The text of this paper, together with the abstracts of the discussions held by the Institute of Actuaries in London on 26 February 2001 and by the Faculty of Actuaries on 19 March 2001, are printed in British Actuarial Journal, 7, III, 365-466.

The text of this paper, together with the abstract of the discussion held by the Institute of Actuaries on 25 October 1999, are printed in British Actuarial Journal, 6, I, 55-141.

However, when this paper was discussed by the Faculty of Actuaries, the following ‘Survey of Practice’ had been carried out, and was also presented.

The lecture begins by outlining the differences in lifetime earnings between men and women, and between women with different levels of skill and with different numbers of children. It continues with a discussion on wrongful conception and wrongful birth, and the legal implications when damages are sought when children are born who were not meant to have been born. Many examples of claims for damages brought before the courts, over a period of time, are used to illustrate various aspects of this. Cases concerning both healthy and disabled children are discussed, and the changes that occur for all women who have given birth and the mother's responsibility of care are considered.

Consolidation of the FTSE Actuaries Share Indices Series and the FTSE Global Industry Classification System. Preparations for the introduction of ‘free float’ weightings (in six bands) on 18 June 2001.

The Government Actuary's Department (GAD) came into being in 1919, originally arising from the perceived importance of applying actuarial skills to the financing of the United Kingdom social security system. Whilst the GAD has changed considerably over the years, and now operates as a publicly owned consulting firm, social security and related policy and regulatory advice remain at the core of the Government Actuary's role. This paper explores the nature of the role of the GAD in the social security area, and provides examples of the scope of GAD reports on the long-term finances of the National Insurance Fund. A brief description is given of some of the other areas of GAD's work.

The constant elasticity of variance (CEV) diffusion process can be used to model heteroscedasticity in returns of common stocks. In this diffusion process, the volatility is a function of the stock price and involves two parameters. Similar to the Black-Scholes analysis, the equilibrium price of a call option can be obtained for the CEV model. The purpose of this paper is to propose a new estimation procedure for the CEV model. A merit of our method is that no constraints are imposed on the elasticity parameter of the model. In addition, frequent adjustments of the parameter estimates are not required. Simulation studies indicate that the proposed method is suitable for practical use. As an illustration, real examples on the Hong Kong stock option market are carried out. Various aspects of the method are also discussed.

This paper discusses the use of parametric models for description of the term structure of interest rates and their uses. We extend earlier work of Cairns (1998), Chaplin (1998) and Feldman et al. (1998), by presenting new theoretical results and also by demonstrating that the same model can be applied to countries other than the United Kingdom. First, we prove that the process of fitting a yield curve to price data has a unique optimal solution in both zero-coupon-bond and low-coupon-bond markets. Furthermore, an alternative method of curve fitting to those proposed previously is shown to have a unique solution in all markets.

The restricted-exponential model has previously been applied to U.K. data (Cairns, 1998). Here, we consider its wider application in European bond markets. In particular, we analyse German market data and conclude that the same model applies equally well to both countries.

During 2000, which was the fourteenth year of publication of the World Index series, it was expanded to cover a further twenty countries, as it absorbed the Barings Emerging Markets series, becoming the All-World series. Preparations continued for the promised mid-2001 adjustments to reflect the available free floats of constituents' shares.