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This study is a subjective synthesis of the work of many academics, supervisors and practitioners on the topic of liquidity and many of its multiple aspects. It borrows heavily and freely from those works in the pursuit of coherence, as this subject can be both confused and confusing. Although many hypotheses, both established and speculative, are referred to, none is proposed in this paper. In order to be of possible use to a range of readers, it roams from the most basic and elementary to some of the most recent and advanced. In pursuit of brevity and readability, in many instances it can do little more than introduce a particular feature and leave further investigation to the reader. Liquidity is clearly a topic with much unfinished business. Our ambition in writing this paper is threefold: first, to raise awareness amongst actuaries of the wide-ranging implications for actuarial work of liquidity; second, to bring some coherence to the manifold measures and uses of the concept of liquidity by attempting to synthesise some of the key elements of knowledge today; finally, to highlight some of the more high profile and open questions relevant for actuarial work. This paper makes many references to behaviour during the crisis and its aftermath; however, it is not intended to be a forensic analysis of the crisis attributing causality. The crisis has simply served as an experiment during which many things became observable.
This abstract relates to the following paper: KeatingC., HatchettJ., SmithA., WaltonJ. and ZhaoT.Liquidity: essence, risk, institutions, markets and regulation ‐ Abstract of the London DiscussionBritish Actuarial Journal, doi:10.1017/S1357321715000100
The relationship of the chain ladder method to mathematical statistics has long been debated in actuarial science. During the 1990s it became clear that the originally deterministic chain ladder can be seen as an autoregressive time series or as a multiplicative Poisson model. This paper draws on recent research and concludes that chain ladder can be seen as a structured histogram. This gives a direct link between classical aggregate methods and continuous granular methods. When the histogram is replaced by a smooth counterpart, we have a continuous chain ladder model. Re-inventing classical chain ladder via double chain ladder and its extensions introduces statistically solid approaches of combining paid and incurred data with direct link to granular data approaches. This paper goes through some of the extensions of double chain ladder and introduces new approaches to incorporating and modelling incurred data.
We examine the roles of actuaries in UK life offices, along with trends, challenges to and opportunities for actuaries. We carry out an analysis of senior roles in life offices, a questionnaire survey and interviews with relevant senior personnel. We find that actuaries occupy many important roles in life offices and are regarded as having good industry knowledge and technical skills, especially in financial modelling. There are fewer executive directors and more non-executive directors of life offices who are actuaries compared with the position in 1990. A higher proportion of reserved roles is outsourced to consultants than was the case in 1990. Only a small number of Actuarial Function Holders are directors. Actuaries are more siloed than was the case in the past, although actuaries are well represented in the finance and risk functions of many offices. Although actuarial work in connection with the preparation for Solvency II will decline, there will be important ongoing requirements for actuaries following Solvency II implementation. We also see opportunities for actuaries in four areas: in risk management, in financial analysis and management based on Solvency II and international financial reporting standards, in connection with “big data”, and in product development and the customer proposition. There are implications for the examination syllabus, continuing professional development and research.
State Pension Age (SPA) is an issue of topical interest in the United Kingdom at the time of writing owing to the Government’s plans to link SPA at future dates to estimates of the projected longevity of the population. This paper considers the background to the current position, how the linkage is proposed to work, other factors that may need to be considered and some changes in the proposed State pension regime that could be alternatives to, or complementary with, a changing SPA.