Data held within administration records of occupational pension schemes yield a rich source of information on mortality rates and the statistical predictors (covariates) of longevity. In this paper we provide, for the first time, a multivariable analysis of post-retirement mortality using the detailed information held within occupational pension scheme records.

Using the extensive dataset of over one million living pensioners and dependants and 530,000 historic deaths collected by Club Vita, we investigate the importance of factors including gender, affluence and lifestyle on the observed period life expectancy of individuals. We describe one approach to constructing a multivariable model for pensioner baseline mortality, showing how such factors explain a variation in observed period life expectancy in excess of ten years. The relative importance of each factor on mortality is analysed and we describe the interactions between these factors and age, answering questions such as whether the impact of a healthy lifestyle or affluence attenuates with age. Further, we highlight the importance of the choice of affluence measure in analysing mortality, and show that the salary at retirement is a better predictor of longevity than the pension amount for male pensioners.

The results of this paper are directly relevant to any pensions actuary advising on an appropriate baseline assumption (i.e. current mortality rates) for use with occupational pension schemes.

This abstract relates to the following paper:

MadrigalA.M., MatthewsF.E., PatelD.D., GachesA.T. & BaxterS.D.What Longevity Predictors Should be Allowed for When Valuing Pension Scheme Liabilities? ‐ Abstract of the DiscussionBritish Actuarial Journal, doi:10.1017/S1357321711000018.

The General Insurance Board of the Faculty and Institute of Actuaries responded to some of the criticisms raised in the Morris review of the Actuarial Profession and in the press by rating agencies and others, regarding the Actuarial Profession's approach to actuarial reserving in general insurance by setting up a taskforce known as the General Insurance Reserving Issues Taskforce (GRIT). The taskforce worked from 2004 to 2006 and produced a significant report, including some new professional content and recommendations for further areas of development and research. Since then, through the GRIT successor body: the Reserving Oversight Committee (ROC), many working parties have formed and many General Insurance Research Organisation (GIRO) presentations and papers have been forthcoming. One area that has been a recurring theme through the last five years is how the Profession models and communicates the uncertainty in the claims reserving process. In the context of recent events in global financial markets, the forthcoming new regulatory framework of Solvency II, and the developments in other professions globally through IFRS and other drivers, it is timely that actuaries take stock of the many changes in our practices over the last five years and consider the direction actuaries should take for the challenges that lie ahead. This paper is a meta-study of the output of GRIT and ROC on reserving and uncertainty, with the intention of meeting these objectives.

This abstract relates to the following paper:

GibsonE.R., BarlowC., BruceN.A., FeliskyK.M., FisherS., HilaryN.G.J., HilderI.M., KamH., MatthewsP.N. & WinterR.A Meta-study of the General Insurance Reserving Issues Taskforce and Reserving Oversight Committee Research in this area between 2004 and 2009 ‐ Abstract of the Discussion. British Actuarial Journal, doi:10.1017/S1357321711000067.

The text of this paper, together with the abstract of the discussion held by the Institute of Actuaries on 24 November 2008, are printed in British Actuarial Journal, 15, II.

The Solvency II Directive mandates insurance firms to value their assets and liabilities using market consistent valuation. For many types of insurance business Economic Scenario Generators (ESGs) are the only practical way to determine the market consistent value of liabilities. The directive also allows insurance companies to use an internal model to calculate their solvency capital requirement. In particular, this includes use of ESG models. Regardless of whether an insurer chooses to use an internal model, Economic Scenario Generators will be the only practical way of valuing many life insurance contracts. Draft advice published by the Committee of European Insurance and Occupational Pensions Supervisors (CEIOPS) requires that insurance firms who intend to use an internal model to calculate their capital requirements under Solvency II need to comply with a number of tests regardless of whether the model (or data) is produced internally or is externally sourced. In particular the tests include a ‘use test’, mandating the use of the model for important decision making within the insurer. This means that Economic Scenario Generators will need to subject themselves to the governance processes and that senior managers and boards will need to understand what ESG models do and what they don't do. In general, few senior managers are keen practitioners of stochastic calculus, the building blocks of ESG models. The paper therefore seeks to explain Economic Scenario Generator models from a non-technical perspective as far as possible and to give senior management some guidance of the main issues surrounding these models from an ERM/Solvency II perspective.

This abstract relates to the following paper:

VarnellE.M.Economic Scenario Generators and Solvency II ‐ Abstract of the Discussion. British Actuarial Journal, doi:10.1017/S1357321711000079