Journal of the Staple Inn Actuarial Society最新文献

{"title":"IMMUNIZED AND DEDICATED BOND PORTFOLIOS FOR U.K. PENSION FUNDS","authors":"G. M. Morrison","doi":"10.1017/S0020269X00009774","DOIUrl":"https://doi.org/10.1017/S0020269X00009774","url":null,"abstract":"1.1 MOST of the published actuarial literature in the U.K. on immunization has been applied to the valuation of a life office. The authors have shown how the immunization techniques first introduced by Redington (3) in 1952 can be used to match the liability outgo of the office, to a greater or lesser extent. 1.2 The purpose of this paper is to introduce the student to the underlying concept of immunization and to show how it can be utilized to produce a guaranteed rate of return with a high degree of probability, irrespective of the future course of interest rate levels. 1.3 The term to maturity and duration (mean term) of a bond are discussed in § 2. The maturity is only of limited help in characterizing a specific bond. The duration—a measure of the average time until the bond payments are received—is an easily determined figure which is more informative about a bond than maturity. The price sensitivity of a bond (i.e. volatility) is linearly related to the duration. 1.4 Under certain market conditions, the price risk and reinvestment risk of a bond can be offset over a period equal to the duration of the bond so that a guaranteed return is achieved. This is immunization and is discussed in § 3 in its simplest form. Section 4 gives examples of immunization whilst §5 briefly discusses some of the problems involved if it is to be put into practice. 1.5 The historic returns achieved on the fixed interest portfolios of U.K. pension funds are shown in comparison with a long gilt index and with those which could have been achieved on an immunized portfolio. The results are interesting and bring into question the amount of added value obtained by investment managers. 1.6 Another immunized portfolio is discussed in § 7, that using zero coupon bonds. A more efficient and flexible immunization strategy can be undertaken by using these rather than the methods outlined in §§ 3-5. 1.7 A dedicated portfolio is a special form of immunized portfolio. Assets are dedicated to meet a specific group of liabilities, e.g. pensions in payment. The income (coupons and redemption proceeds) from the assets are matched precisely by term against the estimated benefit outgo. The application of this technique to pensions in payment and deferred pensions is discussed in §8. 1.8 Managing bond portfolios successfully is an extremely complex operation. Immunization itself is also complex and in a number of places in this paper","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1985-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127877803","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":"Do Actuaries need Standards","authors":"I. Davison","doi":"10.1017/S0020269X00009737","DOIUrl":"https://doi.org/10.1017/S0020269X00009737","url":null,"abstract":"It is a great honour for an accountant to be invited to deliver the Students' Society 1984 Jubilee Lecture. When the Financial Times defined an actuary as “someone who found accountancy too exciting”, I realized that accountancy might be a suitable subject for this Jubilee Lecture. I note that the Institute of Accountants and Actuaries in Glasgow played a pioneering role in the evolution of the accountancy profession in Scotland during the latter half of the last century. So the paths of the actuarial and accountancy professions have met, and indeed crossed, on a number of issues, and we have a great deal in common, most of all perhaps a belief in the power of presenting an argument through numbers. Like you, we have members in practice and in commercial employment, we form professional opinions which we express in reports and we are concerned with problems of measurement; also we each have our own procedures, assumptions, jargon and rules, all of which are confusing to the uninitiated.","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1985-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133654418","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":"The Indexation of Capital Gains.","authors":"J. MacLeod","doi":"10.1017/S0020269X00009634","DOIUrl":"https://doi.org/10.1017/S0020269X00009634","url":null,"abstract":"","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1984-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121721995","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":"The Hallmark of the Profession.","authors":"G. Chamberlin","doi":"10.1017/S0020269X00009658","DOIUrl":"https://doi.org/10.1017/S0020269X00009658","url":null,"abstract":"","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1984-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133594573","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 1982-83","authors":"C. Daykin","doi":"10.1017/S0020269X00009695","DOIUrl":"https://doi.org/10.1017/S0020269X00009695","url":null,"abstract":"","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1984-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122351531","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":"Modelling the Gilt Edged Market","authors":"G. Chaplin","doi":"10.1017/S0020269X0000966X","DOIUrl":"https://doi.org/10.1017/S0020269X0000966X","url":null,"abstract":"THE paper reviews mathematical methods of analysing the gilt edged market, with the particular aim of removing some of the mystique surrounding the use of three dimensional models. The paper shows how such a model may be built from the old fashioned yield curve approach simply and in an understandable way by the introduction of a single variable representing a tax rate. This simple model is shown to have some of the general desirable features of a model, and these ground rules are then discussed in some detail. Other models are discussed and criticized on the basis of these ground rules (including the simple model presented, which is not intended to be a working tool but rather more a 'teaching aid'). The use of models and other techniques in the identification of possible switches is discussed. In particular, it is demonstrated that an improvement in the anomaly position as shown by a model does not necessarily lead to a profit. Indeed, it is demonstrated that this is true for all except one method of identifying anomalies. Finally, the paper discusses the use of some statistical techniques in the problem of matching (and deliberate mismatching) of assets and liabilities. Decision theory is used to balance risk against possible reward, where risk is measured by variance in profit. To apply the approach in practice the use of different scenarios is advocated, with weightings representing the likelihood of each scenario.","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1984-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129935944","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":"Recent Developments in Unit-Linked Whole Life Policies.","authors":"D. Sheraton","doi":"10.1017/S0020269X00009646","DOIUrl":"https://doi.org/10.1017/S0020269X00009646","url":null,"abstract":"","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1984-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114195020","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":"Motor Premium Rating.","authors":"S. Coutts","doi":"10.1017/S0020269X00009671","DOIUrl":"https://doi.org/10.1017/S0020269X00009671","url":null,"abstract":"","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1984-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127803357","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":"Pensions and Benefits in a Reward Strategy.","authors":"G. Wilson","doi":"10.1017/S0020269X00009683","DOIUrl":"https://doi.org/10.1017/S0020269X00009683","url":null,"abstract":"","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1984-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128610341","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":"Smoker v . Non-Smoker","authors":"N. Rhodes, P. Savill","doi":"10.1017/S0020269X00009609","DOIUrl":"https://doi.org/10.1017/S0020269X00009609","url":null,"abstract":"The title of the paper may suggest to readers that the authors are about to enter into a highly moralistic debate comparing those persons who take the ‘evil weed’ against those that lead ‘clean wholesome lives’. Whilst this is obviously not the case, the inference of competition is totally relevant. As the U.K. life insurance market moves slowly but surely to a smoker/non-smoker division, new dimensions of competition could open up between those offices who adopt a differential system and those who do not. One purpose of this paper is to comment on this feature. The main purpose of the paper, however, is to highlight the financial and underwriting problems involved in this type of market which represents a highly significant departure from previous practice. Many readers will have already debated these problems within their offices and perhaps with their reassurer. However, to our knowledge, no discussion has yet taken place across the British actuarial profession as a whole, and we believe it highly desirable that such debate takes place. This paper, therefore, should be seen as offering nothing new or conceptually original, but as merely the catalyst for discussion.","PeriodicalId":419781,"journal":{"name":"Journal of the Staple Inn Actuarial Society","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1984-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130894964","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}