MARCH 2013 theactuary.com
The magazine of the actuarial profession
Interview: Desmond Smith Building the profession for future generations
Modelling Improving marketconsistent valuations
Soapbox Stand united on pension challenges
Arts The Actuary
Commerce meets culture
March 2013
SCALING NEW HEIGHTS Risk management and the multinational p01_mar_coverCS5•gc.indd 1
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MARCH 2013
Contents GETTY
26 24 “The Enron scandal and BP’s Gulf of Mexico oil spiill highlighted high spill the need for greater knowledge about risk management in non-financial firms”
26 30 UP FRONT
FEATURES
AT THE BACK
10 Profession news
18 Modelling/software:
34 Arts
14 Industry news 16 People/society news 23 SIAS events
Model behaviour Andrew Smith and Parit Jakhria investigate model uncertainty and the risk of failure
20 Modelling/software: Replication rules
OPINION 5
Editorial Turn the negative viewpoints that accompany change into a positive, writes Deepak Jobanputra
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Letters Views from the other side of the fence and unique opportunities
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President’s comment Philip Scott examines the role of the health and care committee
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Soapbox Hugh Creasy looks to a future where those involved in corporate pension schemes join forces to surmount their funding challenges
36 Book review The Signal and the Noise: The Art and Science of Prediction by Nate Silver
MORE CONTENT ONLINE Additional content can be found at www.theactuary.com
Dr Alexander van Haastrecht explains how the accuracy of market-consistent valuations can be improved using replicating portfolio control variates
24 Enterprise risk management: Trusting to luck Is this the only factor controlling balance sheet volatility from changes in value in-force under Solvency II? Scott Eason and Viktor Knava report
The Actuary’s contemporary arts editor offers an insight into valuing the art of the aesthetic
37 Puzzle Win a £50 Amazon voucher
38 Actuary of the future Duncan Clarke from JLT
39 Student Jessica Elkin searches for an actuarial hero in TV and film
40 Appointments and moves
ONLINE
30 Q&A: Desmond Smith Sarah Bennett talks to the immediate past-president of the International Actuarial Association about the global challenges facing the profession
32 Spotlight: International Actuarial Association Nicole Seguin provides an insight into the purpose of the IAA, the work it undertakes and the unique opportunities it offers
International: Building resilience to global risk Rainer Egloff digests a new report highlighting the changing nature of risk and ways to tackle emerging threats
International: A year in the life of the Chinese Actuarial Network UK Dr Yan Liu reports on the first anniversary of CANUK
MORE CONTENT ONLINE Additional content can be found at www.theactuary.com
WRITER OF THE MONTH Paul Klumpes wins a £50 book token for his article on risk management and the multinational, courtesy of the Staple Inn Actuarial Society
March 2013 • THE ACTUARY www.theactuary.com
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Editorial DEEPAK JOBANPUTRA Redactive Media Group 17-18 Britton Street, London EC1M 5TP +44 (0)20 7880 6200 Editor, Redactive finance division Mike Thatcher Publishing director Joanna Marsh Chief sub-editor Caroline Taylor News editor Nick Mann +44 (0)20 7324 2794 nick.mann@theactuary.com Recruitment and display manager Katy Eggleton +44 (0)20 7324 2762 katy.eggleton@redactive.co.uk Recruitment sales Gill Rock +44 (0)20 7880 6234 gill.rock@redactive.co.uk Digital sales Leila Serlin +44 (0)20 7324 2787 leila.serlin@redactive.co.uk
Managing editor Sharon Maguire +44 (0)20 7880 6246 sharon.maguire@redactive.co.uk
Opinion
Editor Deepak Jobanputra editor@theactuary.com Editorial team Sarah Bennett health, international Jeremy Lee pensions, investment, ERM, banking
Turn the negative viewpoints that accompany change into a positive, writes Deepak Jobanputra
Richard Purcell Richard Schneider, life, Solvency II, mortality/longevity, modelling and software
Smile in the face of change
Helen Lau, GI, reinsurance, environment, careers (UK) Aoife Martin, GI, reinsurance, ERM, Solvency II
Art editor Gene Cornelius Picture editor Akin Falope Production manager Jane Easterman +44 (0)20 7880 6248 jane.easterman@redactive.co.uk Print Southernprint Ltd Internet The Actuary website: www.theactuary.com
Profession news editor Alison Jiggins +44 (0)20 7632 2172 alison.jiggins@actuaries.org.uk People/society news editor Yvonne Wan social@theactuary.com Student page editor Jessica Elkin student@theactuary.com Arts page editor arts@theactuary.com
