25 Jun Reserving for annuities: a complicated business!
A technical discussion paper that looks to get to the foundations of what the Solvency II Matching Adjustment is trying to do, and considers ways in which that might be more simply achieved....
23 Oct IFoA Frank Redington Pension Prize 2022
I was gratified to be a co-winner of the IFoA Frank Redington Pension Prize 2022 for my essay, Pensions today and tomorrow: Every risk in its right place? I hope the essay can stimulate further thinking and discussion on the efficient resolution of the UK's legacy...
30 Jan IFoA Finance in the Public Interest 2022 – Redington: The Man and His Ideas
I recently had the privilege of opening the IFoA's 2022 Finance in the Public Interest series with a talk on Frank Redington. The talk can be accessed freely below at the IFoA's YouTube channel: Frank Redington: The Man and His Ideas - Finance in the Public...
22 Jan HMT Review of Solvency II: My submission on reform of the MA
I have submitted some responses to the HM Treasury Review of Solvency II: Call for Evidence in the areas of Risk Margin and Matching Adjustment. My Risk Margin submission is simply a restatement of the arguments I presented in my October 2019 article and which were subsequently published in...
21 Dec The Mortgage-Implied Illiquidity Premium
The determination of the illiquidity premium that is applicable in the valuation of an equity release mortgage is, arguably, the most contentious aspect of the valuation of the asset. To be sure, there are many other aspects of the valuation of this complex and illiquid...
11 Dec On the Volatility of the Value of Deferred Possession
The value of an equity release mortgage is naturally a function of the value of deferred possession of the house that is provided as mortgage collateral. The mortgage value is also a function of the volatility of the value of deferred possession. Actuaries usually equate...
07 Dec CAS Webinar on Methodology of Actuarial Science
I greatly enjoyed the opportunity to present some of my research on the methodology of actuarial science on a CAS webinar on Tuesday 1st December. The event was much enhanced by the participation of the very distinguished panel of Dimitri Semenovich, Andrew Smith and Jim Guszcza. Many thanks to...
07 Sep Reflections prompted by Elie Ayache’s ‘The Medium of Contingency’
Introduction This article reflects on some of the ideas developed in Elie Ayache’s 2015 book, The Medium of Contingency. The book is stimulating and thought-provoking, but it makes, at times, for difficult reading. It is not my purpose here to attempt a faithful and accurate summary...
28 Jul Superfunds: Risk, Certainty, Capital and Value
The satisfactory resolution of the UK's under-funded private-sector Defined Benefit pension schemes is a major long-term, yet increasingly pressing, topic for the UK government. And it is, of course, a subject of significant interest to the UK actuarial profession. Superfunds, which seek to consolidate DB...
03 Jul A Valuation, Capital and Matching Adjustment Methodology for Equity Release Mortgages
The actuarial treatment of equity release mortgages has been one of my major areas of professional focus over the last year or so. I have participated in this field in a number of different roles - as a consultant to ERM-investing insurance firms; as an...