JUNE 2020 theactuary.com
The magazine of the Institute and Faculty of Actuaries ALSO INSIDE
JOHN TAYLOR DISCUSSES MENTAL HEALTH
The value of reaching out
Interview Nick Higham Mathematics, machine learning and Manchester
Pensions Behind the scenes at the Pension Protection Fund
HIDDEN IN THE FIGURES
Calculating one-year reserve risk
Can we remove indirect discrimination from pricing models? 1 COVER_The Actuary June 2020_The Actuary 1
Contents June 2020
Features 12 Interview: Nick Higham The University of Manchester professor discusses mathematics’ use in the world of ﬁnance
12 Up Front 4 Editorial Dan Georgescu on sharing – both our knowledge and our struggles 5 President’s comment John Taylor looks back on his year in the presidential hot seat 5 CEO’s comment The IFoA presidential team is a beacon of continuity during diﬃcult times, says Stephen Mann 6 IFoA news The latest IFoA news and events
33 Wellbeing: Behind the curtain Never feel you must suﬀer in silence, urges IFoA president John Taylor
16 Pensions: Striking a balance What is the Pensions Protection Fund? Stephen Wilcox explains 19 Pensions: Sharing the load Simon Eagle talks collective deﬁned contribution pensions in the UK 20 Regulation: In the frame Pau Ling Yap and Paolo Cadoni on the reforms boosting supervision of international insurers 23 CPD: Eyes on the prize Winners of the Brian Hey prize have much to teach us, says Joseph Lo 24 Modelling: The proxy problem How can we avoid discrimination by proxy when building and using models? 28 Modelling: Taking the one-year view Robert Scarth shares methods for calculating a short-term risk view
At The Back 36 Unsung heroes David Forfar talks about the Polish contribution to cracking Enigma 38 School of thought It’s an interesting time for mortality assumptions, says Jack Carmichael 39 People/society news The latest news, updates and events 40 Puzzles 42 Inside story Dick Rae on staying up to date
30 IFRS 17: Challenge and opportunity Experts discuss the potential pitfalls to avoid when implementing IFRS 17
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Practise kindness Each issue of The Actuary brings new highlights, and every time I think: we won’t be able to top that. This issue is no diﬀerent. The ﬁrst feature is an interview with Richardson Professor of Applied Mathematics Nick Higham (p. 12), who tells us how the nearest correlation matrix algorithm came about – something I have used since my earliest days as an actuarial student when trying to work out why the economic scenario generator was falling over yet again. We also feature Joseph Lo’s look back on award-winning general insurance research and the Brian Hey Prize (p. 23). Other prizes are also available for those who work in diﬀerent areas, such as the Peter Clark and Geoﬀrey Heywood prizes, and we would welcome future contributions discussing these. We are a profession whose members dedicate a huge amount of personal time to advancing knowledge and freely disseminating research, and it is right that we celebrate and encourage our volunteers. You will no doubt have noticed that The Actuary has covered some more technical articles recently, and this continues with our cover feature (p. 24) about research into avoiding discrimination in insurance pricing. In May we celebrated the 75th anniversary of Victory in Europe Day, and David Forfar discusses the role of Polish cryptologists – including an aspiring actuary – in cracking Enigma during the Second World War (p. 36). Last month also saw the Mental Health Foundation host Mental Health Awareness Week; in this issue John Taylor, IFoA president and Mental Health Foundation spokesperson, writes about his own mental health experiences and the value of opening up (p. 33). The theme of the campaign was kindness – something we should be practising more of, particularly during this diﬃcult time. I hope you enjoy the issue, and be kind to yourselves and others. DAN GEORGESCU EDITOR firstname.lastname@example.org
J O H N TAY LO R
A shared vision
me president preside d nt last June, Ju I scarcely hen I became m gined d that at a yyear ear later the could have ima imagined world would be facing the challenges we are today. Among the devastation COVID-19 is wreaking, many are wondering whether it can act as a catalyst for transforming our society. This question has been a focal point of recent discussions across the IFoA, and looking back on the past year, I see both reinvention and enduring values. Many of our strategic initiatives are driven by those values, and so will remain vitally important in any scenario. Firstly, Council has revisited our strategy and emphatically prioritised serving you, our members, throughout your careers. We are committed to upholding the recently published Member Pledge. In turn, that means enhanced support for you in the face of unprecedented technological change. One way the IFoA will deliver this is by building on the success of the data science certiﬁcate. It is wonderful to see our learners exploring this ﬁeld, which will inevitably intertwine with our own further in the future. In addition, continuing our thought leadership on The Great Risk Transfer will reassert the relevance of the profession’s skills in helping society, particularly individuals, to better manage ﬁnancial risks. We have also seen reinvention. While the ‘virtualisation’ of exams and events was prompted by present-day restrictions, it gives us another way to serve a geographically diverse membership while lowering ﬁnancial and environmental costs. The profession has stepped up by helping policymakers, healthcare providers, employers and clients to manage the varied implications of the pandemic – further evidence of the profession’s versatility. We may not be able to predict the future, but the past few months have indicated how we may choose to meet its JOHN TAYLOR challenges. As we do, I look forward to is the president of serving the IFoA in new capacities as it the Institute and reinvents itself – while remaining true to Faculty of our enduring values. Actuaries www.theactuary.com
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ach June (or thereabouts) there comes a turning h b t ) th t i point for the IFoA: we hold our Annual General Meeting, announce our newest Council members and see the changeover of our presidents, with the newly installed president making their ﬁrst oﬃcial address. It is a privilege to work with our volunteers, and this is especially true of my work with the presidential team. The IFoA is unique in its member-led leadership, and our presidents carry out their commitment with a sincere desire to serve our members and the broader profession. During the past year, John has been a champion of our member experience and member value, ﬁnding new ways to blend actuarial and data science, and upholding the IFoA’s high standards and values through a period of change. Alongside the wider presidential team, he has been instrumental in revisiting our strategy and helping to articulate a clear way forward. On a personal level, I have appreciated John’s wise counsel and support. It has been evident to me how much work he has done, often behind the scenes, to keep the IFoA’s ﬂame burning brightly, helping guide the organisation (and me) through challenges and keeping members at the forefront of discussions. There is always constancy in terms of the future vision for the IFoA and the broader profession. The wearer of the presidential medal may change, but our direction does not. My role, along with the executive team, is to support that continuity and help our presidential team and Council deliver against our overarching purpose and strategy. We will continue to build upon John’s progress as Tan Suee Chieh takes the helm this month, and Louise Pryor follows in 2021. As the world changes, I take comfort STEPHEN MANN in the IFoA’s shared vision and purpose. is the chief executive Although each leader is diﬀerent, they of the Institute and share a collective energy and passion for Faculty of taking the actuarial profession forward. Actuaries JUNE 2020 AUTUMN 2017 | THE ACTUARY | 5
Upfront News VOLUNTEER
Seeking members for Disciplinary Panel pool ‘Discipline’ is a forbidding term for a process that actually supports members, both individually and collectively. To serve the public interest, the profession must investigate complaints or concerns referred to it in a full and impartial manner. It must not prioritise the interests of its members – it operates quite independently of the IFoA Council – but anyone investigated is entitled to proper standards of fairness. Cases cover a wide range of topics, and where a ﬁnding is made against a member, the outcomes are often helpful rather than career-threatening. Identifying a failing will help a member to oﬀer better services in future, and publicising the case helps other members of the profession to avoid the same problem. Feedback of emerging issues to the Regulatory Board is an integral part of the process. Volunteers are required for each stage. The work covers investigation, initial assessment/adjudication, tribunals and appeals. The management of the process and the appointment of actuaries to each case is also important. We need a steady ﬂow of
volunteers as each role is for a ﬁxed term, meaning vacancies are continuously created. Training is provided on the speciﬁc features of the disciplinary system, and legal support, in particular, is provided. If you are a problemsolver (and what actuary isn’t?) you will ﬁnd the work fascinating, whatever role you play. You will also enjoy working with other actuaries and with lay professionals – decisions are shared – and care is taken to make sure your day job does not suﬀer. There are CPD opportunities, the work will develop your technical skills, and collaborative decisionmaking will become a strength. Your help is needed at all levels of experience, for all practice areas and wherever you work. Visit the IFoA website’s volunteer vacancies page (bit.ly/2LlxMhn) regularly and say you are interested – you will not regret it. BRIAN DUFFIN, FFA AND IFOA VOLUNTEER
Brian is a member of the Disciplinary Appointments Committee and was previously appointed to the Disciplinary Board. He has also served as chair of the Joint Public Relations Committee.
New website for The Actuary The Actuary has a new website; if you’ve not yet seen it, please take a look at www.theactuary.com, where you’ll ﬁnd all the articles and issues. We think it oﬀers a more logical and intuitive experience for readers, as well as being more attractive and colourful. If you would prefer just to read the magazine online, remember that you can ask for a suppression to be placed on your record so that you no longer receive the hard copy of the magazine. Email email@example.com and explain that you would like to stop receiving the hard copy. You can still keep up to date with The Actuary and all articles by subscribing to the weekly newsletter: go to ‘Sign up to our newsletter’ on the home page and ﬁll in your details. We hope you like the newlook website.
Important changes to IFoA professional skills training The IFoA will be making important changes to the IFoA professional skills training regime from 1 July 2020. These changes are designed to support a more ﬂexible learning approach and to ensure we can deliver the appropriate professionalism training at the right time in our members’ careers. From 1 July 2020, the current Stage 1 Online Professionalism Awareness Test (OPAT) will be replaced with a four-part modular e-learning course, while the current Stage 2 Professional Skills Course will be replaced by a new Stage 2 Online Professionalism Course. Members who have not completed the relevant IFoA professional skills course before the 1 July 2020 transition will need to complete the new professional skills training courses. You can ﬁnd out more about the changes to IFoA professional skills training at bit.ly/3fpGid8
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Upfront News CPD
New scheme published in June Watch out for the publication of the CPD Scheme for 2020/2021, which will be made available this month at bit.ly/CPDscheme Due to the proposed changes, the existing 2019/2020 scheme has been extended for a two-month period, giving members in categories 2-6 until 31 August 2020 to complete their CPD requirements for the year. At the time of writing, we are reviewing members’ responses to our consultation on proposals. The consultation closed on 17 April and 215 of you provided feedback. We’re grateful for every contribution and are using these responses to ﬁnalise the design of the scheme. Along with a new professional skills training regime, the improved CPD Scheme has been designed in response to member feedback to oﬀer greater ﬂexibility and provide members with eﬀective support at every stage of their career.
IFoA eLibrary still open While IFoA oﬃces are closed and library loans are on hold, IFoA members can login at www.actuaries.org. uk/user/login/athens to access online resources using the IFoA’s Actuarial Knowledge Hub. Follow links for ‘eBook collection’ and ‘eBook Central’, or those for actuarial journal titles, for your study, research and work development interests. If you have any queries, email them to libraries@ actuaries.org.uk
Pensions Conference 2020 webinar series Delivering the same high quality event programme to help you meet your CPD requirements online – beginning 16 June GMP Equalisation
Longevity – CMI update
Speaker: Mark Williams, Buck
Speakers: Matt Fletcher, Chair of the SAPS Committee, and Cobus Daneel, Chair of the Mortality Projections Committee
The state of the PPF Universe Speakers: Lisa McCrory, Chief Finance Officer at the Pension Protection Fund (PPF)
AMS Thematic Review Programme & changes to the CPD Scheme Speakers: David Gordon, Senior Review Actuary at the IFoA heading up the Actuarial Review Team, and Judith Joy, Regulatory Lawyer in the General Counsel directorate of the IFoA
Public Service Pensions – Good Pensions that last Speakers: Dale Walmsley, First Actuarial, and Stephen Humphrey, Actuarial Director
Decumulation in pension plans via pooled annuities Speakers: Catherine Donnelly and Tim Jablonski, Product Director, EValue
Integrated Risk Management: Pensions Risky Business Speaker: John Breedon, Fellow of the Institute of Actuaries
To ﬁnd out more and to book please visit:
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JUNE 2020 | THE ACTUARY | 7
Making insurance accessible to all The IFoA’s upcoming series of Inclusive Insurance Bulletins will examine how the industry can remove barriers to coverage
nsurance oﬀers protection to consumers, businesses and wider society, playing an important role in economic development and supporting wider societal needs. Changes in demographics, advances in technology and medicine, and the increased prevalence of extreme weather events are just some of the factors insurers are grappling with; the current COVID-19 crisis is a more extreme example of rapid change in the global environment that insurance operates in. This societal change raises questions over insurance inclusion: is the current landscape giving rise to insurance exclusion, and how should the insurance market evolve to keep pace and increase inclusion? During the course of 2020, the IFoA will be launching a series of three bulletins that will examine insurance inclusion in more detail, factors giving rise to change, the response from the insurance sector, and resulting societal impacts. The response of the insurance sector to these changing dynamics provides challenge and opportunity. Governments, regulators, consumer groups and the insurance industry itself are already considering and responding to the evolving environment. Consistent themes are ‘fairness’ and ‘exclusion’, and whether suﬃcient protections are in place to ensure that insurance remains ﬁt for purpose and does not penalise or exclude those most in need of protection. In particular, there has been much recent regulatory focus on the impact of ﬁnancial services – including insurance – on vulnerable consumers. The ﬁrst bulletin looks at drivers of change, and how the industry will need to adapt to the needs of society in response to changing lifestyles, new technologies and healthcare advances. Here we present three industry views: one examining the role of wearables, another emphasising that consumers’ needs must always be kept in mind, and the third looking at the economy.
The ﬁrst bulletin of our Inclusive Insurance series is titled Drivers of Change. As well as looking at the above topics in more detail, it will also consider a range of other factors, including the rise of the gig economy, genetics and climate change. If you want to contribute your own perspective to the IFoA’s Inclusive Insurance Bulletins, contact firstname.lastname@example.org 8 | THE ACTUARY | JUNE 2020
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Consumer needs Hannah Poll, Citizens Advice Citizens Advice research found that loyal home insurance consumers are paying a £750m loyalty penalty every year when renewing. Despite submitting a supercomplaint to the Competition and Markets Authority in 2018, urging the identiﬁcation of interventions and protection for consumers, we are yet to see the steps required from regulators to prevent this.
“Most people don’t realise they’re paying a loyalty penalty” Most people don’t realise they’re paying a loyalty penalty, even when premiums are increasing. Two in ﬁve people who have had their policy for a year or more think loyal customers are charged the same as, or less than, new customers. Loyalty isn’t always a conscious choice. A recent Financial Conduct Authority (FCA) market study found that insurance ﬁrms engage in practices that make it harder for consumers to make informed decisions. Consumers must exert an unreasonable amount of time and eﬀort to navigate the market successfully. This especially impacts vulnerable and low-income consumers. For example, one in four people who have experienced a mental health problem during the past 12 months have avoided switching because they found the idea of it overwhelming (Citizens Advice, The Mental Health Premium, 2019). It is unreasonable to expect consumers to understand the nuances of a complex market. Without remedies that address the structural causes of the loyalty penalty, some consumers will continue to be exploited. The FCA must focus on supply-side interventions that increase pricing fairness and transparency, and set out speciﬁc protections for low-income and vulnerable consumers.
Technological advances Anna Spender, IFoA Wearables and Internet of Things Working Party The range of wearables, devices and apps that measure, track and aggregate health and lifestyle measures is ever-expanding. The use of these technologies, and the richness of data that they provide, creates both opportunities and challenges for the insurance sector and consumers alike. Wrist-borne wearables and smartphones in particular make measures that were previously only available in laboratory or clinical settings readily accessible to anyone prepared, and importantly able, to spend money on these devices, associated platforms and apps. This is important because the cost of wearables creates barriers to inclusivity: only those able to aﬀord them will reap the beneﬁts of integrating data from these devices with their insurance provision.
