by Paul Sweeting | Aug 26, 2009 | All
Hi, and welcome to my blog. I don’t expect it to be updated that frequently, but it will give me the opportunity to share views on the latest developments in longevity, investment and pensions. I hope you find this useful, and please feel free to let me have any...
by Paul Sweeting | Jun 1, 2009 | All, Industry News
Illiquidity has been a major factor in the recent global financial crisis. Losses arising from residential mortgages led ultimately to a broader uncertainty over the ability of banks to meet other financial obligations. This led to a reluctance in the money markets to...
by Paul Sweeting | Feb 1, 2009 | All, Library, Working Papers
This paper builds on the two‐factor model developed by Cairns et al (2006) for projecting future mortality. It is shown that these two factors do not follow a random walk, as proposed by Cairns et al, but should instead be modeled as a random fluctuation around a...
by Paul Sweeting | Dec 1, 2008 | All, Articles, Library
The purposes of this paper are to consider the effect on remuneration of defined benefit pension accrual and the factors that have resulted in changes to the cost and value of this accrual. In this paper, I look at the effect of the change in the cost to an employer...
by Paul Sweeting | Jun 1, 2008 | All, Library, Working Papers
The purpose of this paper is to give actuaries an easy‐to‐use approach to modelling stochastic mortality. Whilst the approach described can be used with tailor‐made projections, it can also be applied to published base tables and improvement factors. The methodology...
by Paul Sweeting | Mar 1, 2008 | All, Articles, Library
This paper looks at the risks faced by financial institutions, and how they can be modelled and managed. I compare the way in which each of the risks affects different types of financial institution and look for similarities (and differences) across industries....
by Paul Sweeting | Sep 1, 2007 | All, Library, Working Papers
This paper looks at basis risk in survivor swaps, which occurs when mortality of the reference population used to price the swap differs from the mortality of the population being hedged. The author finds that any basis risk present is usually small compared to the...
