Back to the future: a long term solution to the occupational pensions crisis

Author(s):

DC schemes have some substantial weaknesses, and a continuation of current policies will probably lead to another pensions crisis in a few decades.

Updated: 22/09/2011
Comments:
Views: 5,785

Ending compulsory annuitisation: what are the consequences?

The report highlights the consequences of the Government's proposal to end the requirement for pension scheme members to purchase annuities by the age of 75.

Updated: 10/02/2017
Comments: 7
Views: 12,799

Annuity choices for pensioners

The trend towards defined-contribution pension provision in the UK seems to be irreversible. Most private sector employers with defined-benefit schemes have either closed them to new entrants or wound them up. Virtually all new scheme established have been defined contribution, and the introduction of the government-mandated National Employment Savings Trust will increase the number of workers with defined-contribution benefits.

Updated: 22/09/2011
Comments:
Views: 5,675

What discount rate should be used to value a cash-flow linked to final salary?

Estimating the fair value of final salary pension liabilities has increased in importance because of the introduction of market-based accounting standards and the growing significance of pension liabilities in mergers and acquisitions.

Updated: 05/01/2015
Comments: 26
Views: 9,267

Time deductibles as screening devices: competitive markets

In this article, we analyse the strength of screening based on an alternative screening device, namely limitations to the period of coverage of the contract.

Updated: 05/10/2013
Comments:
Views: 1,722

Modelling the short-term dependence between two remaining lifetimes

Author(s):

Jaap Spreeuw

 et al.

Dependence between times of death of coupled lives is said to be of a short-term type if the probability of death of the bereaved life is highest in the first period (six months or a year, say) after death of the partner. A multiple state model is introduced, allowing for this type of dependence, which is applied to a life annuity portfolio.

Updated: 31/12/2014
Comments: 23
Views: 7,530

Modelling stochastic mortality for dependent lives

Author(s):

Jaap Spreeuw

 et al.

This paper is a first attempt to model the mortality risk of couples of individuals, according to the stochastic intensity approach.

Updated: 22/09/2011
Comments:
Views: 5,053

Stochastic processes induced by Dirichlet (B-) splines: modelling multivariate asset price dynamics

We consider a new class of processes, called LG processes, defined as linear combinations ofindependent gamma processes. Their distributional and path-wise properties are explored by following their relation to polynomial and Dirichlet (B-) splines. In particular, it is shown that the density of an LG process can be expressed in terms of Dirichlet (B-) splines, introduced independently by Ignatov and Kaishev (1987, 1988, and 1989) and Karlin et al. (1986).

Updated: 22/09/2011
Comments:
Views: 6,257

Insurance solvency under parameter uncertainty

Financial institutions such as insurance companies or banks are regulated according to a Value-at-Risk principle. This means that they have to hold enough capital, such that their probability of becoming insolvent over a fixed time horizon (e.g. 1 year) is very low (e.g. at most 0.5%). Calculation of the required capital according to this principle stumbles on the quite fundamental difficulty of estimating the probability of very extreme scenarios based on limited data sets.

Updated: 10/02/2017
Comments: 4
Views: 12,707