South African Actuarial Journal最新文献

{"title":"Guest editorial: Ringing the changes: Ecological economics and actuarial science","authors":"R. Thomson","doi":"10.4314/saaj.v18i1.a","DOIUrl":"https://doi.org/10.4314/saaj.v18i1.a","url":null,"abstract":"","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2018-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45958417","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":"Extending the normal retirement age in occupational defined contribution funds in South Africa","authors":"S. Abraham, K. Malherbe, Mbj Carswell","doi":"10.4314/saaj.v18i1","DOIUrl":"https://doi.org/10.4314/saaj.v18i1","url":null,"abstract":"This paper addresses the problems of insufficient retirement savings and increasing longevity through the consideration of extending the retirement age. It is a pilot study of South African employers’ and employees’ perspectives on extending the normal retirement age in occupational retirement funds and the implications thereof. The data used for this paper were collected from two surveys conducted amongst South African employers and employees who are part of occupational retirement funds. The results indicate that most employers appear to have a positive attitude toward older employees, rating positive attributes such as reliability, experience, productivity and loyalty to the firm highly. The most significant factors in predicting whether an employee would be willing to work past the normal retirement age include employees’ expectations with respect to retirement and retirement lifestyle, current age, and whether they believe they will accumulate sufficient savings by their company’s normal retirement age. This study provides a base on which further analysis should be performed to understand whether the occupational sector in South Africa is willing to extend the normal retirement age.Keywords: Retirement; older workers; employers; retirement savings; South Africa","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2018-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42120855","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":"Linear predictor of the discounted renewal aggregate claims with dependent inter-occurrence times","authors":"Franck Adékambi","doi":"10.4314/SAAJ.V18I1.2","DOIUrl":"https://doi.org/10.4314/SAAJ.V18I1.2","url":null,"abstract":"In this paper we derive the first two moments and a linear predictor of the compound discounted renewal aggregate claims when taking into account dependence within the inter-occurrence times. Using specific mixtures of exponential distributions to define the dependence structure between the inter-occurrence times, we compare the accuracy of the proposed linear predictor to the simulated value of that sum.Keywords: Discounted compound renewal aggregate sums; moments; Archimedean copula; random interest rate; linear predictor","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2018-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43362243","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":"Abstracts of recent postgraduate theses and dissertations at South African universities","authors":"R. Rusconi","doi":"10.4314/SAAJ.V18I1.B","DOIUrl":"https://doi.org/10.4314/SAAJ.V18I1.B","url":null,"abstract":"Causal inference on South African home loan take-up rates using propensity scoremethods by C van der MerweThe effectiveness of smoothed bonus portfolios for mitigating investment risk indefined contribution pension funds by C.P. LaueThe use of risk measures and its applications to portfolio optimisation by R Sivnarai","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2018-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44311479","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":"Mortality risks, reinsurance and risk-based supervision","authors":"T. Mourik","doi":"10.4314/saaj.v18i1.1","DOIUrl":"https://doi.org/10.4314/saaj.v18i1.1","url":null,"abstract":"Under risk-based supervision, mortality risks are generally considered proportional to the number of insured lives (N). This assumption is, however, incorrect for volatility mortality risks (this being the key justification for life insurance), as this risk is proportional to √N. The main benefits of reinsurance are consequently not properly reflected in the risk-based capital requirements under risk-based supervision Pillar 1. Similar findings apply to unexpired risks, also called ‘premium risks’, in non-life insurance. In this article, volatility risks shall therefore be thoroughly considered in the formulation and assessment of the insurer’s reinsurance policy, i.e., under risk-based supervision Pillar 2. Keywords: Risk-based supervision; mortality risks; volatility; minimum capital requirements; normal power approximation; reinsurance","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2018-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43619691","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 framework for simulating systemic risk and its application to the South African banking sector","authors":"Nadine Walters, Conrad Beyers, Gusti van Zyl, Rolf van den Heever","doi":"10.4314/SAAJ.V18I1.5","DOIUrl":"https://doi.org/10.4314/SAAJ.V18I1.5","url":null,"abstract":"We present a network-based framework for simulating systemic risk that considers shock propagation in banking systems. In particular, the framework allows the modeller to reflect a