Journal of the Staple Inn Actuarial Society最新文献

{"title":"Statistical Methods for Actuaries.","authors":"P. Carroll","doi":"10.1017/S0020269X00010161","DOIUrl":"https://doi.org/10.1017/S0020269X00010161","url":null,"abstract":"STATISTICAL METHODS are central to actuarial investigation. This emphasis has increased with the move away from a primary concern with life and pension matters, where the focus is on deterministic models. The increasing pressure on available space in the professional examination syllabus means that it is important that an appropriate selection is made from the available statistical methodology. Unfortunately actuarial problems are characterized by skewed distributions, correlated errors, situations which call for multiplicative rather than additive models, and a host of other 'non-standard' features. The paper comprises a wide ranging review of modern statistical methodology and an appraisal of the value of each method for actuarial investigations. An extension of the basic techniques already central to actuarial training is advocated. In particular the summary and display of data including multivariate data, the use of data transformations, distribution-free (non-parametric) inference, the use of a wider range of distributions, in particular the 'stable-law' family, and a greater appreciation of the secondary use of data from government and market research sources. All this is possible with only a limited extension of the calculus and algebra requirements for students and by exploiting modern computing resources. The paper then deals in detail with the major subject areas which should be considered part of professional or post-qualifying training. Multivariate methods have 'come alive' by virtue of computing power. No other body concerned with large data bases has ignored them. The uses of multiple regression, principal components, factor analysis, cluster analysis, multi-dimensional scaling, correspondence analysis, canonical variate analysis and discriminant function analysis are outlined. Examples of the use of each technique are described. Survival analysis has developed with increasing rapidity since Cox's 1972 paper on Regression Models and Life Tables. The principles of survival analysis are entirely consistent with traditional actuarial methods. The straightforward methods of estimating survival distributions for individual level data and the non-parametric testing of hypotheses are ideally suited to the examination syllabus. The full Cox model with its estimation difficulties is described in detail. An appreciation of these methods is essential for the preparation of life underwriting manuals using the recent literature in medical statistics. The whole","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"112 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1987-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115586689","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":"Leveraged Leasing: An Example of the use of Investment Appraisal Techniques.","authors":"M. Sherris","doi":"10.1017/S0020269X00010094","DOIUrl":"https://doi.org/10.1017/S0020269X00010094","url":null,"abstract":"The origins of leveraged leasing are the trust arrangements used in the 1870's in the United States of America by railroad companies to finance the acquisition of rolling stock (Fritch, 1977, p. 98). A trust was established to purchase the equipment. The trustee issued trust certificates to investors who provided the funds for the equipment acquisition. The trust certificates provided for the repayment of principal and interest at specified dates. The trust then leased the equipment to the railroad company and the rental paid by the railroad company was used to repay the trust certificates as they fell due. These arrangements were in reality conditional sale agreements and not leveraged leases. Leveraged leasing as we know it today was introduced in the U.S.A in 1963 after the Comptroller of the Currency permitted national and state chartered banks to own and lease personal property (Weston, 1983, p. 271). The arrangement was used initially by railroad and airline companies to finance the acquisition of large items of capital equipment. Companies within capital intensive industries could not absorb the tax benefits of ownership whereas the banks could. Leveraged leasing meant that the banks owned the equipment and claimed depreciation and other tax deductions associated with ownership. These benefits were passed onto the railroad companies through lower rentals which reflected the value of these taxation benefits.","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1987-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121965840","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 Ramble through the Actuarial Countryside: The Collected Papers, Essays and Speeches of Frank Mitchell Redington. Edited by Chamberlin Gary. (Institute of Actuaries Students' Society, London, 1986.)","authors":"D. Knox","doi":"10.1017/S0020269X00010203","DOIUrl":"https://doi.org/10.1017/S0020269X00010203","url":null,"abstract":"","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1987-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126590290","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":"Annual Report and Accounts 