“The cost of wearables creates barriers to inclusivity” Information from these devices can be used by insurers in multiple ways, some of which could enhance inclusivity and others which may result in exclusion. The data can be used to better identify consumers’ risk proﬁles. While this can undermine the principles of risk pooling and cross-subsidy, it could also open up the market to previously excluded groups by enhancing understanding of risk, and encouraging behaviours aimed at reducing risk via feedback and behavioural nudges. Where wearables are found to have a positive impact for consumers, either by reducing premiums or encouraging ‘positive’ behaviours, insurers and/or health services should facilitate the purchase of wearables for those with little disposable income. www.theactuary.com
Upfront News The economy Colin Dutkiewicz, IFoA Life Board Economic conditions can have a signiﬁcant bearing on the demand for insurance (life insurance and savings often do not get priority); insurers’ returns on investments and assets; and prevalence of claims. These aﬀect premiums, and ultimately whether people can aﬀord insurance or believe it oﬀers good value. Life and non-life insurers are exposed to economic conditions such as recessions and ﬂuctuations in inﬂation, interest rates and investment returns. For non-life insurers, new business sales are correlated with domestic consumption (eg car purchases) and insurance purchases. During a recession, it is common to see non-life insurance sales decrease. The industry also saw fraudulent claims after the 2008 ﬁnancial crisis. For life insurers, which have long-term liabilities, success depends on investing in a way that matches these liabilities. This would typically be relatively conservative, but with a search for additional returns in long-dated illiquid assets such as infrastructure and property. This is good for the economy and, when successful, consumer product pricing.
“The economy has had an impact on the aﬀordability of insurance products” In recent years, the economy has had a signiﬁcant impact on the availability and aﬀordability of non-life and life products. Decisions made by the government and regulators, and actions taken by the industry, mean the impact has manifested diﬀerently across the sector, thereby commanding a range of solutions. Some solutions will be sector-speciﬁc – eg alternative vehicles for oﬀering long-term guarantees or addressing loyalty penalties. Others will be relevant sector-wide – eg removing barriers to shopping around, ﬁnancial advice and building ﬁnancial capability. The IFoA can play a role by drawing together expertise from across the industry to inform debates on whether the sector is operating in the public interest. In our bulletins, we will be looking at potential solutions and considering how the industry can increase inclusion, particularly for those who are vulnerable, or in lower socio-economic groups. www.theactuary.com
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EVENTS AND CONFERENCES 15 06 20 Webinar: IFoA Annual General Meeting The IFoA’s AGM for 2020 will be held via live webinar at 12.00 BST on Monday 15 June, and will be followed by a Q&A session with the IFoA leadership team. Your views are important to us, so we encourage you to register to attend the meeting so we can hear your opinions and questions. You can book your place on the webinar on the IFoA website.
16 06 20 Pensions Conference 2020 webinar series commences Due to COVID-19, we are running this programme via a series of webinars that focus on topics including funding and savings, pension law current issues, ESG, the end game and transferring risk, investment issues, data visualisation and data science. Expect a wide range of thoughtprovoking topics given by thought leaders in the ﬁeld.
18 06 20 Webinar: Presidential address – Tan Suee Chieh Tan Suee Chieh will be inaugurated as president of the IFoA at this year’s AGM. Join us for his presidential address on ‘Uncertainty, Culture and Imagination’. Using the COVID-19 crisis as the backdrop, he will invite the IFoA and the profession to reimagine its role in the digital age, and in a future fraught with uncertainty. More details can be found on the IFoA website.
03 07 20 Finance and Investment webinar: Sustainable private equity investment, an insurer’s free lunch? This talk expands on recent changes to Solvency II regulation to include sustainability risks, and
explores whether private equity oﬀers an opportunity for making long-term and impactful investments.
07 07 20 Finance and Investment webinar: Implementing ESG principles within real asset investment decisions In this talk we cover the practicalities of implementing ESG within real asset investment decisions. Capital deployed in real assets is invested for long term and has a far-reaching impact on the environment and society. However, implementing ESG into real asset investment decisions is not straightforward and requires a diﬀerent approach to public market assets.
14 07 20 Finance and Investment webinar: Incorporating climate change in analytical tools Climate change risks are likely to become material for many risk management and investment decisions. This will require organisations to explicitly incorporate climate change into the tools used for risk management and investment decisions. At present, existing climate change tools are often too crude for decision making. To book and watch any of our webinars, including the AGM and Presidential Address, please visit www.actuaries.org.uk/event
View all of our workshops, seminars, webinars, events, and conferences at www. actuaries.org.uk/event
JUNE 2020 | THE ACTUARY | 9
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LETTER OF THE MONTH
Have your say
Setting a precedent This year will see the 25th anniversary of the case of Stevenson v Sweeney (1995 SLT 20), which was heard in the Court of Session in Edinburgh by Lord Morton of Shuna in the autumn of 1995. In this case, damages of £318,327 were awarded for the cost of future care for the 19-year-old pursuer [plaintiﬀ], who had suﬀered serious head injuries in a car accident which resulted in him being unable to look after himself and requiring care for the remainder of his life. These damages were assessed by using a multiplier of 20, which was at the time the highest multiplier ever used by a court in the UK. This level of multiplier was accepted by the court on the basis of actuarial projections that I prepared for the solicitors acting for the pursuer, Digby Brown, and which they submitted as evidence. I understood at the time that this was the ﬁrst time actuarial evidence was accepted by a court anywhere in the UK. I would be interested to know if any other actuary knows of an earlier case where actuarial evidence was accepted. There certainly were earlier cases where actuarial evidence was rejected by the judge. Mitchell v Glenrothes Development Corporation in 1987 was one, and in an earlier case in England the judge famously remarked that he would prefer to accept the evidence of an astrologer rather than an actuary. I was told sometime later that it was the Sweeney case that established the precedent that actuarial evidence was acceptable to the UK courts, and as we approach the 25th anniversary of the hearing I would certainly like to know if this was indeed the case. PETER A WYLIE 18 APRIL 2020
www.rnaanalytics.com More comments are posted online about news stories published on www.theactuary.com JUNE 2020 | THE ACTUARY | 11
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Dan Georgescu talks to Professor Nick Higham, Richardson Professor of Applied Mathematics at the University of Manchester, about his role in applying maths to financial problems
t is diﬃcult to overstate the importance of Professor Nick Higham’s work for the insurance industry. The Higham algorithm and its successors for ﬁnding the nearest (valid) correlation matrix (NCM) are embedded in most internal models and economic scenario generators, underpinning the calculation of the capital requirements across Europe, which is measured in billions of pounds and euros. In 2000, Higham was approached by Orbis, a London investment company, which asked whether he knew the best way to approximate an ‘almost correlation matrix’ by a true correlation matrix. The problem was that the matrix was constructed from stock return data, in which stock prices were missing on certain days. “If one takes the pairwise sample correlations on the days that each pair of stocks has data, the result is a matrix that is superﬁcially okay, but is usually non-positive semideﬁnite because of the inconsistent datasets,” he says. “Indeed, even for very small dimensions a matrix can look like a valid correlation matrix, with ones on the diagonal and oﬀ-diagonal elements between -1 and 1, but can have negative eigenvalues. And negative eigenvalues have potentially dangerous consequences, such as an investment portfolio with negative risk.” When Higham looked into the problem, he found that while there had been some attempts to ﬁnd the NCM in the Frobenius norm (which is based on the sums of squares of elements), none of them were guaranteed to converge. He was able to develop the
mathematical theory of the problem and propose an alternating projections method that provably computes the unique solution. The 2002 paper presenting this work is still his most cited paper; the reason for this is not obvious, though. “While ﬁnance is a major application for the NCM, the problem has proved to be ubiquitous, thanks to the explosion in data-driven models,” he says. He checked Google Scholar just before this interview took place and found that the latest citation comes from a paper on the environmental impacts of pig production. Another project he is particularly proud of is The Princeton Companion to Applied Mathematics (2015), which he edited. This 1,000-page book was produced over a ﬁve-year period and comprises 186 articles from 165 authors. It covers a broad range of topics and includes articles on ﬁnancial mathematics, portfolio theory, mathematical economics, and mathematics and policy. The Princeton Companion was intended to deal with issues that are likely to be of enduring interest. The article ‘The Spread of Infectious Diseases’, for example, is one that will currently be of even greater interest than its authors expected.
Keeping it in the family At the age of 16, Higham felt that English and maths were his best subjects, but decided to pursue the sciences for A-Level as he thought this would lead to a better career path. During his A-Levels, maths was his favourite subject, and so he continued it at university. He most enjoyed the numerical analysis courses and
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PHOTOS: ROB WITHROW / ISTOCK
“Manchest has been at er heart of adv the a in science a nces technology nd s the Industrince i Revolution al ”
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was fortunate to have his own Commodore PET (one of the early microcomputers) on which he could program many of the algorithms. By the time he came to write his ﬁnal year undergraduate project, he realised that he was out of practice at writing prose. Remedying this led to his lifelong interest in scientiﬁc writing, and he has just produced a third edition of his book on the topic (Handbook of Writing for the Mathematical Sciences, Society for Industrial and Applied Mathematics, Philadelphia, 2020). Higham has written several papers and a book (MATLAB Guide, 3rd edition, SIAM, 2017) with his younger brother Des, who is a professor in mathematics at the University of Edinburgh. He collaborates with his wife, Françoise Tisseur, who is also a mathematician – as are her two siblings, Des’s wife and her three siblings. The pattern is not diﬃcult to spot; part of what unites them is a deep love for and interest in the subject.
The University of Manchester
is “For now it eck ch prudent to cy of the accura that re any softwa e ‘GPU claims to b ed’” accelerat
Why is Manchester, where Higham is based, such a hotbed of mathematical innovation? “Manchester has been at the heart of advances in science and technology since the Industrial Revolution,” he explains. “Two of the University of Manchester’s most well-known breakthroughs were the splitting of the atom by Rutherford and the development of the world’s ﬁrst stored program computer [the Manchester Baby] in 1948 by Kilburn and Williams. Most recently, graphene was discovered here by Geim and Novoselov.” He ﬁnds that the University of Manchester provides an environment that encourages innovative research, and is particularly supportive of interdisciplinary work and collaboration with industry. COVID-19, however, caused all universities to cease on-campus activities in March, and lecturers immediately transferred to online teaching. UK universities were ahead of the game compared with many other countries, as they had been using e-learning platforms for some time. Several of Higham’s colleagues in the Department of Mathematics have been engaged in the global eﬀorts to mathematically model the virus’s spread. His world-class research and outstanding achievements have been recognised with The Royal Society Research Professorship, the Society’s premier research award. What does the grant mean to him? “It provides long-term support enabling me to concentrate on research, freeing me from teaching and administrative duties. It started in 2018 and has enabled me to expand my team and tackle a wide range of research problems of practical interest. Our goal is fast and accurate solution of numerical linear algebra problems on modern computer architectures, and the computing resources we target range from a desktop PC to the world’s fastest computer, Summit at Oak Ridge National Laboratory.”
What next? We discuss the focus of his current work, much of which is related to ﬂoating-point arithmetic – used for most ﬁnancial and scientiﬁc computations. “For a couple of decades leading to the mid 2000s, everyone used the same arithmetic: IEEE standard double precision or single precision,” he says. “Nowadays it’s like the Wild West, with 14 | THE ACTUARY | JUNE 2020
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IEEE half precision and Google’s bﬂoat16 (also a half precision format) available in hardware and other low-precision formats being proposed for machine learning. Because these low-precision arithmetics execute so fast on graphics processing units (GPUs), it is tempting for programmers to use them, but the computations are obviously of low accuracy, and underﬂow and overﬂow are much more likely than for single precision or double precision. Machine learning algorithms seem to be quite resilient to reduced accuracy, but in ﬁnancial and scientiﬁc computations we have to be very careful about allowing large errors in the computational pipeline.” Higham is working to exploit the speed of low-precision arithmetic while still providing higher precision accuracy of the results, principally by developing mixed precision algorithms. “Of course, the users of software packages should not need to worry about what lies under the hood, but for now it is prudent to check the accuracy of any software that claims to be ‘GPU accelerated’.” He also writes a blog, which covers an impressive range of topics: from research to software to the best pencils to use for handwriting mathematics. I have to ask how he ﬁnds the time. “I’m good at managing my time and have eﬃcient workﬂows,” he says, recalling his time as president of the Society for Industrial and Applied Mathematics (SIAM), the world’s largest applied mathematics society. “I wrote a monthly column for SIAM News, the society magazine. I prepared the columns in Emacs Org mode [Emacs is an old but very powerful editor] and exported them to LaTeX for proofreading and ﬁnally to Word for submission to SIAM. One of my time-saving secrets is to spend as little time as possible using Word!” Although he exploits technology to the full for work purposes, he also enjoys using analogue tools. “Nothing beats a pen or pencil and a notebook when you want to be creative”. www.theactuary.com
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STRIKING A BALANCE Stephen Wilcox explains how the PPF manages risks so it can protect millions of members of UK defined benefit pension schemes
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he new challenges caused by COVID-19, which has left many businesses on the brink of survival and the global economy in a state of paralysis, put risk management procedures to the test. At the Pension Protection Fund (PPF) we use various tools to help us understand and manage our risks, both now and in the future.
IMAGE: IKON IMAGES
The challenges of understanding balance sheet risks The PPF is a UK statutory organisation that protects people with an eligible deﬁned beneﬁt (DB) pension if their sponsoring employer becomes insolvent, providing compensation for their lost pensions. We’re not subject to ﬁnancial services regulation and manage a balance sheet that, at the last accounting date (March 2019), amounted to £32bn of our own assets under management. We also estimated that a further £6.5bn of assets belonged to schemes that were going through our assessment period and were likely to transfer to our balance sheet. This makes the PPF one of the country’s largest providers of DB pensions. Our role protecting members of UK DB pension schemes presents us with a unique set of risks, and claims are often unexpected and inﬂuenced by micro and macroeconomic situations. We cannot underwrite our risks, and every claim we receive has an impact on our balance sheet. Our response to situations such as the current pandemic focuses on our long-term funding strategy. This is set out in the PPF Risk Appetite statement, which details that if our funding level changes signiﬁcantly in the short term, we’ll ensure our response is consistent with our long-term funding strategy – rather than immediately responding to restore our funding level in the short term. This approach to risk is exclusive to the PPF, as we’re not required to adhere to any speciﬁc regulatory constraints. The key aspect of our risk exposure, impacting our assets and liabilities, is the external and uncontrollable risk around claims. When a company suﬀers an insolvency event and its associated DB pension scheme has insuﬃcient assets to pay its members at least what the PPF would pay, the scheme – including its assets and liabilities – will transfer into the PPF. Our challenge is to understand how risks interact, for instance how the factors that aﬀect our assets and our liabilities also aﬀect the assets and liabilities of the schemes we protect. We also factor in the likelihood that scheme sponsors will fail, and think about what might happen if they do. All of this makes for a complex risk management operation. At times like this, we need to juggle our understanding of inherent risk exposures with an estimate of how various government support schemes might change those exposures, and estimate how the assets of the schemes we protect might change in the most volatile asset markets any of us have encountered. www.theactuary.com
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Working with TPR and understanding credit risk We work with The Pensions Regulator (TPR) to better understand external risks and to minimise the impact when a scheme sponsor fails. This enables us to look ahead, so that we can understand where the risk of troubled scheme sponsors might come from. This collaborative approach is vital to ensure the best outcome for members of DB pension schemes. Alongside our internal risk department, we also operate a standing credit risk group to analyse our exposures. This brings together experts from the risk department, actuarial ﬁnancial management department, and restructuring and insolvency to talk about how businesses respond to stress and identify potential future claims. For us, credit risk involves understanding the frequency of a claim (modelling the credit risk of a sponsor) and the size of a claim (using actuarial analysis of assets and liabilities). Engagement from this cross-departmental group ensures there is a common understanding of the risks we face across the organisation.
