Monetary policy, asset prices and actuarial practice


Philip Booth

The operation of monetary policy may have an impact on securities markets and asset values. This is of relevance to many in the actuarial industry, particularly to actuaries who work in non-bank financial institutions such as pension funds and insurance companies.

This review paper presents mainstream theories of monetary policy and draws out the implications that are regarded as most important for actuaries and actuarial research.

Updated: 14/01/2013
Views: 4,263

Optimal capital allocation principles

This paper develops a unifying framework for allocating the aggregate capital of a financial firm to its business units.

Updated: 06/03/2012
Views: 21,177

Roads to ruin: A study of major risk events

This major research report, produced by Cass for Airmic (the Association of Insurance and Risk Managers in Industry and Commerce) investigates the origins and impact of over twenty major corporate crises of the last decade.

The crises examined involved substantial, well known organisations such as Coca-Cola, Shell and BP, as well as some smaller firms. Several did not survive and most of the rest suffered severe damage.

Updated: 31/12/2014
Comments: 9
Views: 16,905

Research into long term care for the elderly

Rickayzen and Walsh (2002), built a multiple state model which can be used to project the number of disabled people in the UK over the next 35 years. By focusing on the population who are over age 65 and projected to have severe disabilities, we are able to estimate the future long term care (LTC) demand over the next three decades.

Updated: 19/10/2011
Views: 5,515

What is wrong with the chain ladder technique(?)

The title is both a statement and a question, and in the talk you will find a list of things that are wrong with the chain ladder technique but also a question asking whether it is so bad after all.

Updated: 31/12/2014
Comments: 10
Views: 19,615

Cass Ethics with professor Steven Haberman: ethics and insurance


Steven Haberman

 et al.

Steven Haberman, Professor of Actuarial Science and Director and Deputy Dean at Cass, discusses the bankruptcy of Equitable Life 10 years on, what has changed in the Insurance business and the challenges still faced by the industry.

Updated: 20/10/2011
Views: 7,230

Measuring investors historical returns: hindsight bias in dollar-weighted returns

In this paper we show that this approach is affected by hindsight bias in the dollar-weighted return.

Updated: 03/11/2011
Views: 4,197

Downside risk and the size of credit spreads

We use a panel of investment-grade corporate bonds to investigate why credit spreads are so much larger than expected losses from default. We begin by confirming that systematic factors contribute very little to spreads, even if higher moments or downside effects are incorporated.

Updated: 24/10/2011
Views: 6,027

Longevity hedging: a framework for longevity basis risk analysis and hedge effectiveness


Guy Coughlan

 et al.

Basis risk is an important consideration when hedging longevity risk with instruments based on longevity indices, since the longevity experience of the hedged exposure may differ from that of the index.

Updated: 01/01/2015
Comments: 7
Views: 6,584