SIAS website: www.sias.org.uk
SIAS representative Alvin Kissoon
Actuarial Profession website: www.actuaries.org.uk
Editorial advisory panel Peter Tompkins (chairman), David Campbell, Matthew Edwards, Martin Lunnon, Marjorie Ngwenya, Sherdin Omar, Richard Purcell, Andrew Smith, Nick Silver
Circulation 22,733 (July 2011 to June 2012)
Subscriptions For subscriptions from outside the actuarial profession: UK, Eire and Europe: £55 a year/£5 a copy. For the rest of the world: £80 a year/£7.50 a copy. Please contact: Alison Jiggins, The Actuarial Profession, Staple Inn, High Holborn, London WC1V 7QT T +44 (0)20 7632 2100 E alison.jiggins@actuaries.org.uk Students on actuarial science courses at universities may join the Staple Inn Actuarial Society for £6 a year. They will receive The Actuary as part of their membership. Apply to: Membership Department, The Actuarial Profession, Maclaurin House, 18 Dublin Street, Edinburgh EH1 3PP. T +44 (0)131 240 1325 E membership@actuaries.org.uk Changes of address should be made known to the membership department as above. For delivery queries, please contact: Jane Easterman E jane.easterman@ redactive.co.uk Published by the Staple Inn Actuarial Society The editor, The Institute and Faculty of Actuaries and Staple Inn Actuarial Society are not responsible for the opinions put forward in The Actuary. No part of this publication may be reproduced, stored or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of the copyright owners. While every effort is made to ensure the accuracy of the content, the publisher and its contributors accept no responsibility for any material contained herein. Important information for contributors to The Actuary By submitting content for publication you confirm that: (a) You (and/or other named contributors) are the sole author(s) of the content submitted; (b) The content you submit is original and has not previously been published (unless you specifically advise us to the contrary); (c) You haven’t previously licensed the use of the content you submit; (d) So far as you are aware, the content submitted will not infringe any third-party rights, be defamatory or in any way illegal. © SIAS March 2013 All rights reserved ISSN 0960-457X
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Stability is a much sought-after attribute, be it in the world of business or in our everyday lives. Change is difficult to adapt to, partly because of the element of surprise that often accompanies it. Another dimension adding uncertainty is the time frame over which change occurs. A few decades ago, the idea of ‘tablets’ and mobile technology were confined to the realms of science fiction. Today’s generation treat these gadgets as necessities that ‘drive’ their lives. In the world of commerce, economics and related macro issues, the debates surrounding stability and managing change are seen as critical in ensuring the sustainability of future generations. This is evident from the summit meetings led by the world’s most influential leaders to discuss financial stability, the health and wellbeing of society and our carbon footprint among other vast issues. However, without change, progress would be far slower than it has been. Many of the world’s greatest inventions and innovations have been driven by ‘a problem’ that has needed solving. I would, unfairly perhaps, term these ‘natural discoveries’. Every so often, we will also experience the brilliance of someone’s vision – Apple’s Steve Jobs was a great example of this. I am by no means arguing for adverse change to accelerate progress. It is, however, possible to embrace change rather than resist it. Human nature and even animal instinct is to reject anything new and to take on a critical viewpoint. If that critical thinking can be adapted to view things from both ends of the spectrum, we may find new solutions to changes that have yet to materialise. Actuaries have an abundance of ‘left-brained’ critical thinking that must be maintained with uncompromising rigour. We have, however, often been accused of lacking creative, ‘right-brained’ balance – fairly or unfairly, I’ll let you decide. There is no shortage of opportunity for us to make a positive difference to society, be it via insurance, savings or other financial products through to developing solutions in ‘non-traditional’ areas. Seek out that change or, better still, drive it!
‘Many of the world’s greatest inventions and innovations have been driven by ‘a problem’ that has needed solving.’
