British Actuarial Journal最新文献

{"title":"The importance of actuarial management in insurance business decision-making in the twenty-first century","authors":"O. Espinosa, A. Zarruk","doi":"10.1017/S1357321721000155","DOIUrl":"https://doi.org/10.1017/S1357321721000155","url":null,"abstract":"Abstract This study aims to carry out and document a systematic analysis of the literature on the importance of actuarial management in insurance managerial decision-making in the twenty-first century. After a short introduction to the business context, the paper presents an analysis of a rigorous review of the literature published between the years 2000 and 2020, which highlights the benefits and challenges of the formal application of various risk management tools. The following topics are emphasized: (i) actuarial cycle control and uncertainty management, (ii) quantitative strategic risk framework and financial modelling, and (iii) enterprise risk management with a value-based approach. This work will help future researchers to gain a better understanding of, and explicitly account for, the different contributions and benefits of actuarial management in the context of managerial decision-making in an organisation.","PeriodicalId":37177,"journal":{"name":"British Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48049320","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A value-at-risk approach to mis-estimation risk","authors":"S. Richards","doi":"10.1017/S1357321721000131","DOIUrl":"https://doi.org/10.1017/S1357321721000131","url":null,"abstract":"Abstract Parametric mortality models permit detailed analysis of risk factors for actuarial work. However, finite data volumes lead to uncertainty over parameter estimates, which in turn gives rise to mis-estimation risk of financial liabilities. Mis-estimation risk can be assessed on a run-off basis by valuing the liabilities with alternative parameter vectors consistent with the covariance matrix. This run-off approach is especially suitable for tasks like pricing portfolio transactions, such as bulk annuities, longevity swaps or reinsurance treaties. However, a run-off approach does not fully meet the requirements of regulatory regimes that view capital requirements through the prism of a finite horizon, such as Solvency II’s one-year approach. This paper presents a methodology for viewing mis-estimation risk over a fixed time frame, and results are given for a specimen portfolio. As expected, we find that time-limited mis-estimation capital requirements increase as the horizon is lengthened or the discount rate is reduced. However, we find that much of the so-called mis-estimation risk in a one-year value-at-risk assessment can actually be driven by idiosyncratic variation, rather than parameter uncertainty. This counter-intuitive result stems from trying to view a long-term risk through a short-term window. As a result, value-at-risk mis-estimation reserves are strongly correlated with idiosyncratic risk. We also find that parsimonious models tend to produce lower mis-estimation risk than less-parsimonious ones.","PeriodicalId":37177,"journal":{"name":"British Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49437793","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Long-term stochastic risk models: the sixth generation of modern actuarial models?","authors":"","doi":"10.1017/S1357321721000143","DOIUrl":"https://doi.org/10.1017/S1357321721000143","url":null,"abstract":"Monday 7 June 2021 The Moderator (Mr K. Jennings, F.I.A.): Hello everyone and welcome to our session today, “Long-term stochastic risk models: the sixth generation of modern actuarial models?” My name is Keith Jennings and I am the chair of the Institute and Faculty of Actuaries (IFoA) Risk Management Board. I have the pleasure of chairing our session today. Our format today is a presentation followed by questions. Please submit your questions during the session using the chat functionality and we can cover them following the talk. Our speaker today is Bill Curry. Bill (Curry) is a Senior Risk Management Actuary responsible for capital oversight and resilience testing at LV. He has over twenty years’ corporate and consulting experience helping firms to better understand their risk exposures through changing times. Bill (Curry) is passionate about the development of new modelling solutions and their application to give real business insights. And with that, I will pass over to Bill (Curry) for the session. Mr W. R. Curry, F.I.A.: Thanks very much, Keith (Jennings), and welcome everyone to my presentation today. Initially, I would like to thank those who helped me with this presentation. I have had a lot of support from my colleagues at LV, from those at the IFoA and from the peer reviewers. Without further ado, we will look at what is on the agenda today. We will talk about the history of some of the actuarial models that are being used, some of the market practice under Solvency II, some of the limitations of that practice. We will go on to look at how some stochastic long-term models can improve on those areas and look at some practical examples. The presentation is quite focused on UK life assurance, but, for those of you who might be working in other areas, I think a lot of the ideas and techniques are still quite relevant. I will start off by talking about the history of actuarial models. First of all, I will discuss the kind of models that are based on commutation functions, formula tables and the use of manual calculations. These kinds of models have been around for several hundred years. Before this generation of models, there were perhaps the kind of models where people were just sharing costs for funerals, but it is really the timeline in Figure 1 that we are looking at here. This shows the real first generation of modern, scientific models. The timeline shows several important points. We have the development of the first life table in 1662, and the first policy valuation in 1762. The formation of the Equitable Life gave rise to a lot of modern actuarial theory. The first scientifically produced reserves also came from that time. So, this is the old approach that has been in place for several hundred years. I was working on models taking this kind of approach back in about 2002, and it represents the main approach that has been used since actuarial modelling started. The next generation is about the advent of computer technology into lif","PeriodicalId":37177,"journal":{"name":"British Actuarial Journal","volume":"26 