This survey continues a series of international mortality comparisons, of which the most recent were Giles & Wilkie (1973) and Wilkie (1976). The first part of the paper is a descriptive survey of mortality data from United Nations sources over the period 1970-90. The second part is based on short reports prepared by contributors from the actuarial associations in various countries, and aims in particular to provide a comprehensive bibliography.

This discussion paper was produced by a Working Party in April 1997 to put forward some possible ways of improving the United Kingdom financial regulatory process. It was written to contribute to the expected post General Election debate on this topic. Although the new Government announced plans in May 1997 for a new Securities and Investment Board (SIB) with statutory powers, this has not reduced the value of this discussion paper which raises some wider issues on methods of regulation.

The paper excludes the supervision and regulation of banks, building societies, insurance companies and exchanges and concentrates on areas that directly affect the public on an ongoing basis. It looks at the expectations of the main parties involved in regulation, the theory and practice of regulation, opportunities and concerns, and concludes with a summary of key issues for discussion. The thrust of the paper is that self regulation should be replaced by statutory regulation and that the present ‘prescriptive’ regulatory process should be replaced by one based on ‘outcomes’ supported by guidance.

The text of these papers, together with the abstract of the discussion held by the Institute of Actuaries on 19 May 1997, are printed in British Actuarial Journal, 3, V, 969-1058.

The text of this paper, together with the abstract of the discussion held by the Institute of Actuaries on 22 September 1997, are printed in British Actuarial Journal, 4, II, 145-191.

Actuaries have become increasingly involved in general insurance, and in particular, in the London Market. This paper examines the management of the pricing process in the context of the London Market, and deals with concepts such as profit testing, risk and reward, and setting underwriting targets. The key area covered is the communication of a strategy in a meaningful way that can be controlled at the operating level.

This paper takes an overview of the various financial risks which need to be managed in banking. It then looks in detail at the specific areas of operational risk, market risk and pricing loans. A cash flow model is then developed, which takes explicit account of the various financial factors which should influence the interest rate charged. The model is applied to price loans with various features. The results of the model are shown, and weaknesses in the model and possible areas for further work indicated.

Those with responsibility for the assets of institutional investors have a fiduciary duty to attempt to earn the best possible risk adjusted returns and to comply with ethical standards. A satisfactory resolution of these, and other, conflicting demands requires a coherent intellectual framework. Such a framework can be based on a traditional scheme that analyses the various components of profit in terms of the requirements of justice. The framework provides a basis for discussing the major challenges facing the institutional investors. These relate to their role in rational asset selection, effective corporate governance, job creation and the minimisation of environmental impact.

Actuarial models of the market in conventional British Government Stocks, also known as the Gilt-Edged market, are reviewed and contrasted with the methods which have been developed, during the last twenty years, by financial economists.

Following the Treasury's announcement in May 1995 (regarding the taxation of institutional bond holdings), the so-called ‘coupon effect’ has largely disappeared and gilt prices can now be fitted very closely by using the same simple discounting functions for both income and capital flows. A new model suitable for the calculation of yield indices is proposed and is contrasted with the model currently underlying the FTSE Actuaries Government Securities (FTSEAGS) Yield Indices. A number of new possible applications of the reformulated yield indices, such as forward pricing, asset/liability matching and stochastic simulation, are discussed. An analogous model for index-linked gilts leads to applications involving the forward market in the retail prices index.

A survey of professional users of the FTSEAGS Indices is described, and a revised presentation for the published yield indices is suggested. A summary of current statutory references to the indices is presented.

The paper describes the main features of the market in traded endowment policies (TEPs) and the role of the main players in the market. The controversial, and related, issues of how to put a value on a traded endowment policy and the information given to investors are examined. The issues facing life offices whose policies are traded are discussed.

The text of this paper, together with the abstract of the discussion held by the Faculty of Actuaries on 16 March 1998, are printed in British Actuarial Journal, 4, IV, 803-864

This paper considers the approaches currently used by life offices for statutory valuations, and proposes a number of changes to current practice. It builds on the earlier work of Philip Scott's Working Party and a working party which reported on all aspects of unitised with-profits business to the 1996 CILA conference.

