looking at the past, the current and the future; considering what will be the key issues impacting the Profession over the next 20 years and why this will be different from today. Why will areas like data science be important?  What does the future hold for reserved roles? What impact will the Profession have on other professionals?  And much more!

  • GIRO Conference 2019

    EICC, The Exchange, 150 Morrison St, Edinburgh EH3 8EE
    24-26 September 2019
    Spaces available

    GIRO is attended annually by over 800 delegates and speakers who are keen to discuss key topics such as Pricing, Reserving, Modelling and the future of the insurance industry. GIRO 2018 was a huge success and we have opened bookings early for what we hope will be another brilliant conference at the EICC in Edinburgh this year. 

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  • Chief Actuaries and Senior Life Actuaries Workshop 2019

    Staple Inn Hall High Holborn London WC1V 7QJ
    2 October 2019

    Spaces available

    This workshop, now in its sixth year, is aimed at senior actuaries working in life insurance - predominantly Chief Actuaries, but also Reviewing Actuaries and others working in risk and financial reporting. It will provide seven hours of relevant CPD.

  • The Future of the Actuarial Profession

    Staple Inn Hall, High Holborn London WC1V 7QJ
    3 October 2019

    Fully booked.

     

    Three actuaries – and CEOs – discuss their views on how the business world is changing and what that might mean for actuaries in the future.

  • Spaces available

    Have you ever thought about working in wider fields? Would you like to play a role in the fight against climate change to make the planet better? 

    It can be difficult to do this - but seeing an example you can follow can make it more realistic. In this ‘green’ case study a template is outlined to show how actuaries can apply their skills more broadly - and in doing so, to make a difference.

  • RSS/IFoA Data Science Ethics: the role of practitioners

    Royal Statistical Society, 12 Errol St, London EC1Y 8LX
    7 October 2019

    Spaces available

    The Institute and Faculty of Actuaries and the Royal Statistical Society have worked together to develop joint ethics guidance on data science. This is the culmination of an 18 month programme of practitioner led work. 
     
    Join us for the launch of this new guidance, with a high-level panel discussion which will explore the role of data science practitioners and professional bodies in data ethics. 

  • KSS Event – GAD: the 100 year life (Edinburgh)

    KPMG  Saltire Court 20 Castle Terrace Edinburgh EH1 2EG
    22 October 2019

    Spaces available

    The Government Actuary’s Department (GAD) marks its centenary this year. George Russell, formerly Deputy Government Actuary, who currently heads up GAD’s Edinburgh office, leading on GAD support to the devolved administrations in Scotland and Northern Ireland, will outline GAD’s development over that period and its range of work today. Having just “celebrated” his 25th anniversary of joining GAD, George will also reflect on some of the challenges and opportunities of advising at the interface of the actuarial and the political worlds.

  • KSS event – GAD: the 100 year life (Glasgow)

    Barnett Waddingham 163 West George Street, Glasgow, G2 2JJ
    24 October 2019

    Spaces available

    The Government Actuary’s Department (GAD) marks its centenary this year. George Russell, formerly Deputy Government Actuary, who currently heads up GAD’s Edinburgh office, leading on GAD support to the devolved administrations in Scotland and Northern Ireland, will outline GAD’s development over that period and its range of work today. Having just “celebrated” his 25th anniversary of joining GAD, George will also reflect on some of the challenges and opportunities of advising at the interface of the actuarial and the political worlds.

  • Sessional Meeting - Autonomous Vehicles and impacts on the wider insurance industry

    Staple Inn, High Holborn, London WC1V 7QJ         
    28 October 2019

    Spaces available

    The Institute and Faculty of Actuaries is running a sessional meeting on autonomous vehicles on 28th October.  The session will showcase the work of the IFoA “Autonomous Vehicles” working party alongside a number of expert external presenters. 

  • ARC Event: Beyond Proportional Hazards

    Staple Inn Hall, High Holborn, London, WC1V 7QJ
    30 October 2019

    Spaces available

    ARC Event: Beyond Proportional Hazards: Statistical methods for assessment of the impact of medical advances and health interventions on longevity and population projections.

    This workshop is being delivered by the Actuarial Research Centre’s (ARC) ‘Big Health and Actuarial Data’ Research Programme.

