1. These notes were written after Scott's Faculty paper “A Reserve Basis for Maturity Guarantees in Unit-Linked Life Assurance”, discussed on 17th January 1977, but before Corby's Institute note “Reserves for Maturity Guarantees Under Unit-Linked Policies”, discussed on 28th March 1977; they are a kind of extended written contribution to the first paper.

After completing the work of reference, in which tables were constructed reflecting the mortality of England and Wales over the years 1970 to 1972, the authors received the corresponding data for Scotland. The purpose of the present note is to describe briefly the results of our experiments in graduating these Scottish data. The technical details of the procedures used are virtually identical with those described in reference and accordingly in this paper we give only an outline of our methods. Finally, some comparisons are made between the results of the present work and those relating to England and Wales.

The purpose of this paper is to analyse briefly the relative significance of the principal causes of death which currently prevail in the United Kingdom. The work is a sequel to that of references and, in which various life tables were produced from the data of the 1971 U.K. census and the numbers of deaths during the years 1970 to 1972. These earlier papers, however, study mortality without reference to the underlying causes of death.

This paper investigates what general form of price model is required to represent a market that is in equilibrium under switching action and describes how a special case of this general price model can be applied to the gilt-edged market, with particular emphasis on long-dated stocks. Applications of the mathematical model are then developed in a form that could be used by a life office or pension fund for the management of a portfolio of long-dated British Government stocks. Finally, a comparison is made between conventional yield curve methods of analysis and methods based on this mathematical model.

Written concurrently with the first item in C.M.I.R.3, the Faculty of Actuaries Mortality Research Group's paper determines a range within which mortality rates of Life Office Pensioners may be expected to change in the foreseeable future. Comparisons are made between the observed changes in pensioner mortality rates and those observed for the population of England and Wales, and reference is also made to the trends of mortality rates assumed in recent British population projections. From these considerations two forecasts are made, based upon “optimistic” and “pessimistic” future mortality assumptions, between which it is expected the actual future rates of mortality change will lie.

In the second part of the paper the financial effects of the range of forecasts are set out, when used to project the graduated pensioner Mortality Experience 1967-70 (C.M.I.R., 2, 57). The implications are illustrated in the context of two model funds, one based upon life offices' data, and the other based upon a non-insured pension scheme for which the contribution rates vary in accordance with the levels of future expected pensioner mortality.

1.1. The paper “The F.T.-Actuaries Fixed Interest Indices” by G. M. Dobbie and A. D. Wilkie (J.I.A., 105, 15 and T.F.A., 36, 20.3) gave details of the purpose and construction of the F.T.-Actuaries fixed interest indices, and the note “The F.T.-Actuaries British Government Securities Indices 1976” (J.I.A., 105, 27 and T.F.A., 36, 2.1.4) gave details of the constituents, changes and values of the B.G.S. indices in 1976. The present note continues the history for a further year.

1.2. In §8.2 of the paper it was observed that during 1977 the government had issued stocks where the issue price was payable in separate “calls” on a series of dates. The published indices, however, included these stocks only when they were fully paid. An alternative series of indices has also been constructed, allowing for the calls as and when they occurred. This note gives details for the alternative series, but refers also to the published series where the results differ.

The paper is an investigation into the withdrawal rates of seven Scottish Offices and covers the years 1972-76 with an appendix giving the results for 1977.

The rates were basically analysed by class and duration with further investigations mainly on the 1976 data by age at entry, sex, size of sum assured, premium paying term, premium payment frequency and by type of agent introducing the business. Comparisons were made of the level of withdrawal rates among the various Offices and also the variations from year to year separately. A graduation of the combined data for 1975 and 1976 for each of the five main classes was carried out.