Recommendations are made for each of the major categories of long-term business, in particular for the introduction of a bonus reserve standard for accumulating with-profits business, whilst retaining the net premium standard for conventional with-profits business. It is proposed that the current net premium approach for non-profit business should be replaced by a gross premium method. The paper also develops a greater codification of the calculation of non-unit reserves on linked business.

Considerable emphasis is placed on the requirement for statutory reserves to have regard to PRE. It is assumed throughout that the E.C. Third Life Directive remains in its current form.

A number of examples are provided which illustrate the proposed method for accumulating with-profits business. Appendices to the paper include a draft of suggested consequential changes to the Insurance Companies Regulations 1994, and a revised supporting version of the whole of GN8.

This paper is concerned with the development and operation of Continuing Care Retirement Communities (CCRCs). The paper examines the financial structure of a CCRC, being developed by the Joseph Rowntree Housing Trust, and describes a population model utilising transition probabilities to project care needs and financial performance.

The paper then explores the possibility of commercial organisations becoming involved in this market, and examines the risks that such a venture would entail and the strategies that may be adopted to reduce these risks.

This paper discusses possible approaches to the construction of gilt yield indices published by the Financial Times. The existing method, described by Dobbie & Wilkie (1978) splits bonds into high, medium and low-coupon bands and fits separate yield curves to each. This method has been identified as susceptible to ‘catastrophic’ jumps when the least-squares fit jumps from one set of parameters to another set of quite different values. This problem is a result of non-linearities in the least-squares formula which can give rise to more than one local minimum. A desire to remove the risk of catastrophic changes prompted this research, which is being carried out as part of the work of the Fixed Interest Working Group.

Recent changes in the taxation of bonds has, further, prompted the need for a review of the yield indices. Significantly, since the announcement of the new tax regime, the old coupon effect has been removed. This has made the use of a single forward-rate curve appropriate for the first time.

A particular form of forward-rate curve is proposed as the basis for a revision of the gilt yield indices. This curve appears to give a significantly better fit than the present yield–curve model. It is also argued that the risk of catastrophic jumps has been reduced significantly.

The literature on ‘Term-Structure Models’ is extensive with many contributions from financial economists over the last twenty years. This paper reviews examples of term-structure models from different categories (‘equilibrium’, ‘evolutionary’ and ‘descriptive’) with particular emphasis on their intended application. The Vasicek (one-factor equilibrium), Richard (two-factor), and Hull & White (evolutionary) models are discussed in some detail.

The paper reviews a particular class of descriptive polynomial models which is flexible and in widespread use both in the academic and the practitioner community. The model is cast in terms of forward rates, applied to the gilt market, and techniques are used to determine how many terms in the polynomial expansion are statistically required in order to describe the market accurately. The model is a linear model of forward and spot rates and is stable; this allows the calculation of risk measures for each bond which give a superior approach, in principle, to portfolio hedging.

Selection of model should be driven by its application. If the objective is a reasonably accurate description of the curve and, by implication, an accurate indication of yields which can be obtained in the market, then a model which fits the market accurately is preferable. The ‘descriptive’ approach is therefore most appropriate in this context.

As part of the 150th anniversary celebrations of the actuarial profession, the link between Gray's Inn and Staple Inn is being renewed with the appointment by Gray's Inn of a Reader, who will give an annual lecture at Staple Inn as a contribution to legal and actuarial education.

The first reading for some 300 years gives an outline of the history of Staple Inn, from its origin in the fourteenth century as a ‘Staple’, a customs house for wool, later becoming an Inn of Chancery of one of the four Inns of Court, Gray's Inn. It was in the Inns of Chancery that training was given to law students. The progression of English law and of the training of law students are outlined, particularly how they affected Staple Inn and its subordinate relationship to Gray's Inn. The eventual loosening of the ties between the Inns of Court and the Inns of Chancery, the end of the involvement of Staple Inn with the legal profession, and the coming of the Institute of Actuaries to Staple Inn are all described.

This paper considers some of the properties of the jump-equilibrium model suggested by Smith (1996). A more detailed description of the model's derivation is provided. The model is represented in a discrete time format and a number of statistics are derived and discussed.