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...
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....
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...
This paper looks at basis risk in survivor swaps, instruments where a fixed payment is made by one party at some point in the future in exchange for a payment based on the longevity of a reference population at the same point in the future. Cox and Lin (2005) discuss...
The literature into employee choice in relation to DB and DC pension schemes is substantial. Yang (2005) looks at the factors influencing employee choice between DB and DC pension schemes; similarly, Choi et al (2002) and Huberman et al (2004) look at the factors...
The special tax treatment of UK pensions means that the decision on how to use pensions assets is more involved than in other tax jurisdictions. In particular, the ability to take up to 25% of pensions assets as a tax-free cash lump sum at retirement offers retirees...
This publication identifies risk management issues that are likely to emerge in the future and the solutions that will be developed to meet these needs. This comprehensive text covers credit, market, operational, liquidity, outsourcing and insurance risks. Essential...
In this paper, I look at the effect of the change in the cost to an employer of providing a defined benefit ("DB") pension on the overall cost of remunerating an employee and compare that with the cost of remunerating an employee with no such pension benefits. I allow...
In this paper, I use a stochastic approach to model the effect that correlations between pension scheme assets and firm values should have on the premiums chargeable by the Pension Protection Fund. In particular, I look at the effect on the aggregate premium that...
The purpose of this paper is to investigate the role that fixed income securities should play in pension scheme investment. In this paper I look at the investment characteristics of the various bond asset classes, including the nature of the income streams produced. I...