Four funding sources While the PPF is a public corporation, we’re not funded by the government or taxpayer, and managing our balance sheet appropriately is critical if we are to deliver on our statutory obligations. Our funding strategy, which balances the risks of our four sources of funding – levy, scheme assets, recoveries from insolvent sponsors and investment income (see Figure 1) – works to ensure that, in the long term, there is a suﬃciently high likelihood that we will be able to pay our liabilities as they fall due. The annual levy paid by schemes eligible for PPF protection is substantially under our control. The levy is calculated based on the risk the scheme poses to us, and increases with the size of the risk. FIGURE 1 How the PPF has been funded so far.
We raise the money we need to pay PPF beneﬁts and the cost of running the PPF in four ways: 12%
Split of funding sources Assets from pension schemes transferred to us The return we make on our investments The levy we charge on eligible pension schemes Recovered assets we secure from insolvent employers
Source: PPF Annual Report 2018/19
The assets from the schemes we take on make up the largest proportion of our balance sheet and are ﬁxed at the time of employer insolvency. Our recoveries from insolvent employers are dependent on the level of asset realisations and the quantum of creditor claims. Usually the pension scheme is an unsecured creditor, so recoveries will be paid out only after amounts due to secured creditors. During this process, our restructuring and insolvency team will work with stakeholders to actively manage recoveries and thus maximise value. Once the assets are in our hands, the level of risk we run – and hence the expected return on our investments – is entirely under PPF control. We operate a strategy of actively hedging 100% of our inﬂation and interest rate risk using a mixture of bonds and swaps, JUNE 2020 | THE ACTUARY | 17
which has served us extremely well over the years. The remainder of our asset portfolio is invested for capital growth. We invest globally in order to diversify away from the UK economy in which scheme sponsors operate, but the returns on our investments are highly dependent on economic circumstances.
Modelling the future One of the most signiﬁcant management tools we use to assess our ﬁnances is our Long-Term Risk Model (LTRM), based on the Monte Carlo simulation model. We run a million diﬀerent scenarios to project what the future may look like under a range of economic, demographic and behavioural statistical distributions. The LTRM helps us to measure progress against our funding target so that we can pay both our current and future members. Currently, our aim is to have a 90% probability of being at least 110% funded by 2030 (Figure 2). The 10% over-funding is intended to provide a buﬀer against demographic and operational risks – risks that are diﬃcult or impossible to hedge cost-eﬀectively. FIGURE 2 Projections of PPF funding ratio. 250
200 150 100 50
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 2030
Year KEY: 95th/5th percentile 80th/20th percentile 70th/30th percentile 60th/40th percentile Mean
Source: The Purple Book 2019
This sort of modelling is most reliable when there is a clear baseline to project from and a clear understanding of future possibilities. At the moment we are in a position of radical uncertainty, where both the current situation and the possible future outcomes are very diﬃcult to project. We have two transformation projects underway, including transferring the LTRM to a modern platform used within the insurance industry for Solvency II. Upgrading the model will provide a robust foundation for our second important project: fully reviewing our funding strategy. As we get closer to 2030, we need to ensure we have the right strategy in place for the longer term.
The Purple Book and PPF 7800 Index In order to inform our risk understanding – including both the credit risk analysis and the long-term modelling of the LTRM – we need good quality data about the schemes we protect. Each year we publish a data summary in The Purple Book, which helps us and the 18 | THE ACTUARY | JUNE 2020
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“We need to juggle our understanding of inherent risk exposures with an estimate of how various government support schemes might change those exposures” wider UK pensions industry understand the risks we’re exposed to, and promotes best practice in risk management. The Purple Book provides the most comprehensive picture available of the risk proﬁle of the DB pension schemes we protect. Its data helps us to identify and assess the risks to our objectives in an environment of signiﬁcant uncertainty. The detailed breakdown covers scheme demographics, funding and information on historic claims on the PPF and the levies we receive. When we ﬁrst started reporting on the DB pension universe, there were 7,800 schemes. Over the years this has become smaller – more than 1,000 schemes have transferred into the PPF, while others have wound up. Today there are about 5,400 schemes we need to consider, as they could transfer to the PPF in the event of a company insolvency, and a signiﬁcant number remain underfunded. Looking at the scheme deﬁcits provides us with an estimate of the economic value that we protect. Using The Purple Book data as a baseline, we are able to publish the PPF 7800 Index each month. The index is an oﬃcial statistic and provides us with a monthly estimate of the aggregate funding position of the DB universe eligible for our protection. In our April 2020 update, the aggregate deﬁcit was estimated to be £135.9bn at the end of March 2020, and nearly two-thirds of the universe is currently in deﬁcit.
Operational resilience Operational risk is also extremely important to us. We encourage the schemes we protect to have contingency planning guidance in place that will mitigate operational risks to trustees, scheme members and the PPF in case their sponsors fail. We need to ensure that we are also operationally resilient. Despite not being regulated, we adopt the Prudential Regulation Authority and Financial Conduct Authority guidance as best practice. These plans are regularly and robustly tested, and it’s been business as usual across the whole organisation since the prime minister STEPHEN announced people should work from home WILCOX and avoid all unnecessary travel on 16 March is chief risk oﬃcer at the Pension – an example of risk management in action. Protection Fund We had a plan in place, which we implemented at pace and continue to evolve in response to changing circumstances. We remain conﬁdent that our approach to risk management will ensure that we are well placed to meet our current and future obligations. www.theactuary.com
Sharing the load Simon Eagle looks at developments in the provision of collective defined contribution pensions in the UK
Under option 1, some employers might question whether they want such an unpredictable and volatile cost, or an 80-year commitment that shows on their balance sheet and which they can’t be sure to honour. Option 2 ﬁxes that problem but puts the investment decisions – and risk – onto each individual employee, who must also cope with drawing down through an unknown lifespan, or judge whether the security provided by an annuity is worth the price. Option 3 ﬁxes these problems and, through the sharing of risk, can adopt investment strategies that target higher returns than options 1 and 2, thereby being expected to lead to higher average pensions. Pension increases can be relatively stable if set as follows: When a scheme is opened, there is an amount of ‘headroom’ in the contributions to fund for future pension increases; it is only if the funding health suﬀers very materially that the headroom could run out and pensions would be reduced. www.theactuary.com
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It is the long-term pension increase rate (rather than this year’s pension level) that varies based on funding health. Option 3 could well be popular.
UK pension provision and CDC You know these options as deﬁned beneﬁt (DB), deﬁned contribution (DC) and collective deﬁned contribution (CDC) respectively. In the UK, DB has evolved over time – the DB guarantee was introduced gradually from the 1970s onwards. DC started out as additional voluntary contribution pots, but became the only option when the DB guarantee became too costly for employers. CDC is set to become an option through the current Pension Schemes Bill, which has been delayed by Brexit and COVID-19 but is still expected to achieve Royal Assent this year, with the necessary regulations following next year. The government ran a consultation on CDC just over a year ago, where it received general support from the pensions industry and broader stakeholders. Under the initial regulations, employers will be able to set up CDC trusts, subject to approval from The Pensions Regulator. Employers are likely to need at least 5,000 employees for this to be cost eﬀective. Otherwise, in time, employers could look to a CDC master trust for easier access to CDC. These could be used either for accumulating pension or as an additional option for DC savers wanting to buy a CDC pension at retirement. However, to make this a reality, a further round of regulation will be needed – the industry will need to design how CDC master trusts will work, compete commercially, and be regulated.
What’s happening internationally? CDC has existed elsewhere for some time, particularly in the Netherlands, Denmark and parts of Canada. These countries have all received acclaim for their pension provision systems – although bear in mind that they all use diﬀerent forms of CDC to each other, and to the form of CDC that is being developed in the UK. Dutch CDC schemes have experienced problems around the perception of fairness. Pension increase levels are set based on a prudent measure, so money is being held back from the current pensioner population. UK CDC is due to set pension increases based on best estimates of funding levels, as part of achieving fairness. Many countries have DC as the predominant private pension provision, with lump sums being taken at retirement. That can lead to individuals running out of money in retirement, or conversely being overly cautious by holding back money and not taking a good retirement income. CDC overcomes this: as a collective scheme that pays pensions for life, it automatically pools longevity risk across the membership. SIMON EAGLE For CDC, strong is a senior director governance is needed and UK head of CDC at Willis Towers to ensure that Watson pension increase levels are set at appropriate levels. Subject to this, there would seem to be a good case for CDC in many countries.
magine private pension provision didn’t yet exist and society decided it was time to introduce it. Three options are put forward: 1 Employers guarantee that a fund will pay pensions at a promised level, as long as the employer remains in business 2 Employees are given retirement savings pots that they draw from in retirement, or use to buy insured annuities 3 Employers pay ﬁxed contributions into a fund to pay employees’ pensions, where the pension increase (or reduction) rate varies annually depending on the funding health of the scheme.
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IN THE FRAME O Pau Ling Yap and Paolo Cadoni on the recently agreed reforms that aim to improve supervision of internationally active insurance groups
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What is an IAIG?
ComFrame identiﬁes an IAIG as an insurance group that meets criteria related to its international activity and size. ComFrame deems a group internationally active if it writes gross premiums in at least three jurisdictions and at least 10% of its total gross written premiums comes from outside its home jurisdiction. A group may meet the size criteria by holding at least US$50bn of total assets or by writing at least US$10bn of gross written premium, both assessed on a rolling three-year average basis. The two measures for size are designed to capture life, non-life and composite insurers. Notwithstanding these quantitative considerations, ComFrame allows some supervisory discretion in the identiﬁcation of IAIGs. From July 2020, the IAIS will publish a register of IAIGs that have been identiﬁed and publicly disclosed by group-wide supervisors in their respective jurisdictions, with annual review points thereafter. This register may evolve over time as insurers change their business strategies and partake in (de)mergers, acquisitions and disposals.
The global insurance supervisory landscape before November 2019 Before November, the only international standards on the supervision of insurance legal entities and groups (irrespective of size) were the
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n 14 November 2019, during its Annual Conference in Abu Dhabi, the International Association of Insurance Supervisors (IAIS) announced the adoption of the ﬁrst global frameworks for the supervision of Internationally Active Insurance Groups (IAIGs) and the mitigation of systemic risk in the insurance sector. This comprehensive set of reforms will enable eﬀective cross-border supervision of IAIGs and contribute to global ﬁnancial stability. The agreement was the culmination of signiﬁcant contributions from regulatory institutions around the globe since 2013, including the Bank of England and the Prudential Regulation Authority, which over the years have led and otherwise contributed to the diﬀerent IAIS activities. From 2020 onwards, IAIS members commit to implement: The Common Framework for the supervision of IAIGs (ComFrame) The Holistic Framework for the mitigation of systemic risk in the insurance sector Version 2.0 of the risk-based global Insurance Capital Standard (ICS) for a ﬁve-year monitoring period (2020-2024), ie the insurance equivalent to the Basel capital standards for banks.
IAIS’s Insurance Core Principles (ICPs). In other words, supervisory materials tailored to IAIGs did not exist prior to the adoption of ComFrame. ComFrame material is now integrated into a subset of the revised ICPs: Suitability of Persons, Corporate Governance, Risk Management and Internal Controls, Supervisory Review and Reporting, Preventive Measures, Corrective Measures and Sanctions, Exit from the Market and Resolution, Investments, ERM for Solvency Purposes, Group-Wide Supervision, Supervisory Cooperation and Coordination. The Holistic Framework replaces the previous approach to mitigating systemic risk in the global insurance sector, which saw a set of pre-determined policy measures applied solely to a small group of identiﬁed global systemically important insurers (G-SIIs) – insurance groups identiﬁed as having a global ﬁnancial stability impact in the event of failure. The new approach recognises that systemic risk can arise both from sector-wide activities and exposures, as well as from a concentration of these within individual insurers. It includes a proportionate application of an enhanced set of policy measures to a broader portion of the insurance sector. The annual identiﬁcation of G-SIIs is suspended from 2020, subject to an implementation review in 2022. The impact of changes introduced by these reforms varies across jurisdictions, depending on the extent of gaps in existing regulatory frameworks.
FIGURE 1 IAIG identiﬁcation criteria.
Firm-speciﬁc considerations International activity
Premiums from ≥ 3 jurisdictions AND ≥ 10% of group’s total gross written premiums from outside home jurisdiction
Group’s total assets ≥ US$50bn (3-year rolling average) OR Gross written premiums ≥ US$10bn (3-year rolling average)
Discretion IAIG List
Group-wide supervisor’s discretion to opt in/opt out with regular review to maintain an up-to-date list
IAIG list submitted to IAIS
ICS: ﬁeld testing, monitoring and beyond Between 2014 and 2019, the IAIS conducted six quantitative ﬁeld testing exercises, extensive stakeholder engagement and three consultations. The agreement of ICS Version 2.0 in November Potential challenge at the IAIS 2019 represents a major step forward in the pathway to the ultimate goal of a single global capital standard, ie a prescribed capital standard (PCR), for IAIGs by the end of the monitoring period in 2024. Published publicly The monitoring period is intended as a period of stability during which the IAIS will monitor the performance of the ICS. It is not intended for monitoring the capital adequacy of IAIGs (ie the ICS will not trigger supervisory actions, and IAIGs need not manage THE FRAMEWORKS: IN BRIEF their business to the ICS), or for third party use. IAIS global monitoring exercise to However, this does not preclude amendments to ComFrame provides minimum identify potential issues leading to address unintended consequences or major ﬂaws. supervisory standards tailored to the systemic risk, and a robust An important element of the monitoring period international activity and size of IAIGs. implementation assessment. is the discussion of ICS conﬁdential reporting in It gives home and host supervisors a ICS Version 2.0 for the monitoring supervisory colleges. This is to gather feedback common language with which they can period is the quantitative component from frontline supervisors on the design and supervise IAIGs eﬀectively. It builds on of ComFrame that assesses the performance of the ICS. The IAIS will use this the ICPs that are applicable to all consolidated group-wide capital feedback – together with ongoing data analysis, insurers, beyond IAIGs. adequacy of IAIGs. It is a single reference a public consultation (2023) and an economic The Holistic Framework recognises methodology for valuing assets and impact assessment (2023-2024) – to address that systemic risk can arise both from liabilities, assessing eligible capital material issues before implementing the ICS as sector-wide activities and exposures, resources and calculating capital a group-wide PCR. and from a concentration of these in requirements. The ICS aims to enhance Active participation of IAIGs and supervisors individual insurers. It consists of an global convergence in group solvency is important for providing valuable feedback on enhanced set of supervisory policy the ICS. IAIS members have therefore agreed measures and powers of intervention for and insurance capital standards through the use of a common language. collectively to make participation in the monitoring macroprudential purposes, an annual period as large as possible. JUNE 2020 | THE ACTUARY | 21
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KEY ELEMENTS OF ICS VERSION 2.0 It is a risk-based, consolidated group-wide capital standard. It consists of the reporting of the reference ICS, additional reporting at the option of group-wide supervisors, and supervisory college discussions. The reference ICS consists of a marketadjusted valuation (MAV) approach for the balance sheet, criteria for qualifying capital resources, and standard method for the capital requirement calculation. The ICS ratio is the qualifying capital resources divided by the capital requirement. The MAV approach requires adjustments to audited, consolidated jurisdictional generally accepted accounting principles (GAAP) or statutory accounting principles
accounts, eg current estimate (the best estimate) for insurance liabilities determined using IAIS methodology for yield curves in discounting insurance liability cash ﬂows; and fair values for ﬁnancial instruments. The standard method for the capital requirement follows a modular approach and is calibrated to a 99.5% value at risk over a one-year time horizon of adverse changes to the qualifying capital resources. Risk charges are measured using a stress approach or a factor-based approach, apart from the natural catastrophe risk charges where models (subject to safeguards) are allowed.