top-down framework where a shock to one bank in the system affects the solvency and liquidity position of other banks, through systemic market risks and consequential liquidity strains. We illustrate the framework with an application using South African bank balance sheet data. Spikes in simulated assessments of systemic risk agree closely with spikes in documented subjective assessments of this risk. This indicates that network models can be useful for monitoring systemic risk levels. The model results are sensitive to liquidity risk and market sentiment and therefore the related parameters are important considerations when using a network approach to systemic risk modelling.","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2018-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41904735","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":"Abstracts of articles in other South African journals","authors":"R. Rusconi","doi":"10.4314/saaj.v18i1.c","DOIUrl":"https://doi.org/10.4314/saaj.v18i1.c","url":null,"abstract":"s of articles in other South African journals INVESTMENT ANALYSTS JOURNAL Arendse, J, Muller, C & Ward, M (2018). The winner takes it all: outperformance drives subsequent flow in South African unit trusts. IAJ 47(1), 1–14 The relationship between unit trust (mutual fund) performance and subsequent investment flows into and out of funds has been the focus of many international studies. Emerging markets, which are characterised by higher risk, weaker institutions, volatile economies and fewer participants, provide an attractive opportunity to examine the flow-performance problem in the context of higher arbitrage costs. This study builds on the findings in the literature of the flow-performance relationship and aims to examine in more detail, and to quantify, the inflow into funds which outperform. The flow-performance relationship is important for investment businesses to understand because of the significant implications this has on the profitability of funds. The research applies a portfolio time-series methodology to Morningstar’s South African fund data, using a buy-and-hold analysis. Two unit trust categories are tested, namely General Equity and Multi-asset High Equity funds, and within each category, single manager funds and fund of funds are tested separately. Funds are ranked by their past performance over an optimised 14-month look-back period, and assigned into quintiles. Net flows into each fund in the subsequent quarter are then determined, and the process rolled over on a quarterly basis from 2000 to 2015. We find convincing evidence from an emerging market perspective that equity funds need to perform in the top quintile to attract funds, and observe that relative performance to peers is more important to investors than performance relative to other benchmarks. One additional inference is that the South African unit trust industry is set to face consolidation. Leite, P & Cortez, MC (2018). The performance of European SRI funds investing in bonds and their comparison to conventional funds. IAJ 47(1), 65–79 This paper evaluates the performance of European SRI fixed-income funds domiciled in France and in Germany compared to characteristics-matched conventional funds. Fund","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2018-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47979028","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":"Editorial: Research is a sound investment","authors":"R. Rusconi","doi":"10.4314/SAAJ.V17I1.4","DOIUrl":"https://doi.org/10.4314/SAAJ.V17I1.4","url":null,"abstract":"","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2018-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42571156","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 Closed Form Approximation for Deriving Expected Losses in Excess Loss Life Reinsurance","authors":"Nikolaos Georgiopoulos","doi":"10.2139/SSRN.2619316","DOIUrl":"https://doi.org/10.2139/SSRN.2619316","url":null,"abstract":"This article presents a straightforward approach of approximating expected losses in excess loss life reinsurance using a closed form solution based on Lyapunov's central limit theorem. This approach can be used in the calculation of the best estimate of excess loss life reinsurance liabilities and reinsurance recoverables.","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2018-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47352600","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":"Throughput in the UCT Actuarial Science programme: a microcosm of the profession’s transformation challenge","authors":"D. Strugnell, S. Ranchod","doi":"10.4314/SAAJ.V17I1.3","DOIUrl":"https://doi.org/10.4314/SAAJ.V17I1.3","url":null,"abstract":"We employ survival analysis to investigate throughput rates, and certain demographic and educational factors that exert a significant influence on them, in the Actuarial Science programme at the University of Cape Town. The results contextualise the huge transformation challenge facing the profession, and also point to some of the features of the educational landscape which have the power to overcome them.Keywords: Throughput; transformation; actuarial profession; higher education; University of Cape Town","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2018-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49538114","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}