11 May Prepayment Risk and Equity Release Mortgages
Prepayment Risk and Equity Release Mortgages...
06 Apr Some Notes on the Methodology of Actuarial Science
Dear Friends and Colleagues, In researching and writing A History of British Actuarial Thought, I developed a habitual commitment to reading obscure actuarial papers as a form of relaxation. Once the book was published, I found I couldn't quite kick the habit, but its focus evolved...
29 Mar Notes on Derivative Valuation and Illiquid Assets
These notes record some partially developed thoughts on how the presence of asset illiquidity and an illiquidity premium can theoretically impact on the relative valuation of liquid and illiquid derivative assets of illiquid assets. An appendix then discusses the theoretical implications for the valuation of...
28 Feb IFoA Equity Release Mortgages Working Party Discussion Paper
The Institute and Faculty of Actuaries' Equity Release Mortgages Working Party, of which I am Chair, has today published a Discussion Paper on the economic valuation of Equity Release Mortgage assets in the context of the PRA's Effective Value Test. Economic valuation of ERM assets involves...
04 Nov On the Theory of Insurance Solvency Regulation in the Presence of Financial Market Risk
This note reflects on the theoretical rationale for the solvency capital regulation of insurance firms and discusses the logical implications of this rationale for how the solvency capital requirement is quantitatively defined. This leads to a definition for the solvency capital requirement that is different...
08 Oct On the Solvency II Risk Margin
Opening talk for IFoA Sessional Meeting on Risk Margin paper, 7th October 2019 Thank you for the opportunity to open this evening’s discussion of the Risk Margin Working Party’s paper. On behalf of all of us here this evening, I would like to extend my thanks...
13 Sep Independent Actuarial Thought Leadership
These are tumultuous times for the global actuarial profession. A handful of major trends, each of which started to emerge decades ago, are having an increasing impact on the present and likely future of actuarial work. These trends look likely to have a defining impact...
22 Aug On the Actuarial Treatment of Equity Release Mortgages: Part Three
The vast majority of UK insurers’ investments in equity release mortgages are held in a form of structured vehicle. My previous two notes on the actuarial treatment of ERMs have focused on treatment of the underlying mortgages, and have not considered the nature and effect...
06 Aug Defined Contribution Pension Retirees and Longevity Risk
It is hardly news to note that a growing proportion of retirees belong to Defined Contribution (rather than Defined Benefit) pension schemes, and that this proportion will continue to grow in the coming years. These retirees have considerable freedom and flexibility in the investment strategy...
17 Jul On the Actuarial Treatment of Equity Release Mortgages: Part Two
My article of 13th June surveyed some of the recent research on the actuarial treatment of equity release mortgages (ERMs) and discussed approaches that can be taken to fair valuation and the assessment of capital requirements. This article considers how the approaches that were identified...