Aggregation Method Since the 2017 IAIS Annual Meeting in Kuala Lumpur, US members have indicated that their supervisory framework does not support a group-wide consolidated approach to a PCR. The US and other interested jurisdictions are thus developing the Aggregation Method (AM), which aims to deliver an outcome-equivalent implementation of the ICS. The AM is not part of ICS Version 2.0 for the monitoring period, nor is it being developed by the IAIS as an alternative global standard. The IAIS will hold two public consultations before beginning, in Q4 2023, a technical assessment of whether the AM provides comparable outcomes to the ICS and can be considered an outcome-equivalent approach for the implementation of ICS as a PCR. The 2020 consultation will be on the draft deﬁnition of comparable outcomes and high-level principles to inform the comparability criteria. The 2021 consultation will be on the draft criteria to assess whether an AM provides comparable outcomes to the ICS.
Impact of COVID-19 In late March, the IAIS reviewed the impact of the pandemic on global insurance and revised the original ICS Version 1.0 completion 1st ICS consultation
2nd ICS consultation
work plan to provide operational relief to stakeholders. As of early April, the key decisions for 2020 were: ComFrame: The monitoring of IAIG identiﬁcation and the development of the public register of IAIGs will continue remotely. Holistic Framework: The timeline for the 2020 global monitoring exercise is under review, with at least a four-month delay to the data submission deadline. In the immediate term, the IAIS will focus its eﬀorts on undertaking a targeted assessment of the impact of COVID-19 on the global insurance sector. ICS Monitoring Period: The data submission deadline is extended from 31 August to 31 October (the end of April launch date is unchanged). The 31 March 2020 balance sheet will be collected as the ICS stressed balance sheet to reﬂect COVID-19. The IAIS will monitor the pandemic and revise decisions and timelines as necessary. We refer our readers to the IAIS website for updates on the reforms, or indeed other IAIS initiatives in response to the outbreak. The IAIS website contains more information about ComFrame (bit.ly/2SGpJjp), the Holistic Framework (bit.ly/2VTcddZ) and the ICS (bit.ly/2SphN5S).
2nd Field Testing
3rd Field Testing
4th Field Testing
5th Field Testing
6th Field Testing
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5-year monitoring period Reference ICS
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DR PAOLO CADONI is technical head of department for insurance policy at the Bank of England, acting chair of the IAIS Policy Development Committee and chair of the IAIS Capital, Solvency and Field Testing Working Group
Decision on: Equivalence of other regimes (eg Aggregation Method) and internal models
NOW 1st Field Testing
FIGURE 2 ICS development stages.
PAU LING YAP is a technical specialist in the Bank of England International Insurance Policy Team and has represented the UK in the development of the ICS since 2018
ICS Version 2.0 adoption at Abu Dhabi 3rd ICS consultation
Capital resources are classiﬁed into two tiers based on loss absorbing capacity, level of subordination, availability to absorb losses, permanence and absence of both encumbrances and mandatory servicing costs. Additional reporting includes a GAAP with adjustments valuation approach (GAAP+) and other methods for capital requirements calculation, for example internal models, dynamic hedging, and supervisory-owned and controlled credit assessment processes (SOCCA). The IAIS will decide by the end of the monitoring period whether these methods would feature in the ﬁnal ICS design.
Optional additional reporting
Supervisory college discussion
ICS as the group-wide prescribed capital requirement (PCR)
Eyes on the prize Joseph Lo looks back on some past winners of the Brian Hey Prize
he general insurance actuarial story has been one of ingenuity and sharing, collectively solving problems in this dynamic industry. Over the past 20 years, the IFoA’s annual Brian Hey Prize for best general insurance research has brought together many high-quality research papers. We hope you and your colleagues will revisit these great papers – and be persuaded to submit a paper, too.
carry important details more easily. New ideas can be put forward in logical ways and demonstrated by examples, with assumptions and arguments that tend to be much clearer and more precise. Writing a paper helps to maintain discipline, leading to higher quality in the research itself. Putting ink on paper demands accuracy in the use of words, creating the chance to form better insights.
Over to you Past papers – still relevant You will ﬁnd that past winning and candidate papers form a treasure trove of reference material and actuarial insights. The collection covers a wide range of topics that are still highly relevant today, even if they were ﬁrst penned in response to challenges of the day. North Atlantic hurricanes remain a key accumulation risk for many general insurers and are arguably more uncertain than they have ever been, especially in face of climate change. The 2006 winner ‘Report of the Catastrophe Modelling Working Party’ is an excellent resource for anyone wishing for a deep refresher on catastrophe modelling, or a quick look-up of key modelling concepts. As the authors of the 2005 candidate ‘Claims Inﬂation’ suggest, “like it or not, non-life actuaries cannot get away from claims inﬂation”. This could become especially pertinent in the face of COVID-19’s socio-economic consequences. Although the paper focuses on UK and US casualty lines, it touches on various concepts that all actuaries should pay attention to. Insurance products have been increasingly commoditised and competitive for many years now. ‘Winner’s Curse’, from 2009, explores an interesting concept that is half a century old but still has implications for today’s pricing strategies and discussions around the underwriting cycle. The idea is brought to life through lucid explanation and illustrative modelling.
I hope that you are persuaded to discover or rediscover the Brian Hey Prize papers as comprehensive references or intellectual stimulants to supplement your actuarial work. Sharing and discussing them with your colleagues – actuarial or otherwise – could be helpful for informing and re-informing your teams, and be a good way to undertake CPD. The general insurance practice area buzzes with member-led research activities: perhaps you could also be rolling up your sleeves and writing a paper to share your insights? It may feel daunting, but there are ways to make the task more achievable. You may want to write up your ﬁndings regularly in smaller chunks during your research, perhaps even publishing them on blogs. Teaming up with others as co-authors could be useful, too. Remember that papers do not have to be long JOSEPH LO and all-encompassing to be eﬀective: a nugget is head of actuarial of interesting insight may well require only research and a few sides of A4 to carry the details. On the development at other hand, be prepared for the ‘ﬁnal’ phase Aspen Re of a really good paper to take some time! You can ﬁnd the Brian Hey Prize winning papers at bit.ly/2y8I7dH Brian Hey Prize guidance for authors is also available from the profession on request.
Eﬀective vehicles for ideas
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Whether you are looking for high-level concepts or technical details, you will ﬁnd these papers both practical and accessible. Brian Hey, in whose memory the prize was set up, was himself a proliﬁc and practical researcher, co-authoring papers on a wide variety of topics for practitioners. In this tradition, many of the papers were creatively designed and carefully put together with actuaries who work ‘at the coalface’ in mind. ‘Winner’s Curse’ takes the reader from conceptual through to increasingly technical content, while the 2004 winner ‘UK Asbestos – The Deﬁnitive Guide’ was accompanied by Excel workbooks that demonstrated some of the models discussed. Its bibliography was not just a list of cited works – it also contained useful précis, so the busy reader could get the gist of the supporting papers straightaway. For researchers and research users, the traditional research paper format still represents a more eﬀective standalone vehicle for ideas in the profession than presentation slides. For the reader, papers JUNE 2020 | THE ACTUARY | 23
If we want to avoid discrimination in insurance pricing, we need to be able to take protected characteristics into account, say Mathias Lindholm, Ronald Richman, Andreas Tsanakas and Mario Wüthrich
A THE PROXY PROBLEM
s advanced modelling methodologies become widely available to actuaries, the way models are used within ﬁnancial services is increasingly constrained by legal developments and regulatory scrutiny. Two examples in the UK are the Financial Conduct Authority’s review of general insurance pricing practices and the Information Commissioner’s Oﬃce consultation on an AI auditing framework. A more longstanding and familiar regulation is the EU gender discrimination directive, which requires that pricing models do not discriminate by gender. The risks of inadvertent discrimination with respect to protected characteristics seem to be higher in complex models than in simple ones, as complex models may exploit intricate patterns in data to derive proxies for, say, gender. In addition to the legal and regulatory risks, ethical concerns could arise if models were found to be using unacceptable proxies. Deﬁning discrimination in such an intuitive way may appear straightforward, but without a www.theactuary.com
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rigorous deﬁnition of discrimination, it becomes diﬃcult to guarantee that pricing models are free of it. How can we make sure that illegal or unwanted discriminatory factors are not inﬂuencing the results of a model? Our recent research paper ‘Discrimination-Free Insurance Pricing’ (bit.ly/2KLG5CK) proposes an approach to ensuring that the results of actuarial models are not inﬂuenced by protected characteristics. This proposed discrimination-free pricing method is a simple add-on to existing pricing methodologies and does not require major changes to insurers’ predictive models. It can remove discriminatory eﬀects from all categories of pricing techniques currently in use, from generalised linear models (GLMs) to gradient boosting machines and deep neural networks.
prices’. We can see that, as age increases, claims costs for females and males diverge – in particular, claims costs for females become progressively higher. The question is: how should insurance be priced? A common method for avoiding discrimination is simply ignoring gender. Then, the insurance rate for a policyholder of any gender at age 50 is nothing but the average cost of the corresponding age class. We call a price calculated in this way an ‘unawareness price’, shown by the black line in Figure 2. It is striking that the unawareness price is very close to the best-estimate price for women at lower ages, and then drops to nearly the best-estimate price for men at higher ages. This is due to the much higher prevalence of women
within the lower age classes (90%), as we saw in Figure 1. The unawareness price uses age as a proxy for gender – to be precise, the calculation of unawareness prices implicitly relies on the conditional probability of gender, given age. In summary, ignoring gender in price calculation did not remove its impact on prices. This is indirect discrimination. What should the price be for, say, a policyholder aged 50? We know that gender must somehow be allowed for in the calculation, since ignoring it leads to indirect discrimination. Furthermore, prices should lie somewhere between the extremes given by the grey and dark yellow lines in Figure 2; in particular, the price at age 50 should be a weighted average of the corresponding
FIGURE 1 Portfolio proportions – distribution of gender across age classes and population average
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90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 0
P(female | age)
FIGURE 2 Diﬀerent types of insurance prices 120 115 110 Insurance price
We start by taking it as given that protected characteristics such as gender are not used within pricing models as rating factors – meaning direct discrimination is avoided. What do we mean, then, when we say that a price may still be discriminatory? We illustrate our ideas with a simple stylised example; a full mathematical deﬁnition of discrimination in pricing can be found in our paper. We consider the case of a simple pricing model for a health insurance portfolio. The two relevant covariates are the policyholder’s gender and age class. The portfolio population is split 50/50 between women and men – shown in Figure 1, together with the split across ages. In this example, 90% of policyholders in the younger age classes are female, with the reverse happening for older age classes. The expected claims costs by age class and gender are shown by the grey and dark yellow lines in Figure 2; we can view these as ‘best-estimate
Percentages of females in portfolio
105 100 95 90 85 80 0
Best-estimate (females) Best-estimate (males) Unawareness price Discrimination-free prices
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FIGURE 3 Assumed claims costs underlying the simulated data used in the example. The higher costs at ages 20-40 for women are for birth-related costs. Costs for smokers are higher than for non-smokers due to costs associated with cancer.
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FIGURE 4 Predicted claims using deep neural networks calibrated on claims data simulated for 100,000 policyholders.
Our discrimination-free pricing formula can be derived by arguing from two distinct directions; we only give a summary of the technical arguments here. First, recall that insurance prices are generally calculated as conditional expectations of claims costs (given the rating factors available). These expectations are sometimes re-weighted, for example assigning a higher probability to some scenarios than the data would imply, in order to derive a proﬁt-loaded premium. Our approach utilises a similar trick. However, for us the aim of the re-weighting is diﬀerent: the statistical decoupling of discriminatory from non-
best-estimate prices for men and women. For age not to be a proxy for gender, these weights should not depend on the proportion of women in each age group. This means that ‘discrimination-free prices’ must be represented by a straight line in Figure 2. Finally, note that the overall population is split equally between men and women. This implies that a horizontal line, as depicted in pale yellow, is a suitable choice for a discrimination-free price. This stylised example has been constructed with some care in order to clearly illustrate what can go wrong when unawareness prices are used. It shows that, in order to account for discriminatory characteristics, one needs to actually use the very same characteristics as part of the pricing procedure – recall that the intuitively discriminationfree prices we derived were based on best-estimate prices. In many realistic situations, the diﬀerences between unawareness prices and discrimination-free prices may be smaller. Still, to be certain that no indirect discrimination takes place, we need a practical alternative to unawareness prices.
discriminatory factors, without changing the structure of the predictive model underlying best-estimate prices. Speciﬁcally, if u(x,d) is the best-estimate price, depending on both the rating factors x and the discriminatory characteristics d, discriminationfree prices arise from ‘averaging out’ the discriminatory characteristics d: Σd u(x,d)P(d) A second justiﬁcation relies on causal inference, a branch of statistics that is attracting increasing public interest, partly due to Dana Mackenzie and Judea Pearl’s 2018 publication The Book of Why. Causal
inference uses graphs to represent not just correlations in the data, but also the actual direction of causal eﬀects, which are subsequently estimated from observational data. This allows users to assess the impact of changes in the values of chosen variables while stripping out confounding eﬀects. The pricing formula we propose can (in some circumstances) be interpreted within the framework of causal inference – as representing the direct causal eﬀect of the rating factors on the insurance experience, without confounding by other discriminatory characteristics such as gender. www.theactuary.com
Applications We now consider the application of discrimination-free pricing in a more complex model of health insurance claims. We simulated data for three types of healthcare costs, based on the two rating factors of gender and smoking status: costs of birth-related injuries, only applying to females aged 20-40; cancer-related costs, which are higher for smokers; and all other healthcare costs. We also assumed that women are more likely to smoke than men. For the remaining assumptions used in this example, we refer to our paper. We show the true claims costs (grey and dark yellow lines) based on the model underlying the simulated data in Figure 3, as well as the unawareness and discriminationfree prices. The best-estimate claims costs are consistently higher for women than for men. The unawareness prices for smokers are closer to the best-estimate prices for women, since, in our example, being a smoker is predictive of being a woman. Likewise, the unawareness prices for non-smokers are closer to the prices for men. On the other hand, the discrimination-free prices do not reﬂect the gender-based information contained in the smoking status – they only capture the direct eﬀect of smoking on the (higher) level of claims produced. Having applied the method to the true claims costs, we now investigate how well the method works on noisy simulated data. For this purpose, the claims of 100,000 policyholders were simulated using the claims cost model discussed, on the assumption that claims costs are distributed according to a Poisson distribution. We then ﬁt a deep neural network to the simulated data to act as our pricing model, considering both gender and smoking status (to derive best-estimate prices) and subsequently estimate discrimination-free prices. www.theactuary.com
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Furthermore, we recalibrate the network using only the smoking rating factor, to derive unawareness prices. The predictions from these models are shown in Figure 4. It can be seen that the deep neural networks successfully approximate the true claims costs, and that both the discrimination-free and unawareness prices are similar to the true values shown in Figure 3. This leads us to conclude that the method of producing discrimination-free prices works well in the given model.
Avoiding bias (when avoiding bias) A basic requirement of a good pricing model is that the total costs predicted by the model should be equal to the expected total costs from the portfolio under consideration. Most actuarial models (such as GLMs) fulﬁl this requirement, but it can be shown that the discrimination-free prices introduced in this article do not. A correction to these prices for this bias is therefore required, the simplest option being pro-rata adjustment.