Deepak Jobanputra editor@theactuary.com
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March 2013 • THE ACTUARY www.theactuary.com
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letters@theactuary.com
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Opinion Letters
LETTER OF THE MONTH
— ER RIT THE WLETTER E OF TH E MONTH OF TH EIVES A REC AZON M £25 A CHER VOU —
Other side of the fence
Profit and loss offers unique opportunity I have just read the article ‘Rise to the challenge’ (p26, January/ February) on profit and loss attribution (P&LA). I firmly believe that P&LA should play a central role in the management of a business, not simply in terms of complying with regulatory requirements but in terms of good governance. P&LA is concerned with verifying that movements in the value metrics calculated by the financial reporting function are consistent with the risks identified by the risk management function. With the concept articulated in this way, it becomes clear that there is a need for the attribution to be performed by a separate function independent of both the financial reporting and risk management functions, as the attribution may reveal weaknesses in both financial reporting and risk management. It also becomes clear that the need for such a function applies to all types of business, not only those in the financial services industry. The actuarial profession, with its unique combination of skills, is strongly placed to fulfil this function, presenting a great opportunity for the profession to expand into wider fields. Having presented a paper on the subject of P&LA to the International Actuarial Association Life Section Colloquium in Mexico City in October 2012, I have thought at length about the application of P&LA to insurance companies. Without responding to all the technical points in the article, I would advocate the use of a Taylor series expansion of the movement in the valuation result over the whole reporting period, rather than instantaneous stresses. The risk factors would be assumed to occur uniformly over the reporting period, with additional risk factors being added to the extent that uneven movements in the basic risk factors produce a materially different financial impact. Oliver Lockwood 10 February
MORE LETTERS ONLINE More letters are available online at www.theactuary.com/opinion
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Powerful combination: long memory meets free thinking I appreciated the article by Faisal Zai, ‘The Power of Long Memory’ (p23, January/ February), and, in particular, its emphasis on the thinking of the late Benoit Mandelbrot (pictured below). One facet not covered was the extent to which Mandelbrot’s heterodox views, rejecting, as they did, many of the basic tenets of conventional financial economics, were swept under the carpet for several decades, only re-emerging into wider circulation when a seminal financial crisis illustrated clearly the unsound bases for most modelling of financial markets. Even now, the interest level in researching non-linear dependence may well be constrained, particularly in the United States, by the sheer amount of academic capital, in both universities and business schools, that has been sunk into promoting conventional finance theory and modelling. The UK actuarial profession seems rather well placed in this regard, since the flirtation with conventional financial economics in the 1980s and 1990s fortunately did not, in the end, lead even to a civil partnership, and the profession has thus remained relatively open-minded on the subject of finance theory. This would seem to leave us free both to pursue research into non-linear dependence and to represent that, in the broader field of financial risk management, we can bring something to the party that is not necessarily to be found elsewhere. John Bishop 11 February
SCIENCE PHOTO LIBRARY
I recently read the article on The Actuary website entitled ‘Claims companies are increasing pressure on crash victims’ (bit.ly/claimspressure). It was an interesting read and, as a life actuary, provided an insight from an interesting angle on the non-life industry. However, I have since shared the article with a past president of the Motor Accident Solicitors Society (MASS) and his views were very different to those portrayed in the article. By different, I do not necessarily mean opposite, just coming from a different angle. For example, one view was that if 67% of crash victims were contacted after their accident last year, then perhaps the real story should be that there are 33% who are hounded or seduced by the insurer for the liable driver into settling directly – and who are hence likely to be worse off. This experience got me thinking – should The Actuary seek to gauge more views from communities that are very different from the actuarial community, such as MASS? Mark Gorman 31 January
The editorial team welcomes readers’ letters but reserves the right to edit them for publication. Please email letters@theactuary.com. The deadline for receiving letters for the April issue is 18 March 2013.
THE ACTUARY • March 2013 www.theactuary.com
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Opinion President’s comment
Philip Scott is the president of the Institute and Faculty of Actuaries
PHILIP SCOTT
The cost of caring This month, in my series of visits to the Profession’s Practice Executive Committees (PECs), I was delighted to learn more of the work of the health and care committee. In my view, this is one of the most interesting areas in which actuaries work today. I feel that there are two primary responsibilities that characterise health and care. The first is supporting current actuarial work carried out in health and care specialities. These include private medical insurance, critical illness cover, income protection and long-term care insurance. The second role is to harness the significant opportunities to contribute to public policy on health and care and, in doing so, influence the outcomes of policy and future regulations. More than 90% of the UK’s expenditure on healthcare still lies with the state. Actuaries need to contribute to public debate to help optimise our scarce health resources. In doing so, they will create many future opportunities for actuaries to work in these fields. The Health and Care PEC has drawn on the feedback of its membership to consider which areas it should look at in more detail. As well as the familiar topics of critical illness, long- term care and private medical insurance, this has also thrown up innovative strands for future research and has created new groups looking at the areas of cancer modelling, income protection and genetics. The need for people to make provision for their care needs is going to be a major theme for the financial services industry. The Dilnot report was a long time coming and it is hoped that the recommendations and the subsequent government proposals for capping the cost of care will stimulate policymakers to revitalise the market in new directions. In turn, this should build confidence within financial services companies to invest scarce capital. The onus now has switched to the government to shape the reports and proposals into a structure capable of meeting the needs of generations to come. One of the PEC’s main working parties looks at long-term care and has recently produced a discussion paper that is particularly relevant given the legislative changes. It is also likely to influence how the Department of Health develops policy on the extent to which people will pay for care.
