The Usefulness of Stochastic Mortality Modelling – Annals of Actuarial Science (2011)
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...
Longevity Indices – Chapter in Longevity Risk (2011)
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...
A Trend-Change Extension of the Blake-Cairns-Dowd Model – Annals of Actuarial Science (2011)
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...
Making the Most of Experience Data: an Augmented Beta-Binomial Approach – Pensions Institute Discussion Paper PI-1012 (2010)
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...
Longevity Indices and Pension Fund Risk – Pension Institute Discussion Paper PI-1004 (2010)
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...
Tax Efficient Pension Choices in the UK – Annals of Actuarial Science (2009)
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...