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: 16,906

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: 4,696

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: 22/09/2011
Views: 15,770

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: 22/09/2011
Views: 5,606

Making the most of experience data – an augmented beta-binomial approach

In this paper I propose an augmentation to the beta-binomial approach which not only allows for the information contained in ages near to the age under analysis, but also for variation in risk types across the different ages.

Updated: 22/09/2011
Views: 4,127

Ending compulsory annuitisation: what are the consequences?

The report highlights the consequences of the Government's proposal to end the requirement for pension scheme members to purchase annuities by the age of 75.

Updated: 22/09/2011
Views: 8,812

Annuity choices for pensioners

The trend towards defined-contribution pension provision in the UK seems to be irreversible. Most private sector employers with defined-benefit schemes have either closed them to new entrants or wound them up. Virtually all new scheme established have been defined contribution, and the introduction of the government-mandated National Employment Savings Trust will increase the number of workers with defined-contribution benefits.

Updated: 22/09/2011
Views: 4,199

What discount rate should be used to value a cash-flow linked to final salary?

Estimating the fair value of final salary pension liabilities has increased in importance because of the introduction of market-based accounting standards and the growing significance of pension liabilities in mergers and acquisitions.

Updated: 03/08/2014
Comments: 1
Views: 5,842

Time deductibles as screening devices: competitive markets

In this article, we analyse the strength of screening based on an alternative screening device, namely limitations to the period of coverage of the contract.

Updated: 05/10/2013
Views: 405