Philip Scott examines the role of the health and care committee
With the recent announcement of more definite proposals on what the state would provide for in future, actuaries can now perform the useful function of defining and shaping future insurance products that can fill the gaps. Other groups are looking in more detail at: how the definition of critical illness can be improved; the influence of geographical factors in the incidence of critical illness; the needs of cancer patients and, in particular, how the costs of care and treatment can be allocated between the state and private arrangements. The income protection working party is looking to focus on questions such as ‘What impact does the state of the economy have on the incidence of sickness?’ The Health and Care PEC also provides members for crosspractice working groups, such as the micro-insurance, longevity basis risk and the Solvency II steering groups. The findings from these groups will be the subject of much debate at the Health and Care Conference 2013 in May. One of the most compelling areas for future research in health and care is covered by the newly formed working group looking at the role of genetics. There is much work to do on the interaction between genetic medicine and
longevity risk. This group intends to meet in the near future with the UK Forum for Genetics and Insurance – a group of interested parties including the Association of British Insurers, the Public Health Genetics unit and Herriot Watt University – for joint discussions on identifying the gaps in genetic research. In addition, the PEC has been asked by the Department of Health to build on and complement research undertaken by the International Longevity Centre (ILC-UK). The centre’s work on the projected financial impact of the cost of the world’s ageing population has significant implications for sustainable healthcare. In future months, the PEC hopes to develop a broader base of public interest by organising events with ILC-UK on recent research into the cost of an ageing society. It also plans to run a series of seminars, culminating in 2014, that will examine key issues and trends in mortality and longevity. The next seminar on socio-demographics is due to take place at Staple Inn on 12 March and includes speakers from Imperial College, University College London and CASS Business School. These events will, I am sure, interest all members, whether they work in healthcare or the broader areas of life insurance, general insurance, investments or pensions. a
“The need for people to make provision for their care needs is going to be a major theme for the financial services industry”
March 2013 • THE ACTUARY www.theactuary.com
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Opinion Soapbox
HUGH CREASY
United we stand, divided we fall As alternative rock musician and activist Billy Bragg put it, ‘There is Power in a Union’. Perhaps that, albeit without the capital U, was what was going through the minds at the Department for Work and Pensions (DWP) as they assembled the current consultation on smoothing discount rates for funding corporate pension schemes. Certainly, the way the consultation has been constructed as a series of questions encourages active participation across not just the technicians but also the wider groups who feel the force of funding rules. We may already be comfortable with the technical arguments, but the open-ended nature of the questions will be refreshing. It is easy to be glib about the effects of low gilt yields on funding needs. Low gilt yields have unquestionably increased deficits. However, with base rates so low and projected to remain low, the financing cost of those deficits has barely risen. Cash funding requirements for 2012 valuations are regularly unchanged from existing levels. If sponsors are not being asked to pay more than had been budgeted in the heady days of 2009, what’s the fuss? The consultation has been designed to tease out sponsors’ experience to answer that question. However, as actuaries, our primary role is not to re-examine last year’s valuations. Instead, it is about guiding for the future. Our professional role gives us an obligation to help pension scheme sponsors and trustees appreciate the risks they are taking and so help give them stable direction in the medium to long term. Yes, we should be willing to give positive advice and, on principle, we should not criticise those who recommended moving out of gilts in January 2010 saying “we believe that it is likely that gilt yields will rise over the next three years”. A valuable consultant must have the courage of his convictions to speak up. What that message must come with though is an explanation of the consequences for the client of taking such a step and getting the call wrong. I said we should not focus on the past, but it can be illuminating. The obvious example is
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Hugh Creasy looks to a future where all the stakeholders involved in corporate pension schemes join forces to surmount their funding challenges
price inflation where, over the years, indexlinked gilts have been perceived as more and more expensive. Sponsors and trustees who have steered clear of inflation protection will rue the day if a dose of inflation does transpire to be the chancellor’s– and the new governor of the Bank of England’s – mysterious Plan B. Handling the effects of low gilt yields during 2012 will be a walk in the park by comparison. That is a key message that actuaries should be communicating to their clients. It may also be a more relevant, if more challenging, question for respondents to consider when they go back to the DWP. So why am I so upbeat about the DWP’s consultation, which, after all, focuses squarely on the history of 2011/12? I have high hopes that we are turning a corner in collaborative working. Although we must remain mindful of conflicts of interest, I am looking to a future where the stakeholders – corporate sponsor, trustees, regulator, all advisers – actively contribute to the debate and jointly help to deliver a way forward. We have come a long way with investment de-risking products and techniques as well as creeping opportunities for mortality hedging,
but we will achieve so much more, so much faster, if we can work collaboratively. The past few years have brought little but fear for many corporate pension scheme sponsors – and fear breeds poor decisionmaking. This may be benign, with unnecessary expense incurred on elaborate funding solutions. More darkly, it may be detrimental to pension scheme members and/ or those who depend on the continuing health of the sponsor. The obvious way to reduce the level of fear is to open up the issues in a nonconfrontational way. The new requirements for actuaries to manage potential conflicts of interest will need sensitive handling. Done well, we can bring a new face to the table, inspiring healthy debate and jointly creating new ideas. The DWP’s approach feels to me like the first step down the path as we support each other in helping our clients through such a difficult period. Billy was right: ‘it all amounts to nothing if together we don’t stand’. a
“We have come a long way with investment de-risking products and techniques, but we will achieve so much more, so much faster, if we can work collaboratively”
Hugh Creasy is an actuary and director of Xafinity Corporate Solutions
THE ACTUARY • March 2013 www.theactuary.com
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What is your Solvency II capital requirement? How will it evolve?