  • Hot Topics in Health and Care: Networking and Drinks

    Staple Inn, 4 High Holborn, London WC1V 6DR
    4 November 2019

    Spaces available

    This evening will feature two new cases studies that highlight the implications for insurers of issues impacting on health and mortality for life, pensions, and health and care products; Impactability modelling: a worked example in Type II diabetes presented by Josephine Robertson, and Seasonal Mortality in England and Wales 1993-2016 presented by Mary Hall, Dublin City University.

  • The challenges for AI in Autonomous driving – Professor Andrew Blake

    Royal College of Physicians of Edinburgh, 11 Queen Street, Edinburgh, EH2 1JQ
    11 November 2019

    Spaces available

    In conjunction with the Scottish Board and supporting the IFoA’s focus on data science.

    The IFoA’s Scottish Board have arranged for UK pioneer in Computer Vision and Machine Intelligence, Professor Andrew Blake to speak to delegates on the subject of AI in Autonomous driving. This lecture will focus on safety-critical operation and the computation of risk.  

  • Autumn Pension Seminar

    Grand Connaught Rooms, 61-65 Great Queen St, Holborn, London WC2B 5DA
    13 November 2019

    Spaces available

    Join us for this brand new seminar that brings together our Current Issues in Pensions, Pensions and the Law, and Investment for Pension Actuaries events. The seminar builds on the IFoA’s Annual Pension Conference with sessions covering CDC, TPR’s code of practice, investments, legal updates and Professional Skills Training with a focus on interactive discussion throughout.

    • KSS event: How is Scotland’s population changing and what are the implications?

      Barnett Waddingham, 163 West George Street, Glasgow, G2 2JJ
      14 November 2019

      Spaces available

      The National Records of Scotland (NRS) collects, preserves and produces information about Scotland's people and history to inform current and future generations - work that underpins the fabric of Scottish society and tells the story of our nation. This KSS talk will explore the following and other areas impacting Scotland’s changing population, and assess the potential implications of the changes:

      • population statistics
      • life expectancy
      • changes in age structure
      • birth and death rates, including causes of death statistics.
    • Life Conference 2019

      The Convention Centre Dublin, Spencer Dock, North Wall Quay, Dublin 1
      20-22 November 2019
      Spaces available

      The Life Conference is the premier event for professionals interested in life insurance.  Offering a wide range of workshops and plenary sessions it’s the perfect opportunity to discover what’s hot and current in life insurance ensuring you get up to date on the latest thinking and innovation whilst meeting and exchanging ideas with a broad range of professionals.

    • Autumn Lecture 2019, London - Rt Hon Nicky Morgan MP

      Lincoln's Inn The Treasury Office, London WC2A 3TL
      2 December 2019

      Fully booked.

      The IFoA is pleased to announce that this year’s Autumn Lecture will feature the Rt Hon Nicky Morgan MP as its guest speaker.  Nicky has previously served as Financial Secretary to the Treasury and Minister for Women. She now chairs the Treasury Select Committee whose remit is to examine the expenditure, administration and policy of HM Treasury, along with all of its agencies and associated bodies.

    • Autumn Lecture 2019: Live Streaming

      Webinar 
      2 December 2019

      Spaces available

      Watch the live stream of this year's Autumn Lecture with guest speaker Rt Hon Nicky Morgan MP. 

    • Behavioural Finance Research Launch- 14 January 2020

      Staple Inn, 4 High Holborn, Holborn, London WC1V 6DR
      14 January 2020

      Spaces available

      We are delighted to announce the launch of the findings from our ARC funded Behavioural Finance research with a special evening event at Staple Inn on Tuesday14th January 2020. Entitled Behavioural Aspects of Institutional Investment Decision-Making, this research programme is being delivered by City, University of London, Leeds University Business School and Ipsos.

    • Sessional: Impact of E-cigarettes Working Party

      Royal College of Physicians, 9 Queen St, Edinburgh EH2 1JQ
      24 February 2020

      Spaces available

      This sessional meeting will be of direct interest to actuaries and others working in the in the Health and Care, Life or Pensions sectors or indeed an actuaries with an interest in morbidity or mortality.