Conclusions We have proposed an easily implementable method for removing the eﬀects of discrimination from pricing models by removing the
“In order to account for discriminatory characteristics, one needs to actually use the very same characteristics as part of the pricing procedure”
proxying of characteristics such as gender by other covariates. We have provided examples showing that ignoring discriminatory characteristics does not lead to discrimination-free prices, meaning that unawareness prices ignore the wrong thing. Instead, we should include discriminatory characteristics in a model and remove their eﬀect afterwards. Our proposal works for any kind of predictive model – from GLMs to neural networks – and can thus be applied as an add-on to existing pricing models used by actuaries. Mathematical details can be found in our paper. What our method requires is data on characteristics, whose use may be considered discriminatory. Many such characteristics are not recorded by companies, so development of this work must consider how to overcome this problem. Our claim is that information on discriminatory characteristics is necessary to remove discrimination from pricing. While the technical foundation for this idea is solid, communicating it may not be easy, particularly in view of concerns around privacy. We have not tried to deﬁne which factors should be treated as discriminatory – a societal question beyond our analysis. We recommend that companies should assess whether any rating factors currently used in pricing models might be functioning as problematic proxies from a legal, regulatory or ethical perspective. An example is the use of postal code information within models, since postal codes can correlate highly with ethnicity – by applying our method, it might be possible to provide insurance at a more reasonable cost to groups that may have been disadvantaged in the past. This indicates that the broader implications of discrimination-free pricing within speciﬁc markets should be considered.
DR MATHIAS LINDHOLM is an associate professor in mathematical statistics at Stockholm University
RONALD RICHMAN is an associate director (R&D and Special Projects) at QED Actuaries and Consultants
PROFESSOR ANDREAS TSANAKAS is professor of risk management at Cass Business School, City, University of London
PROFESSOR MARIO WÜTHRICH is professor for actuarial science in the Department of Mathematics at ETH Zürich
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TAKING THE ONE-YEAR VIEW
Stochastic claims reserving models are not widely understood – but Robert Scarth wants to change this. Here, he discusses models for one-year risk
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estimate of ultimate claims from the start of the year to the end of the year. This is called the claims development result (CDR). CDR = Opening estimate of ultimate – Closing estimate of ultimate At the start of the year we do not know what will happen during the year, and so we cannot know what the best estimate of ultimate claims will be at the end of the year. We can, however, express our view of the CDR as a distribution. FIGURE 1 One-year risk vs ultimate risk Inception Current Year end time
t+1 One-year risk
algorithm to get the distribution of the best estimate of ultimate claims at the end of the year. This can be used to calculate any risk statistic desired. It can also be iterated to give an understanding of how the risk will emerge up until the whole triangle is run-oﬀ. The most common way to use the actuary-in-the-box is to apply it to a bootstrapped model of a claims development triangle. For a bootstrapped Mack or ODP, the procedure is : 1 Carry out the bootstrap procedure 2 Extend the claims triangle by one year using the bootstrap output 3 Re-ﬁt the chain ladder to the extended claims triangle 4 Deterministically project the extended claims triangle using the re-ﬁtted model to get the ultimate claims.
Several methods have been proposed to estimate this distribution. Three commonly used methods are: The actuary-in-the-box Emergence patterns The Merz-Wüthrich formula.
The only source of randomness is from the extra diagonal appended in step 2. All the calculations done in steps 3 and 4 are deterministically based on this. The development factors calculated in step 3 and FIGURE 2 The actuary-in-the-box method
The actuary-in-the-box The actuary-in-the-box is a general procedure for estimating one-year reserve risk. It assumes that we already have an algorithmic method for setting reserves, and then speciﬁes a procedure for simulating the next year of claims data and re-applying the
Observed claims First diagonal from bootstrap projection Chain ladder projection of extended triangle
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raditionally, actuaries analysing claims reserves seek a point estimate of the future claims payments. This is often calculated using a fairly simple method such as the basic chain ladder or the BornhuetterFerguson method, and judgment is frequently used to adjust the methods. In the 1990s, Mack’s model and the over-dispersed Poisson (ODP) model provided stochastic models for the chain ladder. These models were often used by insurers as part of the calculation of regulatory capital requirements. Both the regulations and the models took an ultimate view of the claims reserve risk – that is, they considered all possible variation in the claim payments between the current time and the ﬁnal settlement of all claims. The ultimate view has limitations. Proﬁts are reported and business plans made on an annual basis. For some risks, such as investment risk and operational risk, there is no equivalent to the ultimate view taken for insurance risk. It therefore makes sense to take a one-year view of reserve risk. Many current regulations require insurers to take a one-year view of risk. The one-year view of reserve risk considers the movement of the best
ROBERT SCARTH is chair of the Pragmatic Stochastic Reserving Working Party and works for Axis Capital
the ultimate claims calculated in step 4 are stochastic, but only contain the randomness from the ﬁrst year of future development, and thus give a one-year view of the risk. One fundamental limitation of this procedure is that the method cannot adequately capture the judgment used by a real-world actuary in setting reserves, or many of the other subtle aspects of a complex reserving process. Another limitation is that the actuary-in-the-box method cannot make use of information that is not contained in the claims data used by the underlying model, which would likely be considered by a real-world actuary.
Emergence patterns Emergence patterns are a family of methods rather than a single method. All the diﬀerent versions are based on the simple idea of applying a scaling factor to the ultimate risk to derive the one-year risk. The scaling of the distribution of the ultimate view of risk should only aﬀect the volatility, not the mean, since we are assuming that the reserves are bestestimate reserves. The amount of scaling is controlled by the emergence factor. Since the one-year risk is always less than the ultimate risk, the emergence factor takes a value between zero and one. An emergence factor closer to one means that more of the risk emerges over the year, and an emergence factor closer to zero means that less risk emerges over the year. www.theactuary.com
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One of the challenges with emergence patterns is parameterisation. A common way to do this is to use the actuary-in-thebox. However, emergence patterns are often used where the actuary-in-the-box method cannot be applied or is computationally expensive. In this case the actuary-in-thebox can be used to parameterise benchmark emergence patterns. Emergence factors are an apparently simple method that can easily be explained and applied in cases where other methods cannot be applied, or do not give reasonable results. However, there are several diﬀerent versions of the idea, and many other hidden complexities. Furthermore, there is no widely accepted method of parameterising emergence factors, and the methods that have been proposed all have limitations.
The Merz-Wüthrich formula In his model of the chain ladder, Mack derived formulas for the ultimate risk of the ultimate claims. Merz and Wüthrich derived formulas for the one-year risk in the same model. There are therefore strong links between the Merz-Wüthrich formulas for one-year risk and Mack’s formulas for ultimate risk. Mack derived analytic formulas for the mean squared error of prediction (MSEP) of the estimate of ultimate claims for individual accident years, and for all accident years in total. Similarly, Merz and Wüthrich derived analytic
formulas within the same model for the MSEP of the CDR for individual accident years, and for all accident years in total. The Merz-Wüthrich formulas are simple enough to be calculated in a spreadsheet and can be calculated as a straightforward extension of the calculation of Mack’s formulas. However, they apply only to Mack’s model of the chain ladder. If any alterations are made to the model, such as curve ﬁtting, then the formulas no longer apply. The formulas only give the MSEP; to get other statistics distributional assumptions must be made.
Diﬀerent views While I’ve focused on the one-year view of risk, I strongly believe that neither the ultimate nor one-year view of risk is deﬁnitively correct or superior to the other. They take diﬀerent views of the risk, and both provide valuable insights while having their own limitations. No understanding of reserve risk is complete unless you understand both. Many diﬀerent methods for estimating one-year reserve risk have been proposed; I have outlined three of the most commonly used. These are described and discussed in much more detail in the Pragmatic Stochastic Reserving Working Party’s paper ‘A Practitioner’s Introduction to Stochastic Reserving: The One-Year View’, which can be downloaded from bit.ly/3dT0xyb JUNE 2020 | THE ACTUARY | 29
L E N L A G H E CAND OPPORTUNITY
he International Accounting Standards Board has again deferred the implementation of IFRS 17, this time to 2023. Most insurance companies still have a signiﬁcant amount of work to do to meet the new deadline. With project teams covering data, systems, business structure and transition plans, smaller and localised insurance players will struggle 30 | THE ACTUARY | JUNE 2020
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to ﬁnd the resources required. Regulatory approaches, now and in the past, will aﬀect the challenges that insurers face. Insurers must strike a balance between the signiﬁcant operational challenges and the operational and decision-making improvements on oﬀer. The Actuary spoke to four industry experts to ﬁnd out what aspects of IFRS 17 are keeping them up at night.
As IFRS 17 implementation is once again pushed back, we speak to senior actuaries about some of the most pressing issues associated with the standard
STEVEN MORRISON is senior director – research at Moody’s Analytics How can illiquidity premia be estimated for IFRS 17? There are established methods – one is the use of structural models to estimate the amount of credit spread, with remaining spread attributed to an illiquidity premium. An important question that has received less attention is how to map such estimates to insurance contracts to reﬂect their particular illiquidity characteristics. There has been some talk of a ‘bucketing’ approach, where a ﬁxed proportion of the illiquidity premium on some reference asset portfolios is applied, depending on the type of contract. This allows for relative ranking of illiquidity, although the choice of proportions applied for each bucket is subjective.
What are the potential impacts of insurers being allowed diﬀerent discount rate assumptions? The choice of liability discount rate will aﬀect earnings volatility. The higher the correlation between liability and asset discount rates, the lower the volatility of the net ﬁnance result. The choice of discount rate also aﬀects attribution between the ﬁnance result and insurance service results. The higher the liability discount rate at initial recognition, the higher the contractual service margin, resulting in higher insurance service results as this is released. On the other hand, the net ﬁnance result is lower as the contracts unwind at a higher rate. The total proﬁt over the lifetime of contracts doesn’t depend on assumptions like the discount rate, but proﬁt timing and volatility can be sensitive to these assumptions. Entities will have to understand their sensitivity and be able to explain this to investors. This may prompt the establishment of standardised benchmark assumptions and sensitivity tests to aid comparability.
How should liability discount rates be accounted for in the valuation of participating contracts, particularly where these are valued using stochastic scenarios? Changing the yield curve in your scenario generator aﬀects the discount rate applied to cash ﬂows and the returns on assets. This has practical implications – the liability discount rate aﬀects asset returns, so requires consideration in the calibration process. It also isn’t clear that it is theoretically sound – why should asset returns be aﬀected by the assumed liability discount rate (unless assets and liabilities have the same illiquidity characteristics)? An alternative approach is to calibrate the scenario generator to a risk-free curve and apply any illiquidity premia as adjustments to output discount rates and asset returns. This way there is no impact to the scenario generator’s calibration, and the user can control the liability discount rate separately from any assumptions about asset returns. www.theactuary.com
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THOMAS BULPITT is a senior consultant within Milliman’s London Life and Financial Services practice, chair of Milliman’s global IFRS 17 task force, and a member of the IFRS 17: Future of Discount Rates working party IFRS 17 requires ﬁrms to reﬂect non-ﬁnancial risk inherent in the insurance contract cash ﬂows. What approaches are available? There is no standard calculation for a ‘risk adjustment’ to a best estimate liability. Solvency II and International Capital Standards (ICS) both specify a method of calculation for the risk adjustment, namely the cost of capital approach for the calculation of the risk margin, and a value at risk (VaR) type approach for the calculation of the margin over current estimate (MOCE), respectively. For market consistent embedded value, a variety of methods can be used, though most use a cost of capital approach. A few commonly accepted approaches include VaR, or conﬁdence level; tail value at risk (TVaR), or conditional tail expectation; cost of capital; and application of prudent margins. IFRS 17 is principlesbased – there is no prescribed approach. Without speciﬁc rules, diﬀerent interpretations can complicate this calculation. Many ﬁrms will not have the capability to calculate VaR (or TVaR) over anything other than the one-year time horizon speciﬁed by Solvency II, eg for ultimate run-oﬀ. Many will also lack the appropriate stochastic models to determine stress scenarios under a range of percentiles.
This risk adjustment needs to be expressed as a conﬁdence level (VaR) metric to ensure comparability of results. Given the varied approaches and sophistication of ﬁrms’ models, how can comparability be achieved? Where ﬁrms have access to stochastic models, this could be as simple as reading oﬀ the risk adjustment from the full distribution of outcomes. For many ﬁrms, however, this will not be practicable. It may be possible, subject to interpretation, for a ﬁrm to assume that the risk margin from Solvency II is appropriate for the purposes of IFRS 17, and therefore determine the conﬁdence level required by IFRS 17 by calibrating a normal (or other) distribution using the best estimate and 99.5% VaR under Solvency II, and then solving for the implied percentile. This approach is similar to the Prudence-MOCE approach considered under the ICS regime. Other approaches do exist; one would be to develop a joint distribution of the relevant risks and sample from that distribution to generate a large number of multivariate scenarios. These could be consumed by eﬃciently designed cash ﬂow models to generate a loss distribution to which the risk adjustment could be compared, in order to derive the resulting percentile or conﬁdence level. JUNE 2020 | THE ACTUARY | 31
WIJDAN YOUSUF is a capital solutions actuary at Aon and chair of the Contractual Service Margin working party, many members of which contributed to this section IFRS 17 permits portfolios of insurance contracts to be divided into more ‘groups’ than it minimally requires. But how far should an insurer go? Reasons being considered to go more granular than the minimal requirements are: ensuring adequate information for eﬀective management; and maximising the ability to use results for other analysis. Grouping at a higher level of granularity enables ‘cross-subsidies’ between contracts with diﬀerent levels of proﬁtability. This comes at the cost of losing vital information about the worsening proﬁtability of certain contracts – hampering the ability to take corrective actions quickly and eﬀectively manage the business. Granular data enables insurers to ‘slice and dice’ results any way, gaining insights into hidden trends split by region, age, gender, distribution channel, etc.
What are the key areas of complexity when considering the impact of IFRS 17 on withproﬁts business? The standard still requires accounting down to the level of annual cohorts for with-proﬁts business. The risk-sharing implicit in with-proﬁt funds makes it problematic to rationally allocate cash ﬂows down to speciﬁc cohorts of contracts. Many UK with-proﬁts policies have guaranteed annuity options (GAOs). Insurers typically administer these as two separate contracts: 1) with-proﬁts savings and 2) annuity. IFRS 17 seems to push towards accounting for policies with GAOs as a single contract, introducing operational complexity and potential accounting mismatches.
What are coverage units and what are some challenges being faced here? Coverage units aﬀect the timing of proﬁt recognition under IFRS 17. They represent the amount of service an insurer provides to policyholders. The determination of coverage units must allow for insurance coverage, as well as investment service provided (if any). Questions that make this determination problematic include: a) whether investment services provided should be deemed constant irrespective of the size of the policy, or whether it should vary based on it (eg increasing as the size of a unit-linked policy becomes larger, decreasing as it becomes smaller); and b) how a company should weigh insurance coverage and investment service provided when determining coverage units. 32 | THE ACTUARY | JUNE 2020
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MEHUL DAVE is director (actuarial and insurance) at Deloitte Southeast Asia and chair of the Singapore GI IFRS17 working party How will IFRS 17 impact general insurers operationally? The technical actuarial challenges from IFRS 17 relate mainly to discounting and risk adjustment. These may be new concepts for insurers in certain jurisdictions, and so new methodologies and approaches must be developed. European insurers, having been through Solvency II, may have had the ‘mindset shift’ towards the cash ﬂow-type valuation approaches that IFRS 17 requires, whereas Asian insurers have not had this experience. As most write short-duration business, the majority of insurers will prefer the simpliﬁed measurement model – the premium allocation approach. As such, operational implications for general insurers will be more signiﬁcant than the purely technical challenges. With more to ‘get done’ before closing regular accounts under IFRS 17, insurers will need to look for ways to be eﬃcient in their reporting processes. For example, analyses of change will need to be more detailed, with more granular assumptions being set. Automating the dashboards to produce waterfall charts and breakdowns will reduce manual eﬀort. The onward implications for planning, internal and external metrics, and capital will need to be incorporated once IFRS 17 ﬁnancials are adopted.