Are you using risk-based capital metrics?
Can you be sure you are making the right capital allocation decisions?
Beyond what you know...
CapitalModelling www.barrhibb.com
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News Profession NEWS UPDATES FROM THE ACTUARIAL PROFESSION
Upfront Opinion CEO’s comment
CPD material available online
Contemplating the communication paper? Derek Cribb offers a tip from a children’s author
As part of our commitment to member support, the Institute and Faculty of Actuaries is working to deliver ongoing improvements to the continuing professional development (CPD) services that we provide to enable you to enhance your skills and knowledge. One way in which we have been doing this is by increasing the amount of CPD material available online. This is intended to: ● give all members access to the latest thinking and research in actuarial science in the form of audio and video recordings of our sessional events; ● enrich the breadth of material available to you with recordings of plenary sessions at our annual residential conferences; ● make CPD available to all members, in a convenient format, wherever they are located in the world, allowing everyone to benefit from the same content. This is an initiative that we are continuing to develop and we hope you will see ongoing improvements in the provision and recording of CPD during the next two years.
Keep it simple Derek Cribb is the chief executive of the Institute and Faculty of Actuaries
It is a given that a qualified actuary has the highest level of technical skills, but it is actuaries with good communication skills who really stand out and are marked for success. So what makes a good communicator? Perhaps a real, but not unique, example will help paint a picture. The Institute and Faculty of Actuaries presented to a group of students in Malaysia recently. After extolling the virtues of a career in actuarial science and, in particular, with the Institute and Faculty, we were asked what the hardest exams were and did we have any hints on how to pass them. Without hesitation, CA3, Communication, was mentioned. The students explained that the exam wasn’t actually difficult – you just couldn’t revise communication and presentation skills. There we were in a lecture theatre being told by a group of students that they did not have the opportunity to practise presentation skills – the irony was almost overwhelming. Good presenters are seldom born that way. Whenever you have a presentation, whatever the occasion, the only way to succeed is to practise, ask for feedback, adapt and repeat until seamless. You cannot expect to walk out in front of an audience and nail a presentation if you are not certain what you will say in advance. At the Current Issues in Life Assurance seminar, the audience scored presenters on presentation style and content. There were leading subject matter experts, and the content was of the highest quality. However, the feedback showed an almost perfect correlation between presentation technique and how the audience perceived the quality of the content at the event. So, does being a good presenter make you a good communicator? No, but along with an appropriate use of language it should help to prevent you from being a bad one. Let me finish with some advice from C S Lewis, author of children’s classic The Lion, the Witch and the Wardrobe, that may help you next time you are planning a presentation. “Don’t use words too big for the subject. Don’t say ‘infinitely’ when you mean ‘very’; otherwise you’ll have no word left when you want to talk about something really infinite.” a
DEREK CRIBB
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ACCESS THE PROFESSION’S ANNUAL REPORT
Deadlines for the current CPD year The reporting year ends on 30 June and records must be complete by 31 July. We would like to remind you that it is your responsibility to ensure that your records are compliant by the 31 July deadline and to encourage you to bring them up-to-date at this halfway stage. Please note that if you wish to make an application for a concession or an exemption, you must do so before 30 April. If you are a fully regulated member but based overseas and completing CPD with your local actuarial body, you can apply to be affiliated to that body for CPD purposes, provided we recognise the CPD scheme in question. You can find full details of this in the CPD scheme, along with useful suggestions to help make up your CPD hours. If you have any further questions about CPD compliance please contact cpd_feedback@
actuaries.org.uk
THE ACTUARY • March 2013 www.theactuary.com
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Actuarial researchers come to the PARTY The end of January saw 55 young conference delegates from all over the world come together at the Monte Verità Conference Centre in the beautiful setting of Ascona, Switzerland, for the inaugural Perspectives on Actuarial Risks in Talks of Young Researchers (PARTY) conference. The acronym for the five-day conference aptly described the exuberance of the young researchers presenting and discussing themes around longevity risk and risk theory. Hosted and funded by the Centro Stefano Franscini (CSF), the aim of the conference was to create a friendly atmosphere in which the future generation of PhDs in actuarial science could interact with their peers from around the world and also with experts from the actuarial practice and academia. Conference organiser Corina Constantinescu of the University of Liverpool says: “With presentations on subjects ranging from mortality models, longevity risk and
Conference organisers Corina Constantinescu and Séverine Gaille (University of Lausanne) catastrophe risk to optimal dividends, ruin and bankruptcy probabilities, the mix-and-match programme exposed delegates to topics related to their own field as well as introducing them to other aspects of actuarial risks and ways to address them.”
