A Trend-Change Extension of the Blake-Cairns-Dowd Model – Pensions Institute Discussion Paper PI-0904 (2009)
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 Cost and Value of UK Defined Benefit Pension Provision – Journal of Pension Economics and Finance (2008)
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...
Stochastic Mortality made Easy – Pensions Institute Discussion Paper PI-0822 (2008)
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...
Modelling and Managing Risk – British Actuarial Journal (2007)
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....
Pricing Basis Risk in Survivor Swaps – Pensions Institute Discussion Paper PI-0622 (2007)
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...
Pricing Basis Risk in Survivor Swaps – Life and Pensions (2007)
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...