How will general insurance (GI) actuaries need to adapt? With increased transparency and granularity in the ﬁnancial statements, there will be a greater onus on actuaries to explain movements and reconciliations. The ﬂow of data and information between the actuarial and ﬁnance functions is likely to increase. GI actuaries who have historically focused on earned liability reserving will need to devote more eﬀort to unearned liability reserving. For jurisdictions where cash ﬂow modelling is not typical, GI actuaries will need to get to grips with a new approach, as well as the dynamics of discounting and interest rate eﬀects on proﬁtability. Greater transparency and the loss recognition requirements for onerous contracts will bring granular drivers of proﬁtability into the spotlight. This will encourage reserving, pricing, strategy, marketing and sales functions to interact more closely. IFRS 17 will change the role of the GI actuary. Investment in technology and eﬃciency, coupled with emphasis on granular analysis, will refocus actuaries’ eﬀorts towards stewardship of data and analysis within the organisation, and drive more active involvement in strategic decision-making. www.theactuary.com
During what is proving to be a difficult and stressful time for many, John Taylor reflects on his own mental health experiences, and the value of reaching out
BEHIND CURTAIN THE
’m the great and powerful Wizard of Oz,” says the wizard, just as the curtain is drawn back to expose a very diﬀerent truth. I’ve never considered myself ‘the great and powerful president’, but I am drawing back the curtain to reveal my truth. I’m sharing my mental health experiences now because the topic has rarely been so important. A combination of social distancing and the lurking
threat of the virus is causing widespread psychological stress – yet many are reluctant to share their feelings, due to a persistent stigma around mental health issues. By following in the footsteps of others who have shared their stories, I’m hoping to make a small dent in that stigma. It’s not that mine is so extraordinary that it will single-handedly shatter the stigma; nor will it become a celebrated case study in The Annual Review of Psychology. It’s a pretty ordinary story of long-term anxiety and depression – one that is, I suspect, all too common. As I type, this feels like a very private act, and I’m questioning how open to be. I’ve decided to share enough to enable some readers to connect with the details, but will keep some things private – partly out of consideration for others in the story, and partly because the stigma still has some power over me.
IMAGES: CHRIS WATT / ISTOCK
Looking back, I realise my experience goes back many decades. Those ‘dark moods’ at university where I’d avoid social contact were almost certainly mild depression. Most often, these moods came without any obvious cause. I was fortunate not to have serious symptoms such as
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self-harm or substance addiction, but it also meant I had no obvious trigger for seeking help. I managed to function throughout these episodes with a tremendous amount of conscious eﬀort. The drive to keep going came from a fear of succumbing to the despair. What would happen if I stayed in bed one day, and then the next? If I didn’t go to that party tonight, would I ever go to another? I didn’t want to contemplate the answers to these questions. Life often felt precarious, like I was within touching distance of some sort of breakdown. As a young adult, I tried to make sense of this. Most frequently, I’d tell myself that everyone suﬀers and we just need to get on with it. I’d tell myself that I wasn’t allowed to feel down because I hadn’t suﬀered any unusual trauma in my life. These interpretations didn’t encourage me to seek help; the stigma was at work within me. My career progressed well but there was periodic despair. The contrast between the bright career and dark moods made the self-examinations even more eviscerating. Nothing in my environment would account for these moods; the explanation must lie within. I came to suspect there was something really wrong with me. I didn’t know what this was, but I had a sense that it would be too painful to confront, so I’d immerse myself in work, socialising and sport. What I couldn’t disregard was the disturbed sleep. I still remember the experience of waking as akin to swimming up from the depths, racing to the surface for fear of drowning. I’d lie awake with my heart pounding, unable to get back to sleep. When morning came, I would force myself out of bed despite the fatigue. Adrenaline would see me through the day until the cycle repeated.
Asking for help This made me realise that I needed help. Years of depression and anxiety had built to what seemed like a pivotal moment: ﬁnally seeking professional help. I was left feeling somewhat bewildered when I emerged with a prescription for antidepressants after only a few minutes in front of a GP. There followed several years of life with medication. I struggle to recall whether my mood improved, but I think I took some comfort from the fact that I was taking action. Periodically, I would try some form of therapy, from cognitive behavioural therapy to psychotherapy. These helped me start to understand how my mind worked. I realised that what often kept me awake was known as ‘catastrophising’, when you start with one bad event and then imagine a series of worst-case consequences. For instance, I might start by worrying about a bad meeting at work. From there, I’d fear that this would lead to the sack. That sacking could mean I’d never work again. Ultimately, I’d be unable to pay the mortgage and I’d be homeless. And all this would follow from one bad meeting! What seems risible now seemed alarmingly plausible all those years ago in the middle of the night. 34 | THE ACTUARY | JUNE 2020
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As I worked with a therapist, I began to realise that a lack of self-esteem was a fundamental contributor. It was a belief in my own inadequacy that made these catastrophes seem plausible. This new awareness of what my mind was doing to itself helped me get some perspective, and tempered the catastrophising. Having poor self-esteem is not much fun. But it often comes with compensation: a powerful desire to prove yourself. That drove me on to climb the career ladder, in the hope that each successive rung would deliver that elusive proof that I was okay. Each step did provide a temporary balm, but the gnawing insecurity would return.
Full disclosure Things carried on like this for a few years until I met my wife-to-be. While the excitement and joy of having this person in my life improved my mood signiﬁcantly and made me more optimistic, it created a new stress for me. Should I tell her about my shameful mental health secret? What if the revelation causes her to reconsider our relationship when she saw the real me? I decided to tell her. With great trepidation, I braced myself to share my shameful secret, half-expecting that it would end our relationship. But no: although surprised, she was immediately supportive and keen to understand more. If anything, this discussion brought us even closer. We got married and, within a year, had a child. Despite our new-born daughter hardly helping with my sleep pattern, my mood improved signiﬁcantly. The simple joys of ﬁrst smiles, steps and words were irresistible. I also felt I had a responsibility to my daughter and was invested in the future. This was a turning point for me. The same troubling thoughts and self-doubt were still there, but less acutely, and the improvement was enough for me to wean myself oﬀ medication. After several months, I was oﬀ medication and in pretty good mental health. It seemed plain sailing for a while until a relatively small challenge at work triggered a lot of the old feelings. I didn’t want to start medicating again after my hard-won eﬀorts to stop, so I decided to engage with counselling in a more committed manner. It can take several attempts to ﬁnd a counsellor with whom you work well. Thanks to a referral, I found a wonderful counsellor who understood me. She practices a form of psychotherapy that involves exploring the origins of feelings, with a view to better understanding and adapting to them. I quickly felt better because someone understood my issues, and I was addressing them. That got me through the initial crisis.
Opening up All of this took place more than 10 years ago. Since then, I’ve maintained a regular relationship with the same counsellor. I don’t consider myself to have signiﬁcant www.theactuary.com
“After long years of secrecy, my experience of talking about mental health has been universally positive – for me and for others” JOHN TAYLOR president of the IFoA
mental health challenges now, but the understanding I continue to gain about myself feels very valuable. Importantly, it helps me to better appreciate the goals that matter to me – they’re no longer about proving myself to others. Like everyone else, I still have my moments. These might be caused by an event that triggers some old perspectives. A combination of counselling and regular exercise helps to keep things manageable. I even talk to other people, too! The ﬁrst time I disclosed my mental health story, it had taken the prospect of marriage. The second time, years later, owed much to serendipity. A close friend and I went to see a play in which two performers re-enacted their own mental health experiences. After a standing ovation, they exhorted the audience to talk more about these issues. Doing so with my friend afterwards, I felt increasingly uncomfortable in not acknowledging my own experience – so I confessed! To having taken medication. To seeing a counsellor. Again, nothing terrible happened. Ever since that second experience of disclosing, I’ve not had to wait for marriage or a play to talk about mental health. I’ve been increasingly open with my close circle of friends. Most have been surprised by my revelation, trying to reconcile it with what they see as my ‘calm and collected’, ‘self-assured’ demeanour. I realise I’ve been successful in suppressing that inner anxiety, but the consequence of suppression was all those issues I mentioned previously. Counselling gave me a better strategy, where I faced up to the anxiety, understood it and changed the way I think about it. After long years of secrecy, my experience of talking has been universally positive – for me and for others. So much so that I’m now doing something that would have horriﬁed me previously: sharing with a much wider audience. I don’t oﬀer this as a prescription for anyone else; each of us is unique and we need to ﬁnd our own way. For those suﬀering, I hope it comforts you to know that you are not alone, and that you will feel motivated to recognise and start addressing your own challenges. If you are yet to talk about your suﬀering or seek help, please think about doing so – my own experience of opening up has been exclusively positive, despite my fears to the contrary. If you are lucky enough not to be a suﬀerer (at the moment), be aware that 25% of people experience a mental health problem in a typical year, and 2020 is not a typical year! There are many suﬀerers around you, some of whom you wouldn’t expect. However you view yourself, you could do worse than remember Kurt Vonnegut’s summation of the meaning of life: “We’re here to help each other get through this thing, whatever it is.” JUNE 2020 | THE ACTUARY | 35
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At the back History
UNSUNG HEROES David Forfar discusses the role of Polish cryptologists – including a would-be actuary – in cracking Enigma during the Second World War
he 8th of May marked the 75th anniversary of the guns falling silent in Europe. This year, the wartime cryptography centre Bletchley Park had been due to hold an exhibition celebrating wartime cryptography – but COVID-19 intervened. It is not well known, at least not in the UK, that the ﬁrst cryptologist to break the German military ‘Enigma’ coding machine of the Second World War was not Alan Turing, nor any British or French cryptologist, but Marian Rejewski of the Polish Cipher Bureau. He accomplished this in 1932, seven years before Alan Turing started to work at Bletchley Park. It was an astonishing feat of cryptographic virtuosity, as the best British and French cryptologists had been unable to break Enigma. The German cryptologists considered Enigma to be unbreakable. That Rejewski possessed one of the ﬁnest cryptological minds of his generation was conﬁrmed by the eminent US cryptologist David Kahn, who described Rejewski’s achievements as “one of the ﬁnest in the history of the art”.
The road not taken Many British actuaries are probably unaware that when Rejewski graduated from university he had intended to
Monument – Marian Rejewski's bench. Bydgoszcz, KuyavianPomeranian Voivodeship, Poland
36 | THE ACTUARY | JUNE 2020
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At the back History
pursue an actuarial career with Polish insurance company Westa. With this in mind, he had attended a postgraduate course in actuarial mathematics at Göttingen University in 1929. However, as war loomed closer, Rejewski gave up the chance of a promising actuarial career and patriotically volunteered to join the Polish Cipher Bureau. While the Polish had succeeded in manufacturing an exact working replica of Enigma, there were 1,270,430,011,730,880,000 possible ways for an operator to set it up – even on the most basic machine. Despite this, the Polish had been able to determine which particular setting the sender had used to encrypt the message – a superb achievement! The Polish cryptologists realised that if Poland were to be invaded, they would have to ﬂee the country. Furthermore, they knew that, because of regular German improvements, Poland could not aﬀord to manufacture indeﬁnitely the number of mechanical machines that were necessary for continuing to decrypt Enigma. However, the UK and the USA, given the will, could.
Sharing the secret In view of these considerations and the likely invasion, Poland’s senior military obtained clearance to reveal to the chief British cryptologists, Alistair Denison and Dillwyn (Dilly) Knox (and their French counterparts), the highly-classiﬁed secret that the Polish Cipher Bureau had been ‘cracking’ Enigma on an almost daily basis since 1932. Thus, in 1939, on the eve of invasion, the Polish cryptologists informed their British and French counterparts that they needed to come to Pyry, near Warsaw, to hear something important. At the meeting, the Polish explained that they had worked out Enigma’s complicated internal wiring using mathematical theory (not, as later believed, by the capture of an actual Enigma machine), and that they would supply the British and French with a working replica model. Knox was rather taken aback when he heard that, for the past seven years, the Polish had been accomplishing the very thing that the British codebreakers had been trying to achieve. However, by the next day, he had recovered his composure. On returning to the UK, he sent the Polish a message expressing his sincere gratitude to them:
Shortly after the Pyry meeting, the Polish made good their promise to deliver a working Enigma replica to the British and the French. It is estimated that, with this act of magnanimity, they helped to shorten the Second World War by two to three years and save well over a million lives.
Biding time Following the Pyry meeting, the Bletchley team started recruiting some of the UK’s ﬁnest mathematical minds, including Alan Turing and Gordon Welchman. After Poland was invaded in 1940, Rejewski escaped to France, where he met Turing (who had not been to the Pyry meeting); when all of France was eventually overrun, he and his team had to escape again, reaching England in July 1943. Rejewski took the risk of returning to Poland after the war ended in 1945; his wife, his two children and his parents, who had not seen him for six years, were waiting for him. Back home, however, Rejewski faced a communist regime that wanted to ﬁnd out what he and his former colleagues had been ‘up to’ before and during the war. He took a fairly lowly job well below his capabilities – perhaps to mislead the communist authorities into thinking that he could never have been the man who ‘cracked’ Enigma. He kept his secret safe from the Polish authorities until 1976, when the Polish Cipher Bureau’s work before and during the war was revealed. Rejewski was then aged 61 and close to retirement, but at last felt suﬃciently ‘bulletproof’ to reveal his role. When the truth came out, the Polish cryptographers could ﬁnally enjoy the many honours and accolades bestowed on them. Memorials were established in Poland to Rejewski and other Polish mathematicians involved in cracking Enigma, such as Henryk Zygalski and Jerzy Różycki, as well as at Bletchley Park. This was DAVID FORFAR appropriate, as these were is a consulting the people to whom the actuary UK owed so much for its wartime survival. Rejewski himself received one of Poland’s highest honours, the Grand Cross of the Order of Polonia Restituta. He died in Warsaw in 1980.
“The Polish had worked out the military Enigma’s complicated internal wiring using mathematical theory – not, as later believed, by the capture of an actual Enigma machine”
“Serdecznie dziękuję za współpracę i cierpliwość” (“My sincere thanks for your cooperation and patience”)
JUNE 2020 | THE ACTUARY | 37
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At the back School of thought
Student A hot topic Jack Carmichael explores recent advancements in setting mortality improvement assumptions
ILLUSTRATION: SIMON SCARSBROOK
etting mortality assumptions is a key part of the valuation of a life insurance portfolio or pension scheme. Although it may seem morbid, setting mortality assumptions is an area where I feel I can really apply the actuarial examination knowledge and leave the oﬃce feeling intellectually challenged. A mortality assumption is typically set in two parts: 1) the probability of death today, and 2) how that probability will change in future. The second point – future improvements in mortality – has recently seen a high amount of activity and discussion due to three events: the signiﬁcant fall in mortality improvements in the general population since 2011; an increased focus on evidence that mortality improvements have diﬀered depending on socio-economic status; and COVID-19. The post-2011 decline in improvements has been a hot topic for good reason. If mortality improvements had continued at the same average rate from 2011 to the present as they did from 2000 to 2011, the age standardised rate of mortality (a weighted average mortality rate that removes the impact of an ageing population) between the ages of 65 and 100 would now be around 15% lower than it currently is. The result of this has been a fall in projected mortality improvements produced by models based on extrapolating from historical trends. In 2019 we saw the highest mortality improvement since 2009, so the immediate question is whether this marks the end of the post-2011 slowdown. Historical annual mortality improvements, even for the relatively large population of England and Wales, can be extremely volatile, and so we
38 | THE ACTUARY | JUNE 2020
38 student_The Actuary June 2020_The Actuary 38
will not know whether this is the case for several years. The second development is the increased acknowledgement that future longevity improvements appear to be linked to socio-economic status. It has been known for a while that mortality rates are lower for individuals living in less deprived areas in England and Wales, but research has also shown that these rates have been improving faster than rates in more deprived areas. This led to the Continuous Mortality Investigation (CMI) adding the new initial addition to mortality improvements parameter into CMI_2018. Interestingly, though, research published by the CMI in Working Paper 127 shows that all socioeconomic groups have been aﬀected by the post-2011 slowdown in improvements. However, measuring the diﬀerences in improvements between populations can be diﬃcult, as to do so reliably requires signiﬁcantly more data compared to measuring diﬀerences in mortality rates. Issues are further compounded by a lack of research into the key socio-economic factors that are causing these diﬀerences, although researchers have started to look at breaking down the Index of Multiple Deprivation (the government’s measure of socio-economic status) into its constituent parts to better understand the underlying causes of diﬀerences in improvements. While historical data is a useful tool, it is also helpful to consider what might happen in the future. The current major issue is the COVID-19 pandemic. If this leads to an increased number of deaths among pensioners and policyholders, it will increase life insurance payments and decrease pension and annuity payments.