In addition to the funding provided by CSF, the conference was sponsored by the Institute and Faculty of Actuaries, the Swiss Association of Actuaries, the University of Lausanne and University of Liverpool. The sponsors also helped to fund prizes to recognise talent in the next generation of researchers. The extremely high quality of the presentations made the award of best presentation a difficult choice for the judges. In the end, this prize was jointly awarded to Katjia Schilling from the University of Ulm (Germany) and Andrés Villegas from City University (UK). The Institute and Faculty of Actuaries was delighted to award the prize for the best paper to Weihong Ni from the University of Liverpool (UK) for her paper on Weibull Bonus-Malus systems. The tremendous success of the first PARTY means that the second conference, to be held in the UK, is now being planned for 2015. The organisers look forward to welcoming a further cohort of young researchers to the next PARTY.
ISTOCK
What now for technical actuarial standards? Financial Reporting Council (FRC) restructure In July 2012, the functions of the board for actuarial standards (BAS) and the six other operating bodies of the FRC (including the accounting standards board and the professional oversight board) were transferred to the FRC board. This was part of a number of changes to make the FRC more effective both in its day-to-day operation and its wider influence. The actuarial policy team supports the FRC board in setting actuarial standards and in related matters such as research and influencing international developments. It also oversees the regulation of the actuarial profession by the Institute and Faculty of Actuaries. The FRC is supported by a new advisory body – the Actuarial Council, which includes practising actuaries and users of actuarial information. Its advice will be published alongside the technical actuarial standards (TASs).
TAS resources While actuaries need to be familiar with standards relevant to their work, there are several other FRC publications that will help them in complying with the TASs. All of the following documents can be found on the FRC website: www.frc.org.uk Scope and authority of actuarial standards This overarching document sets out the objective and the scope of the TASs. It establishes geographical limitations, as well as bringing reserved work into the scope of the TASs. Actuarial quality framework The actuarial quality framework (AQF) is designed to support effective communication between actuaries, their principal clients and employers (eg senior management and members of governing and review bodies), other professionals (eg lawyers and
accountants), end-users and their representatives, policymakers and regulators. The AQF sets out six drivers of actuarial quality, with indicators of when a positive contribution is made to actuarial quality. Significant considerations When we issue a TAS, we publish an accompanying document that sets out our significant considerations – and, in future, the council’s advice to the board – in developing the standard. Questions for users We recently published three sets of questions to help users when making decisions based on actuarial information. These should stimulate discussion with their actuaries. The questions are targeted at different groups and cover specific areas of work: ● pension scheme trustees – pension scheme funding; ● non-executive directors of life insurers – technical provisions
and capital; and ● non-executive directors of general insurers – technical provisions and capital. Impact assessment We are reviewing the impact of the TASs on actuarial work, users and practitioners from a range of stakeholders. The findings will be published this year, setting out proposals for future actions. Future reviews We intend to review each TAS on a regular basis from 2014. The impact assessment will provide valuable input to our first review. Initially, we are likely to consider the scope, structure and principles of the TASs. Your views We welcome your feedback. Please email Robert Inglis or John Instance r.inglis@frc.org.uk j.instance@frc. org.uk
March 2013 • THE ACTUARY 11 www.theactuary.com
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News Profession NEWS UPDATES FROM THE ACTUARIAL PROFESSION
Moving towards a worldclass digital experience The profession now has a digital strategy that will deliver significant improvements to our online engagement with members and stakeholders. With 40% of members working outside the UK, and rising expectations of the online experience, it is essential that the profession delivers digital content and services of the highest standard to a global audience. The strategy identifies three objectives: enable users and search engines to find our content; research and develop the right digital community; and develop high-value content for learning, thought leadership and international engagement. Speaking to members, and benchmarking the profession’s website against those of other leading professional bodies, it rapidly became obvious that the key issue for most members is finding content. The structure of the site, and the search engine, were frequently cited as frustrations. One member described the site as
‘Byzantine’, which neatly summed up the general observation that all the content is there – but you really have to look for it. The site has been improving and the intention is to capitalise on that and take our digital services to the next level. The primary goal is to design a new user experience, based on intensive user research. The result will be a new site with an intuitive structure that will make content easier to find. The project will unite users’ needs, our business goals and our agency’s expertise to create a website that will ultimately be world-class. Research will also help us identify what sort of online community will work best for us. Member-created content is an important resource for many professional bodies, but making an online community work is always a challenge, for which there are rarely off-theshelf solutions, hence the importance of discovering what motivates members to create and share content.
