The procyclicality project was a joint venture between the IFoA and the Bank of England, led on our side by Ashok Gupta and Ronnie Bowie

It looked at the policy issues arising from the trend to short term investment behaviour by pension funds and life companies, lower equity holdings reflecting reduced willingness to take on risk, and procyclical investing that exacerbates market cycles.  The IFoA had a successful seminar on the subject in September 2015 which led to potential areas for future IFoA-sponsored research.  It identified three topics: long-term investment mandates, risk measures and countercyclical capital buffers with a Board leading each one.  The RM Board is overseeing the topic of “Risk Measures”.

The three strands coming out of the discussions are:

  • Risk Measures Working Party (RM Board)
  • Procyclicality of Life Insurers’ Capital Requirements – Countercyclical Capital Buffers Working Party (Life Board)
  • Long term investment mandates in insurance and pensions industry Working Party (F&I Board)

Key Objectives

The working party is focusing on:

  • Long term vs short term investors/investing
  • Investment risk vs market risk
  • Approaches to measurement of risk (practical applications)

The short term agenda driven by regulation such as the Solvency II framework does not wholly support the economic objectives of an insurer: to provide appropriate, affordable products which meet customers’ needs and deliver value to its stakeholders, whilst positively contributing to capital formation and growth investment in the real economy.

Working party vacancies

The Institute and Faculty of Actuaries (IFoA) is seeking to appoint a Research Assistant for a short-term project for a six week period from November to end of December 2018. This is suitable for qualified members of the IFoA and for suitably qualified non-members.

Find out more about this volunteer vacancy

Evolution of alternative approaches to risk measurement

The Risk Measures working party aims to help inform discussion of alternative risk measurement approaches and their practical usefulness, considering evolving global standards, economic run-off approaches, short-term market volatility versus investment horizon shortfall risk, and point in time balance sheets versus the ability to meet long-term and illiquid liabilities. Potential long-term shareholder value and policyholder returns are central to the discussion, as are behavioural incentives such as lock-ins, sunk costs, implementation costs and vested interests.

Outputs

 

 

Chair: Belinda Hue
Membership: 5
Established: 2016

 

Related documents

Contact Details

If you want more information about this research working party please contact the Communities Team.

professional.communities@actuaries.org.uk

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Events calendar

  • Spaces available

    A panel discussion with investment representatives discussing the impact of investment on climate change and vice versa.

    This event is part of The Road to Glasgow: IFoA’s Sustainability Thought Leadership Series which will provide a platform for prominent contributors so that our members and others can understand the perspectives of a wide range of parties interested in the climate debate.

  • Spaces available

    Climate change is one of the greatest risks facing our world today. Addressing it will require multi-faceted solutions. Through this panel session, we will explore the different levers that can be used to meet net-zero targets including climate science and data, government engagement, and mobilising green finance.

  • Spaces available

    How governments and societies collectively respond to the climate crisis is increasingly being analysed through the lens of intergenerational fairness. Our expert panel will assess and explore the extent to which inter-generous fairness is being considered in climate policies, the lessons from those countries who are leading the way on fairness and justice in climate interventions, and more.

  • The Growth Mindset for Actuaries

    13 October 2021 - 8 December 2021

    Spaces available

    This practical course is aimed at actuaries at any stage of their career who want to develop their own growth mindset and apply it to their work setting and personal or professional lifelong learning. The content of the course builds on the lecture given by Dr Helen Wright on Growth Mindset as part of the President’s 2021 Lecture series, and will be delivered over a period of 2 months, from mid-October to early December.

  • Spaces available

    The climate crisis and the degradation of our planet will affect societies everywhere. How we address these threats will require solutions that transcend borders. As a global profession, the actuarial community is well-placed to consider and propose effective risk management solutions to help manage the climate crisis.

  • Spaces available

    Content will be aimed at all actuaries looking to understand the issues surrounding mental health in insurance and in particular those looking to ensure products and processes widen access for, and are most useful to, those experiencing periods of poor mental health.