There would also be indirect eﬀects; for example, mortality tables or projections models that use 2020 mortality data may predict lower life expectancies, lower economic growth leading to lower healthcare spending, and potentially increased frailty among individuals who catch and survive the disease. On the other hand, deaths in 2020 could actually be lower than in a ‘normal’ year if self-isolation and containment causes a reduction in inﬂuenza deaths that more than oﬀsets COVID-19 deaths. However, this outcome seems very unlikely, given the number of deaths currently expected to occur as a result of COVID-19. Given current uncertainty – speciﬁcally around the eﬀectiveness of the government’s COVID-19 strategy – it is too early to say what the eventual impact will be. Some areas, such as increased frailty, may never be fully understood. Although further technical advances may be made in the coming years, it is likely that COVID-19 will dominate mortality improvement discussions for at least the next few years. It may also be that the true underlying cause of the post-2011 slowdown is never fully understood, although ‘regime shifts’ such as this are likely to occur again in the future. I have no doubt that mortality improvements will remain a fast-paced and challenging area for the profession.
JACK CARMICHAEL is guest student editor www.theactuary.com
At the back Society news
Each year the Worshipful Company of Actuaries (WCA) makes an award to an actuary who has made a signiﬁcant diﬀerence to a charity. This may be via a special fundraising eﬀort, through acting as a volunteer or even from helping to run a charity. You do not have to be a member of the WCA to be nominated. The award, which is traditionally presented at a WCA dinner, is known as the Phiatus Award. Phiatus was a dining club set up originally by actuaries whose careers were interrupted by the Second World War (‘Phiatus’ being a loose mix of ‘FIA’ and ‘hiatus’); when the club was wound up, the remaining monies were passed to the WCA and are now used to fund this annual award. If you know of an actuary whom you feel would deserve this year’s award, please send their details to alan.smith@ﬁrstactuarial.co.uk by 29 June 2020. The award also comes with a £500 cheque for the winner’s charity.
Rewarding the fundraisers
Last year’s winner David Collinson (back), together with Alex Lewis (left), set up the Wild Wheelchairs Project. They ascended Ethiopia’s highest mountain with Emebet Ale Dires (right), created a wheelchair manufacturing facility in Ethiopia, and made a documentary about the project
WHAT’S ON THE WEB Craig Turnbull: Independent Consulting Actuary and Scholar It’s always an honour to make even a very brief contribution to The Actuary magazine....this time in one of my rare forays into the age-old yet currently germane topic of the funding of Deﬁned Beneﬁt pension schemes. @tansueechieh It took me 4 hours & 61 years to write the following tips for young actuaries based on frequently asked questions. @SOActuaries @actuarynews @ActuariesInst @TheActuaryMag @ActuaryStudents @COVID19actuary tiny.cc/b5ayoz @ActuaryByDay Latest edition of @TheActuaryMag includes “The co-morbidity question” in which Matthew Edwards and I delve deeper in a topic ﬁrst addressed in a @COVID19actuary bulletin. The article is much improved by feedback received - we’re grateful to contributors.
D E AT H S
TA N C
Network temporarily disconnected BY THE TANC COMMITTEE
Due to the COVID-19 pandemic, The Actuarial Network at Cass (TANC) has decided to postpone future events until we are able to safely host them. Our members enjoy the social spirit of our events and we believe that their nature does not translate well virtually. We have a fabulous line-up of events for you when there’s a return to normality, so please stay tuned! If you haven’t signed up to our mailing list yet, or would like to revisit any of our past events, please visit www.tanc-cass.co.uk www.theactuary.com
39 PEOPLE_The Actuary June 2020_The Actuary 39
Mr Alastair Robertson, based in Scotland, gained fellowship in 1957, passed away aged 89. Mr John Rogers, based in the UK, gained fellowship in 1968, passed away aged 86. Mr Arthur John Briggs, based in Scotland, gained fellowship in 1965, passed away aged 82. Mr David Newman, based in the US, gained fellowship in 2001, passed away aged 44. Professor Mark Davis, based in the UK, gained honorary fellowship in 2001, passed away aged 74.
Call for your news… We would be delighted to hear from you. If you have any newsworthy items for these pages, please contact us at: firstname.lastname@example.org JUNE 2020 | THE ACTUARY | 39
At the back Puzzles
Next in line Mensa puzzle 788 What number should replace the question mark?
204 981 864 416 636 1010?
Letter box Mensa puzzle 789
What letter should replace the question mark?
Onerous order Mensa puzzle 790 What number should appear next in this sequence?
2 1 4 4 6 9 8 16 10 ? 40 | THE ACTUARY | JUNE 2020
40-41 PUZZLES_The Actuary June 2020_The Actuary 40
788: In each group the ﬁrst digit is squared to give the other numbers. 789: K. Give each letter its alphabetical value, then on each row the ﬁrst letter plus the second letter gives the third letter, minus the fourth letter gives the ﬁfth letter. 790: 25. The numbers are 1+1, then 1x1, then 2+2, then 2x2 and so on 791: . 67 and a half.
At the back Puzzles
A MATHS ARE YOU ESTRO? A & LOGIC M aths, a mind for m es and e v a h u o y lu If g, cryptic c send in n o s a e r l t logica ms, why no the u r d n u n o c other publish and we will ry pages. s u to m e th ve ult in these most diﬃc ct ested, conta r te in e r a u om If yo eactuary.c social@th
Seeking shelter Mensa puzzle 791 A ship is battling against a strong tide to safety. It uses 12 gallons of fuel every hour and sails at 28 mph in still conditions. The ship is 90 miles from land and the ﬂow against it is 12 mph. How many gallons of fuel will the ship need to reach the land?
40-41 PUZZLES_The Actuary June 2020_The Actuary 41
JUNE 2020 | THE ACTUARY | 41
At the back Volunteer
Inside story What volunteer role(s) ole(s) do you do for the IFoA?
DICK RAE At the end of an executive career, principally in life insurance; now contemplating non-executive work. Based near London.
“At times of change, involving myself in the right working party has kkept me at the leading edge”
I’m currently chair of the Finance & Investment Board and nd chair of the Banking Member Interest Group. roup. I’m also in a new working party that iss looking at banking education for actuaries. ries.
Who is your role model – in life or in business?
What’s involved in your role(s)? Working with the members of the F&I Board and the Banking MIG to agree and implement their strategies for the year ahead. This covers research, education, international, communication, consultations and diversity.
What motivates you to volunteer for the IFoA? It’s my way of paying back the beneﬁt I have received from past volunteers. The then Institute of Actuaries had a strap line that quoted Francis Bacon: “I hold every man a debtor to his profession”. I think the IFoA must be unique in the extent to which it is a member-led profession reliant on its volunteers.
What do you currently hope to achieve in your volunteer role?
IMAGES: ISTOCK, ALAMY
To promote and serve the interests of the ﬁnance and investment community. Actuaries should be more involved in banking – members need to have a better understanding of banking and how we can beneﬁt it, which means the IFoA needs to provide an appropriate level of education.
Has volunteering assisted your lifelong learning and helped you in your day job? At times of change, involving myself in the right working party has kept me at 42 | THE ACTUARY | JUNE 2020
42 INSIDE STORY_The Actuary June 2020_The Actuary 42
the leading edge. It’s helped build my credentials and reputation in those ﬁelds.
Have there been any memorable moments? Discussions at the sessional meetings held in London and Edinburgh on a paper that I co-authored entitled ‘A review of Solvency II: Has it met its objectives?’ It was a terriﬁc experience to have something I authored debated by the best in the profession.
How do you relax away from the oﬃce? Walking with my wife and family or skiing with friends. As a season ticketholder I watch most of West Ham United’s home games, but I’m not sure if that counts as relaxation!
What would you say to others considering a volunteer role? Absolutely do it. Once you’ve volunteered it’s important you support your colleagues and provide good quality input on time. I would suggest you dip your toe in the water ﬁrst. Start on something light that you know you can commit to and learn from the experience.
My role model is a montage of many people whom I have admired and respected – usually aspects of their behaviour or the way they manage situations. Obviously a disproportionate number are actuaries!
If you were locked in a famous building for one night...which would it be and why? I’ve done it already! I stayed the night at Upton Park before it was demolished and West Ham United moved to their new ground at the London Stadium.
What would you consider to be the most brilliant time of your career to date? My time at Deutsche Bank before the ﬁnancial crisis. We put in place some huge market risk hedges with life oﬃces to protect their balance sheets against falling interest rates, high inﬂation and adverse stock markets. To develop our opportunities further we started investing in insurance companies, culminating in the purchase of Abbey Life, at which I became CEO for a short time. Without the hedges that we and others put in place, many insurers and their policyholders could have found themselves far worse oﬀ. To share your volunteer involvement or ﬁnd out about volunteering for the IFoA, contact: email@example.com www.theactuary.com
The magazine of the Institute and Faculty of Actuaries
FEATURES LIST 2020 PLEASE NOTE THE THEMES FOR EACH ISSUE ARE NOT EXCLUSIVE. The schedule is subject to occasional revisions. Please check with the features team prior to contributor deadlines for further details. Contact: firstname.lastname@example.org
SUBJECT THEMES ■ Environment/sustainability ■ Health and care ■ Life insurance
Published: Contributor deadline: Ad booking deadline:
06 August 2020 15 June 2020 17 July 2020
Published: Contributor deadline: Ad booking deadline:
03 September 2020 13 July 2020 13 August 2020
Published: Contributor deadline: Ad booking deadline:
08 October 2020 10 August 2020 18 September 2020
Published: Contributor deadline: Ad booking deadline:
05 November 2020 14 September 2020 16 October 2020
■ Life insurance ■ Pensions ■ Finance/investment
Published: Contributor deadline: Ad booking deadline:
03 December 2020 12 October 2020 13 November 2020
■ Modelling ■ Risk management ■ General insurance/reinsurance
FURTHER INFORMATION For further information and advice please contact email@example.com
WRITING FOR THE ACTUARY See terms and conditions at www.theactuary.com/contribute
AUGUST 2019 theactuary.com
Changing directions in longevity
MORE CONTENT ONLINE Additional content can be found at www.theactuary.com
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Recruitment roundtable The trends transforming today’s job market
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Reinsurance How to improve customised solutions
le ple eop peo elp p help an h can b ca mb ngg hum nin anni off tthu plan ules o ion pla ssion ow rrule How H theiirr pen remen h the nt ent with age wit engage e for reti to prepar
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DECEMBER 2019 theactuary.com
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The magazine of the Institute and Faculty of Actuaries
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■ General insurance/reinsurance ■ Risk management ■ Health and care
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Interview Douglas Anderson
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■ Regulation/Solvency II/IFRS ■ Investment ■ Modelling
1 COVER_The Actaury Sept 2019_The Actuary 1
43 future features_The Actuary June 2020_The Actuary 43
Antibiotic resistance: a ticking time bomb?
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Scenarios that help ﬁrms get to grips with climate change
1 cover_The Actuary Dec 2019_The Actuary 1
JUNE 2020 | THE ACTUARY | 43
At the back Appointments
To advertise your vacancies in the magazine and online please contact: firstname.lastname@example.org or +44 (0) 20 7880 6234
Jacqui van Teutem
Ireland’s Leading Actuarial Recruitment Agency Senior Reserving Actuary
Senior Policy Specialist Actuary
Non-life Contractors x 2
Senior non-life actuary with a wealth of reserving and regulatory knowledge required for a successful mulƟ-naƟonal. The director here has built a really great team who work closely with the business. This senior role reports to the director and is a great development opportunity for an ambiƟous actuary.
Excellent opportunity for a QualiĮed Actuary to do something outside of normal actuarial work. This senior role will focus on the formaƟon, negoƟaƟon, and implementaƟon of insurance risk policies in conjuncƟon with the various regulatory bodies. Strong SII knowledge is needed. The role will inŇuence the future of the Insurance Industry in Ireland.
We are looking for two non-life contractors to work for a consultancy for 6 months from October 2020. Actuaries must be qualiĮed and have strong experience with Solvency II, and ideally audit experience. The organisaƟon will consider actuaries who are based in the UK. Travel to Ireland may be needed when COVID restricƟons liŌ.
IFRS17 Actuarial Analyst
Finance and Capital Roles
Reinsurer seeks a part or fully qualiĮed actuary to join their newly created team as an IFRS17 actuarial analyst. The purpose of this role is to assist the team in their preparaƟon for the IFRS17 requirements. This is an excellent opportunity to gain new skills in a company with excepƟonal employee beneĮts.
A well-known mulƟnaƟonal requires Įnance and capital actuaries to join the team in Dublin. The company are open to individuals who are part-qualiĮed or nearly/newly qualiĮed, from either non-life or life backgrounds. This is an exciƟng opportunity working for a company with an excellent reputaƟon as an employer.
We have a selecƟon of pricing roles from global general insurance organisaƟons in Dublin. These roles are at various levels, from graduates to pricing analysts and pricing actuaries. These roles come with excellent beneĮts to include Ňexible working and an investment in learning and development.
Financial ReporƟng Roles
Senior Pricing Manager
Financial reporƟng opportuniƟes for a life reinsurer in Dublin city. Roles available for nearly/newly qualiĮed, and management levels. Technical Life reporƟng experience is essenƟal. FantasƟc opportuniƟes for individuals that enjoy a dynamic work environment.
This opportunity is for a strong non-life pricing actuary who has a passion for looking at new ways of doing things. Experience in personal lines is mandatory with a track record of delivering soluƟons for pricing opƟmisaƟon. Strong communicaƟon skills and research skills are required.
If you want an exciƟng company look no further. A reserving analyst is required to work with a senior team of Actuaries. Non-life and solvency II experience is required. Full support for compleƟon of actuarial exams is oīered here.
For further information on these and other opportunities in Ireland please contact us at email@example.com If you are a company looking for permanent or contract actuarial resources then call us on +35315311400 We look forward to hearing from you www.raretec.ie 44 | THE ACTUARY | JUNE 2020
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IPS GROUP IS STILL
FOR MORE INFORMATION VISIT
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Permanent and Contract Opportunities at APR Permanent roles for entry-level (school leavers and graduates), mid / senior students and qualiﬁed actuaries Positions based in London and Edinburgh, with the option of locating to Dublin Contracting opportunities across UK for actuarial professionals at all levels of experience
Join our growing team - opportunities for a range of placement and consulting projects Drawing on the high quality of the solutions we are providing to clients, whether individuals on placement or delivering project-based services, our business is continuing to grow. Our permanent actuarial staff gain exposure to a wide range of clients and projects, while beneﬁting from our highly-regarded training and support. Those who contract through APR enjoy our professional, focused approach to ﬁnding suitable roles and supporting our contractors on placement. We currently have the following opportunities: Graduate Actuarial Associate
Actuarial Contractor Roles
Our well-established graduate training programme is based on comprehensive initial training and exposure to project roles selected with your development in mind.