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42109955","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Resource and environment sessional webinar – Climate scenario analysis","authors":"","doi":"10.1017/S135732172100012X","DOIUrl":"https://doi.org/10.1017/S135732172100012X","url":null,"abstract":"Today s of sessional meeting is “ A Top-down Approach for Exploring the Economic and Financial Market Impact of Climate Change ” . and I the incoming IFoA, past chair the Resource Board, and a member of the working party the two papers we discussing today.","PeriodicalId":37177,"journal":{"name":"British Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49357673","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Autonomous vehicles and impacts of the wider insurance industry","authors":"","doi":"10.1017/s1357321720000161","DOIUrl":"https://doi.org/10.1017/s1357321720000161","url":null,"abstract":"","PeriodicalId":37177,"journal":{"name":"British Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48569928","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A learning society by Dr Louise Pryor: Institute and Faculty of Actuaries Presidential Address 2021","authors":"","doi":"10.1017/s135732172100009x","DOIUrl":"https://doi.org/10.1017/s135732172100009x","url":null,"abstract":"","PeriodicalId":37177,"journal":{"name":"British Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44196049","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Long-term stochastic risk models: the sixth generation of modern actuarial models?","authors":"Bill Curry","doi":"10.1017/S1357321721000052","DOIUrl":"https://doi.org/10.1017/S1357321721000052","url":null,"abstract":"Abstract This paper discusses the use of modelling techniques for the purpose of risk management within life insurers. The key theme of the paper is that life insurance is long-term business and carries with it long-term risks, yet much of modern actuarial risk management is focussed on short-term modelling approaches. These typically include the use of copula simulation models within a 1-year Value-at-Risk (VaR) framework. The paper discusses the limitations inherent within the techniques currently used in the UK and discusses how the focus of the next generation of actuarial models may be on long-term stochastic projections. The scope of the paper includes a discussion of how existing techniques, together with new approaches, may be used to develop such models and the benefits this can bring. The paper concludes with a practical example of how a long-term stochastic risk model may be implemented.","PeriodicalId":37177,"journal":{"name":"British Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1017/S1357321721000052","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46951386","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Asset–liability modelling in the quantum era","authors":"T. Berry, J. Sharpe","doi":"10.1017/S1357321721000076","DOIUrl":"https://doi.org/10.1017/S1357321721000076","url":null,"abstract":"Abstract This paper introduces and demonstrates the use of quantum computers for asset–liability management (ALM). A summary of historical and current practices in ALM used by actuaries is given showing how the challenges have previously been met. We give an insight into what ALM may be like in the immediate future demonstrating how quantum computers can be used for ALM. A quantum algorithm for optimising ALM calculations is presented and tested using a quantum computer. We conclude that the discovery of the strange world of quantum mechanics has the potential to create investment management efficiencies. This in turn may lead to lower capital requirements for shareholders and lower premiums and higher insured retirement incomes for policyholders.","PeriodicalId":37177,"journal":{"name":"British Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1017/S1357321721000076","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47827434","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"IFRS 17 contractual service: a life insurance perspective","authors":"W. Yousuf, N. Mirin","doi":"10.1017/S1357321721000040","DOIUrl":"https://doi.org/10.1017/S1357321721000040","url":null,"abstract":"The Moderator (Ms O. N. Gaughan, F.I.A.): This is a sessional event run by the Institute and Faculty of Actuaries (IFoA) on the topic of the “IFRS 17 Contractual Service Margin: a Life Insurance Perspective”. The panel members are Wijdan Yousuf (Aon – UK); Natalia Mirin (Mazars – UK); Brendon Thorpe (Discovery Life – South Africa); Joanna Stansfield (Lloyds Banking Group – UK); Kruti Malde (ICICI Prudential Life – India); Rob Walton (PwC – UK); and Leong Tan (Swiss Re – Australia). I am Olive Gaughan (Mazars – Ireland). I have been a member of the IFoA since 1990, and I feel privileged to have been invited to preside over this event today. I have been involved in IFRS 17 for a few years now and have been involved with a number of panels, both asking questions and answering questions. The working party was set up in the summer of 2018 (around a year after IFRS 17 was first published) with work being undertaken in the context of a period where the standard had not bedded down. Indeed, it is only in recent months that we have a final version of the standard, but work had to begin as we knew what most of it was going to look like. The working party came together to analyse the standard, look at methodologies to think about what actuaries need to know, to think about it from a technical perspective, and produce some papers to benefit all of us. The working party has produced a lot of content so far, particularly LinkedIn articles. The culmination of all those efforts is today’s sessional paper.","PeriodicalId":37177,"journal":{"name":"British Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1017/S1357321721000040","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45734680","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Money, Knowledge, and Power: Financial Literacy Working Party","authors":"","doi":"10.1017/S1357321721000027","DOIUrl":"https://doi.org/10.1017/S1357321721000027","url":null,"abstract":"Institute and (IFoA) Sessional Meeting where the Financial Literacy Working Party will be presenting. and a IFoA Life Board and the Life Lifelong Learning Committee. I will be chairing today's meeting.","PeriodicalId":37177,"journal":{"name":"British Actuarial Journal","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1017/S1357321721000027","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46896789","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}