1985–86.","authors":"R. Brown","doi":"10.1017/S0020269X00010227","DOIUrl":"https://doi.org/10.1017/S0020269X00010227","url":null,"abstract":"","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1987-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125444094","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":"PENSION FUND PERFORMANCE MEASUREMENT —THE WAY AHEAD?","authors":"T. Gardener","doi":"10.1017/S0020269X00010124","DOIUrl":"https://doi.org/10.1017/S0020269X00010124","url":null,"abstract":"","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1987-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117042524","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 Pension Scheme Wind-up: Legitimate Act or Smash-and-Grab?.","authors":"S. Southall, J. Punter","doi":"10.1017/S0020269X00010070","DOIUrl":"https://doi.org/10.1017/S0020269X00010070","url":null,"abstract":"The last paper on the winding-up of pension schemes was presented to the Institute by Gilley in March 1972. Since that time it has justifiably been the standard work on the subject and it has only recently been withdrawn from the Institute's examination syllabus. This paper is an attempt to up-date Gilley's work and to describe a complex and practical field of actuarial operation. Since 1972 there has been a substantial amount of pensions legislation which has inevitably changed the detailed procedures involved in a pension scheme dissolution. Nevertheless, many of the general considerations and ideas expressed in Gilley's paper are still valid today.","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1987-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129747526","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":"PENSION SCHEMES AND EARLY RETIREMENT","authors":"D. Parsons","doi":"10.1017/S0020269X00010112","DOIUrl":"https://doi.org/10.1017/S0020269X00010112","url":null,"abstract":"The ultimate funding objective in relation to a pension scheme is the accumulation of sufficient assets to pay the benefits promised under the provisions of the scheme as they arise. There are many funding methods available for use in meeting the objective but, until recently, the one most used by U.K. consultants has been said to be the Aggregate Method (2). This section is intended to provide some insight into the practical effects of using this method, particularly in relation to unanticipated withdrawals from service.","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"84 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1987-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122741381","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":"FURTHER THOUGHTS ON LONG-TERM RATES OF INTEREST IN THE VALUATION OF A PENSION FUND","authors":"C. Daykin","doi":"10.1017/S0020269X00010100","DOIUrl":"https://doi.org/10.1017/S0020269X00010100","url":null,"abstract":"Daykin (1976) suggested a method of evaluating the rate of return achieved over a past period which did not depend directly on the market value at the end of the period in question. This was intended to avoid the volatility in the results of an assessment based on market values and sought to give a more reliable indication of the underlying rate of return which had been achieved. If the general problem in relation to equities is considered, an investment of 1 at the beginning of year M will roll up with reinvestment of dividends to give an accumulated investment, X N , at the end of year N , in terms of ‘units’ in an index P , of: (1)","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"2012 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1987-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128208702","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":"Annual Report and Accounts 1984–85","authors":"R. P. Burrows","doi":"10.1017/S0020269X00010045","DOIUrl":"https://doi.org/10.1017/S0020269X00010045","url":null,"abstract":"","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1986-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116829207","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":"Extended Warranty Insurance","authors":"J. Taylor","doi":"10.1017/S0020269X00009920","DOIUrl":"https://doi.org/10.1017/S0020269X00009920","url":null,"abstract":"Extended warranty insurance for consumer durables was introduced into the United Kingdom as recently as 1981. Since then there has been a major expansion of this class of business, much of which has still to reach the later periods of exposure with, as yet, unknown levels of claims experience. Considerable future liabilities could therefore be involved, with implications both for reserving and rate-setting. The business has already caused problems for certain insurers and agencies, and has attracted an amount of adverse publicity amongst the public. Many people would argue that this should be relatively simple business; in point of fact it is surprisingly complex and poses a number of problems of particular interest to actuaries and statisticians. This paper therefore aims to describe the basic features of this type of business, which will probably be unfamiliar to the majority of readers, and to highlight the principal problems and dangers involved for the insurers. It does not set out to solve all these problems. At this stage, as a learned judge has recently suggested, this may be better left to the astrologers!","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1986-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125750782","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}