The most exciting developments over the next few years will be in the area of content. User research will clarify the exact mix of content that will meet members’ needs and best serve our other users too. Later this year, we will develop a digital content and community strategy based on user research to give us a clear understanding of what content to create, for whom and why it’s valuable. It will address how we can make best use of on-demand video and webinars. It will also identify what skills and infrastructure are needed to create, deliver and manage content and community for a global audience, and whether these should be delivered by a new in-house resource or outsourced. On-demand video of selected conference plenaries and sessional events is already available to all members on the video and audio archive pages in the events section of the website. This expanding range of content can be watched anytime – essential for a global membership – and comes with continuing professional development (CPD). Running in parallel with the web project is a virtual learning environment (VLE) project. This will become an important resource for exams and CPD. At the start of this project, we will research how members prefer to learn online so that we can tailor the VLE to members’ preferred learning styles, rather than expecting members to adapt to the VLE. In all our digital projects, we will be working from an evidential base. The priority for 2013 is resourcing both these projects so that we can launch an integrated website and VLE. Then, with this solid foundation in place, we can shift our attention and resources to developing content and community. Our strategic approach will ensure we understand the value and purpose of what we’re doing. By focusing our energies on these projects, we will enter 2014 with the right infrastructure in place, a restructured digital team and a clear sense of priorities for content development. We’re confident you’ll notice the difference. To comment, please email Stephen Little.
stephen.little@actuaries.org.uk
Research centre seeks new industry sponsors Following the successful launch of the Actuarial Research Centre (ARC) in September 2012, ARC director professor Andrew Cairns is keen to hear from organisations who would be interested in sponsoring the next wave of PhD projects. Cairns says: “We were delighted to be able to offer sponsorship from the Institute and Faculty of Actuaries, Hymans Robertson and Partnership for ARC’s first two PhD students. This has allowed them to start developing new research that is relevant and valuable to industry, which is the essence of the centre.”
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Sponsoring or co-sponsoring a PhD project allows organisations to benefit from leading-edge research that they may not otherwise have had sufficient internal resources to undertake. A rigorous selection process ensures that the output quality for the sponsor is second to none. The key focus of the ARC has been on risk management and issues relating to the global pensions and insurance markets, although it would be open to other actuarial proposals. For details, please contact professor Cairns or visit the ARC website. Email a.j.g.cairns@hw.ac.uk www.sfra.ac.uk/ARC
THE ACTUARY • March 2013 www.theactuary.com
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NEWS IN BRIE F
FO RT H C O M I NG E V E NTS
Volunteering for the Profession
Socio-demographics: exploring the future and defining the questions
Interested in joining a working party, committee or volunteering in any of the opportunities that exist across the profession? Visit the ‘volunteer vacancies’ web page (bit.ly/ujaTDx) for all new volunteering opportunities or contact Debbie Atkins (debbie.atkins@ actuaries.org.uk). Don’t miss out – sign up to the RSS feed and receive automatic alerts via email.
12 March, Staple Inn Hall, London 17.00 We are living longer, but we are not living healthier lives. The Institute and Faculty of Actuaries is running a series of seminars, culminating in 2014, that examine key issues and trends in mortality and longevity. By delving deeper into data that is currently available, hearing from experts across disciplines, considering future as well as current impacts and asking the questions that should be asked, this series of seminars aims to: ● inform members of current issues; ● determine areas of future research; ● identify where actuaries can help to better shape the future. Speakers include: ● David Blane, from Imperial College, who will be looking at life course influencers on longevity, older age health drivers and differences in mortality. ● Peter Goldblatt, from UCL, who will be discussing strategies to reduce health inequalities and wider socio-economic policies to reduce the gap. ● Steve Haberman, from Cass Business School, who will be examining the forecasting of socio-demographic trends in mortality in England. This event should interest all members working in health care, life insurance, general insurance, policy and pensions.: Book your place at bit.ly/14U7Mgu
Annals of Actuarial Science The latest edition of the Annals of Actuarial Science was published in February and will be available at www.actuaries.org.uk. The latest edition focuses on enterprise risk management (ERM) and is edited by Alexander McNeil, of the department of actuarial mathematics and statistics, Heriot-Watt University, Edinburgh, and the Maxwell Institute for Mathematical Sciences. ERM is an active inter-disciplinary research area that is an increasingly important part of modern actuarial science. Arguably, actuaries have always been risk managers, applying their skills to measure and mitigate the risks of future events. However, modern regulation in financial services – Solvency II, for instance – has led to the development of a more clearly defined profile for enterprise risk managers. This edition of the Annals of Actuarial Science underpins the importance of ERM for the actuarial profession with a small sampling of some of the research themes.
LOOKING FORWARD TO 2013 Pensions Conference 2013 5-7 June Celtic Manor, Newport Join us at this year’s conference and hear from a range of highprofile speakers on topics including: ● the new state pension
arrangements; ● auto-enrolment and how the regime in the UK compares to international systems; ● the current global economic
situation; ● conflicts of interest.
