Statement of Standard Accounting Practice (SSAP) 24 required, for the first time, particular levels of disclosure in relation to firms’ pension arrangements. Whilst this was a major step forward, it allowed a significant degree of discretion. This discretion meant...
Financial Enterprise Risk Management provides all the tools needed to build and maintain a comprehensive ERM framework. As well as outlining the construction of such frameworks, it discusses the internal and external contexts within which risk management must be...
The uncertainty over cohort life expectancy continues to concern insurance companies and pension schemes. For pension schemes in particular, the combination of low interest rates and guaranteed pension increases have led to a much greater focus on future mortality...
A heightened awareness of the aging population means that all parties have to closely track and monitor their longevity assumptions and developments. This ensures appropriate longevity bases are used in pricing and reserving for longevity risk. It has also spurred a...
This paper builds on the two-factor mortality model known as the Cairns-Blake-Dowd (CBD) model, which is used to project future mortality. It is shown that these two factors do not follow a random walk, as proposed in the original model, but that each should instead...
The popular beta-binomial approach to credibility offers an attractive way of combining the results of experience and risk rating. However, when applied to a particular age the information available from surrounding ages is ignored. In this paper I propose an...
Pension fund longevity risk is becoming increasingly important. Longevity indices would allow the creation of liquid derivatives that could be used to hedge this risk. However, there are a number of criteria that such indices would need to fulfil to provide an optimal...
The special tax treatment of United Kingdom pensions means that the decision on how to use pension assets is particularly involved. In particular, the ability to take up to 25% of pension assets as a tax-free cash lump sum at retirement, offers retirees opportunities...
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...
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...