We are suppliers to most of the UK’s largest insurance ﬁrms, giving you access to a wide range of contracting opportunities. Our actuarial expertise and targeted approach to ﬁlling roles maximises your chances of securing contracts that suit your skills and preferences.
Our exam pass rate far above the UK average gives you maximum chance to qualify quickly as you launch a successful and varied actuarial career.
We can work with contractors on a range of different engagement bases, whether through limited companies or payrolled.
Actuarial Analyst (CAA)
Actuarial Associate / Senior Actuarial Associate
Drawing on our experience and strength in training actuarial students, we have now been recruiting Actuarial Analysts for three years.
We are looking out for high-quality actuarial students and qualiﬁed actuaries to supplement our team.
As well as giving you experience across a range of client projects we support our analysts to take the CAA qualiﬁcation, hopefully as a ﬁrst step towards full FIA qualiﬁcation.
Those attracted to an associate role at APR are often looking for a broader range of actuarial experience or an increased level of responsibility through working for a smaller ﬁrm.
For further information see: https://aprllp.com/working-for-apr/ https://aprllp.com/actuarial-contracting-with-apr/
Or contact: firstname.lastname@example.org
Reinsurance Actuary London £80,000 – £110,000 Tempo are a London based multi-line MGA which was established in 2012. For further details please visit our website: www.tempounderwriting.com Responsibilities • Build, develop and maintain pricing models for each class of business • Build, develop and maintain rate monitoring models for each class of business. • Research, document and validate the pricing parameters and overall approach • Document the pricing models and provide training to Underwriters • Work closely with underwriters on individual risk or treaty pricing as requested • Establish strong working relationships with Underwriters and management • Portfolio proﬁtability analysis and exposure management overview • Review detailed actuarial analysis such as premium and claims projections, stress tests and forecasting • Database management, benchmarking and visualization • Management of a robust peer review process for all Underwriters • Frequent business travel required
Skills & Experience • • • • • • • • • •
Part or Fully Qualiﬁed Actuary Minimum 10 years’ experience in (re)insurance/actuarial space Prior experience of the relevant classes is preferable Excellent verbal and written communication skills Comfortable presenting complex technical aspects to nonactuarial audiences in a clear and succinct manner Strong negotiation, analytical and decision-making skills required Comprehensive understanding and experience of pricing, reserving and capital allocation Expertise in Excel/VBA, R or other related programming languages Effective time management skills Strong work ethic and results driven approach APPLYING FOR THIS ROLE Please send your CV and cover letter or bulleted email highlighting relevant experience to Tunde Olowoﬁla at tolowoﬁla@tempounderwriting.com
46 | THE ACTUARY | JUNE 2020
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The magazine of the Institute and Faculty of Actuaries
PAVE A NEW PATH
theactuaryjobs.com is the oï¬&#x192;cial job board for the Institute and Faculty of Actuaries. To register for our Jobs by email service simply go to theactuaryjobs.com JUNE 2020 | THE ACTUARY | 47
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ACTUARIAL RISK PRICING CONSULTANT
ACTUARIAL PRICING ANALYST
Stratford-upon-Avon, up to £55,000
London, up to £50,000
The actuarial team in a leading motor and household insurer is looking for an Actuarial Risk Pricing Consultant to join their team.
The actuarial team in a leading Lloyd’s insurer is looking for an Actuarial Pricing Analyst to join their team.
Key responsibilities will include individual pricing assessment risk, communicating the impact of results to the underwriters and analysis of data from pricing models. Assistance of the building, review and maintenance of pricing models and business planning will also be within the candidates remit.
Key responsibilities will include assistance in continuous improvement across the pricing function, assistance in more accurate forecasting of pricing activity and identify capabilities of the pricing team.
The roles oﬀers a competitive beneﬁts package. The suitable candidate will have a few years of experience in general insurance pricing.
The roles oﬀers a competitive beneﬁts package. The suitable candidate will have experience in general insurance pricing and/or and experience with GLMs. Contact: email@example.com | 0207 092 3230
Contact: firstname.lastname@example.org | 0207 092 3230
SYNDICATE RESERVING MANAGER
London, up to £125,000
London, up to £90,000
A leading Lloyd's insurer is looking to bring on a Reserving Actuary to their team. The role will involve providing leadership and guidance on their syndicate reserving team. You will also have the opportunity to interact with a range of senior stakeholders.
The actuarial team in a leading motor insurer is looking for an Actuary to join their growing Reserving team.
This is a vital role in one of the best-renowned Lloyd's insurers and would oﬀer a huge amount to someone's career. The team below you is extremely talented and provides a great opportunity to help them grow and act as a mentor. Reserving experience is essential and there is a preference for previous Lloyd's exposure. This is a very visible role within the business, so an exceptional level of communication is also needed for the front-facing aspects of the role. Contact: email@example.com | 0207 092 3239
SENIOR COMMERCIAL LINES PRICING ANALYST London, up to £65,000
A leading UK insurer is looking to bring a Senior Actuarial Analyst to their Commercial Lines Pricing team.
Key responsibilities includes assistance in building their reserving team, conducting quarterly reviews and communicating the results to the board. This role involves giving a lot of support to the underwriters, the CEO and pricing and reserving managers, so excellent communication skills are required. The suitable candidate will have at least 4 years of experience in general insurance/ reinsurance Pricing, Reserving and be nearly/newly qualiﬁed. Contact: firstname.lastname@example.org | 0207 092 3239
ENTERPRISE RISK MANAGEMENT ANALYST London, up to £55,000
A Lloyd’s insurer is looking to bring a Risk Analyst into their Enterprise Risk Management team.
The candidate will support the Head of Commercial Pricing in improving their pricing exercises and will be looking at a range of diﬀerent lines of business.
The candidate will focus on identifying syndicate exposure to risk and communicate any analysis to the wider actuarial functions. The role will also involve assisting with the Internal Model and requirements under Solvency II.
The role involves strong interaction with team members so you will have strong communication and interpersonal skills.
The ideal candidate will be a part-qualiﬁed actuary with at least 2 years of experience within a Consultancy or General Insurer.
The ideal candidate will have 2+ years’ experience in commercial lines pricing and be working towards the actuarial exams.
Contact: email@example.com | 0207 092 3239
Contact: firstname.lastname@example.org | 0207 092 3230
Our team work on both permanent and contract opportunities across life and non-life insurance and the pensions and investment markets. If you are looking for your next career move or to discuss other opportunities we may have, get in touch with a member of our team today for a conﬁdential discussion. Alternatively, please visit our website for more information on the opportunities our consultants are working on.
48 | THE ACTUARY | JUNE 2020
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SENIOR PRICING DEVELOPER
London, up to £110,000
London, up to £80,000
A prominent Lloyd’s Managing Agency is looking to bring on board a Pricing Manager to assist across all lines of business.
A large Lloyd’s Syndicate is seeking a Senior Pricing Developer to assist across all lines of business. This position is designed to improve underwriting and pricing capabilities across Exposure Management, Technical Pricing, Reinsurance Pricing and Catastrophe Modelling. In doing so, the candidate must build relationships with a wide range of internal teams, adapting respective pricing models to meet changing market conditions. The ideal candidate is a part to fully qualiﬁed actuary with a background in a Lloyd’s or Commercial insurer. Strong coding experience in R, Python or C++ is also strongly preferred.
The position will focus on overseeing pricing across all managed syndicates, building relationships between client underwriting and claims teams. The candidate will also seek to improve pricing models and portfolio proﬁtability. The ideal candidate is a fully qualiﬁed Pricing Actuary with London or Lloyd’s Market experience. Contact: email@example.com | 0207 092 3239
Contact: firstname.lastname@example.org | 0203 846 5909
RESERVING ACTUARIAL ANALYST
London, up to £60,000
London, up to £45,000
A prominent Lloyd’s Insurer is looking for a Capital Actuary to support the Internal Capital Model.
A prominent Lloyd's Insurer is looking to bring on board a reserving analyst to assist across all lines of business.
The position will focus on the parameterisation of the internal model, validation testing and the calculation of standard formula. The candidate will also be responsible for communicating with internal and external stakeholders. The ideal candidate is a part to nearly qualiﬁed actuary with at least 2 years of capital modelling experience. Preferably candidates will have experience in using Igloo or Tyche. Contact: email@example.com | 0207 092 3239
As an overview, the role will focus on the reserving process across managed syndicates and the annual technical provisions for Solvency II. The role will also extend to Validation and being part of the Business Planning Process. The ideal candidate has begun their actuarial exams and has general insurance Reserving experience. Candidates should also have at least a 2:1 in mathematics, actuarial science, or any other relevant ﬁeld. Contact: firstname.lastname@example.org | 0207 092 3230
ACTUARIAL CAPITAL MODELLING ANALYST
London, up to £54,000 - 12 month FTC
London, up to £125,000 (perm or FTC)
A leading Lloyd’s Syndicate is looking for an experienced reserving analyst to undertake a 12-month Fixed Term Contract.
A Lloyd's insurer is looking to bring a Capital Actuarial Analyst to join their team.
This position will support the reserving team in the calculation of Solvency II technical provisions and the risk parameterisation of the Capital Model. The role will also involve monitoring risk within the syndicate and communicating any analysis to the wider actuarial teams. The ideal candidate has at least 2 years of experience within a reserving analyst role and has begun to make progress through their actuarial qualiﬁcations.
The candidate will be giving support to the Head of Capital Modelling, and work closely with the pricing and reserving teams. The role involves developing strong relationships with senior professionals so excellent communication and interpersonal skills is essential. For this particular opportunity, our client requires experience of 1-3 years of experience in Capital Modelling. Contact: email@example.com | 0203 846 5909
Contact: firstname.lastname@example.org | 0203 846 5909
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KEEPING YOU IN THE LOOP
As a professional, you’ll no doubt want to keep up with the latest industry developments, people and news? That’s why The Actuary’s weekly email alert brings you a handy round-up of only the most relevant news stories and comment, straight to your inbox every Thursday.
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Register for weekly email newsletters at www.theactuary.com Browse www.theactuaryjobs.com and www.theactuaryjobsasia.com the oﬃcial jobsites of the actuarial profession.
The magazine of the Institute and Faculty of Actuaries
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Seven hundred & sixty six Live Global Jobs
LIVE UK: 257 | LIFE: 448 | GI: 152 | CONTRACT: 79 | PENSIONS:
| INVESTMENT: 24
Actuarial Director - Life London £150,000 - £180,000
Head of Exposure Management London Competitive Package
Internal Model Validation Actuary London £65,000 - £110,000
Richard Howard +44 (0) 203 861 9191 email@example.com
Robert Gormley +44 (0) 203 861 9193 firstname.lastname@example.org
Sophie Price +44 (0) 203 861 9126 email@example.com
Senior Pricing Analyst Flexible Location (Remote Working) £65,000
Prophet Developer (All levels) UK & International £400 - £1,000 per day
Capital Validation Actuary London (Remote Start) Up to £900 per day
Jessica Harkin +44 (0) 203 861 9259 firstname.lastname@example.org
Laura Sharkey +44 (0) 203 861 9149 email@example.com
Jonathan Lord +44 (0) 203 861 9150 firstname.lastname@example.org
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FOR EXPERT ADVICE TO HELP YOU ACHIEVE YOUR CAREER GOALS HEAD OF MOTOR PRICING
Growing Niche Insurer
NON-LIFE LONDON / EUROPE
NON-LIFE LONDON / NATIONWIDE
Leadership role for an actuary who enjoys people management, whilst keeping close to technical matters. Strengths in reserving and capital, and the ability to interact comfortably at board level, are required.
An exciting corporate role, enhancing and developing ﬁnancial, capital and underwriting reporting capabilities. You will have strong people skills, and gain exposure across capital modelling, reserving, reinsurance and more.
Join an established group as they launch a brand new motor business, seeking to disrupt the market with a unique proposition. Use your expertise in motor pricing to shape and inﬂuence the team with the support of senior executives.
RESERVING AND CONSULTANCY
FTC: SENIOR RESERVING MANAGER
Part-Qualiﬁed / Qualiﬁed
Part-Qualiﬁed / Qualiﬁed
Global Reinsurer STAR6206
NON-LIFE LONDON / NORDIC COUNTRIES NSTAR037
Take this excellent chance to build upon your reserving experience and your strong people skills within an entrepreneurial team. Clientfacing consulting and project-leading experience would be advantageous.
Reporting to the Chief Actuary, you will work on pricing reinsurance treaties across multiple lines of business, collaborating with other teams and communicating results. You will also improve the efficiency of the pricing processes.
A challenging role for a technically strong reserving actuary with experience of London market reserving, Solvency II, IFRS 17, and a keen eye for emerging dynamics in the market.
SENIOR ACTUARIAL ANALYST
Part-Qualiﬁed / Qualiﬁed
NON-LIFE SOUTH EAST
Lead the development and delivery of technical pricing models, using your strong experience in data and statistical analysis, using cutting-edge tools and programming languages.
Join a leading reinsurance organisation, carrying out experience analysis work, improving the tools and processes used, and demonstrating the impact of underwriting rules on pricing.
In this key role, you will manage existing and new protection treaties throughout their lifecycle, and contribute to the development of reinsurance solutions and services, considering risk appetite and client needs.
SENIOR COVENANTS CONSULTANT
QUALIFIED PENSIONS CONSULTANT
Part-Qualiﬁed / Qualiﬁed
PENSIONS LONDON WITH FLEXIBILITY
PENSIONS LONDON / SOUTH EAST
Part-Qualiﬁed / Qualiﬁed PENSIONS BRISTOL
Growing Consultancy STAR6103
Use your excellent analytical, communication and consulting skills, to assist in developing our client’s covenant business. This is a great opportunity to play a key role in providing specialist advice in a growing sector.
Work with a variety of trustee and corporate clients on a range of scheme types and sizes, performing crucial calculations and offering bespoke advice. Knowledge of all technical aspects of UK pensions work is essential.
Deliver pensions advice across a wide range of projects, including valuations, accounting disclosures, options for de-risking, and advising on PPF levies.
INVESTMENT - CLIENT STRATEGY
Qualiﬁed / CFA
Qualiﬁed / CFA
Take up this key role, using your experience to conduct ﬁrst-class investment manager and equity market research, and communicate the advice clearly and professionally to clients.
Take up this superb opportunity to build upon your experience of pension scheme investment strategies and strong knowledge of multiple asset markets. Excellent communication, inﬂuencing and technical skills required.
INVESTMENT SOUTH EAST
Provide investment support within a collaborative, solutions-focused team. Experience in ALMs, quarterly reporting, investment markets and regulation, will all be utilised and developed in this exciting role.
Irene Paterson FFA
Lance Randles MBA
Jan Sparks FIA Ja
Paul Cook P
ASSOCIATE DIRECTOR A
+ 7545 424 206 +44 email@example.com
+44 7889 007 861 firstname.lastname@example.org
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+44 7477 757 151 firstname.lastname@example.org ja jan
+4 7740 285 139 +44 email@example.com pa
Diane Anderson D
+44 7950 419 115 firstname.lastname@example.org
+44 7584 357 590 email@example.com
+44 7808 507 600 firstname.lastname@example.org
+44 7714 490 922 email@example.com
+ 7492 060 219 +44 firstname.lastname@example.org
Antony Buxton FIA
MANAGING DIRECTOR +44 7766 414 560 email@example.com
MANAGING DIRECTOR +44 7595 023 983 firstname.lastname@example.org
OPERATIONS DIRECTOR +44 7739 345 946 email@example.com
52 | THE ACTUARY | JUNE 2020
ACTUARIAL POST RECRUITER OF THE YEAR 2012 . 2013 . 2014 . 2015 . 2016 . 2017 . 2018
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Global Investment Specialist
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