For more information on the programme or sponsorship and exhibition opportunities, contact eventmanagement@ actuaries.org.uk
Conference programme 2013 Health and Care Conference 2013 15-17 May Celtic Manor, Newport http://bit.ly/10ztfgb
Pensions Conference 2013 5-7 June Celtic Manor, Newport http://bit.ly/UQzV1s
Risk and Investment Conference 2013 17-19 June The Grand Hotel, Brighton http://bit.ly/SKDj2t
GIRO Conference 2013 8-11 October EICC, Edinburgh http://svy.mk/WJg1Fn
Life Conference 2013 10-12 November EICC, Edinburgh http://svy.mk/W75qFZ
Momentum Conference 2013 4-6 December Celtic Manor, Newport http://svy.mk/UQymk7
Call for speakers now open – be part of the autumn conference programme for 2013
March 2013 • THE ACTUARY www.theactuary.com
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News Industry news@theactuary.com
NAPF: defined benefit pension schemes closing to new members at record rate Only 13% of private-sector defined benefit pension schemes were open to new members last year The National Association of Pension Funds has found in its annual survey that the percentage of open schemes fell from 19% in 2011 and 21% in 2010. Last year’s fall was the steepest since comparable data began in 2005, when 43% of schemes were open. This year’s survey covered 1,018 schemes, including defined benefit (DB) schemes with six million members and defined contribution (DC) schemes with 695,000 members. A similar decline was found among schemes closing to future accrual for existing members. Almost one-in-three (31%) are now closed to existing staff, compared with 23% in 2011 and just 7% in 2009. Joanne Segars, NAPF chief executive, said: “The pressures on final salary pensions have proven too great for many businesses. The growing liabilities, fuelled by quantitative easing, will have been a factor behind the record hike in closures. Those starting a new job in the private sector have next to no chance of getting a final salary pension. What was once the norm is now a very rare offer. And those who are currently saving into one may find it gets closed.” Almost half (46%) of private-sector DB pension respondents operating schemes still open to new members said they were planning to close to new staff in the next five years and offer them a DC pension instead. Almost a third (29%) of those already closed to new joiners were planning to make further changes. These included potentially closing the scheme to further accrual or making it less generous. For more on this story, visit bit.ly/UwzfBA
Financial Services Authority launches probe into fairness of annuity market City watchdog to investigate whether retirees get a good deal when they use their pension pot to purchase an annuity The Financial Services Authority (FSA) has instigated a ‘thematic review’ to explore the risk of detriment that consumers may face as a result of not shopping around when purchasing an annuity. Since 2002, personal pension providers have been required to tell customers that they have the right to use their pension pot to buy an annuity on the open market, where annuity rates can typically vary by up to 20%. However, only around 40% of retirees actually take advantage of the open market option. Nick Poyntz-Wright, head of life insurance at the FSA, said: “We have set out our vision to make sure markets work well so consumers get a fair deal. An annuity purchase is an important, one-off decision that has long-term consequences for individuals if they get it wrong. We want to understand the level of the potential detriment for consumers if they do not shop around to see if there are ways to make this market work better for consumers.” The work as a whole is expected to last into the second half of the year, with the FSA’s successor, the Financial Conduct Authority, taking over the project in April. For more on this story, visit bit.ly/WD7V26
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Fund assets hit record high The total value of the assets held by pension funds in the world’s 13 biggest markets increased to a record high of just under $30trn (£19.2trn) last year, according to figures published by Towers Watson. The 9% increase in assets detailed in the consultancy’s Global Pension Assets Survey continues a trend from 2009, when global assets grew by 17%. This followed a 21% fall during 2008. bit.ly/XxcoTq
Consensus vital to beat flood risk Political commitment on all sides is needed to tackle the rising risk of flooding, the Association of British Insurers (ABI) has said. Nick Starling, the ABI’s director of general insurance, said political consensus was “essential” to address “the greatest natural threat facing the UK”. In particular, he called for improvements to the planning system to prevent developments in high flood-risk areas. bit.ly/12vHhPD
SMEs reject larger schemes The majority of small to medium-sized employers (SMEs) with an existing pension scheme oppose moves to encourage scheme consolidation, according to research published by the Association of Consulting Actuaries (ACA). Twothirds (67%) of firms with 250 employees or fewer and that have a pension scheme told the ACA they do not believe fewer, larger schemes result in better value for money for savers and/or employers. bit.ly/Vz6680
Medical underwriting could cut de-risking costs Taking pensioners’ health and lifestyle into account could reduce the cost of de-risking a defined benefit pension scheme by 10% or more, according to research published by the Pensions Institute. The report, A Healthier Way to De-Risk, explained how medical underwriting under an enhanced bulk purchase annuity buy-in could also speed up the process of moving the risk associated with a pension scheme onto an insurer. By making previously unaffordable transactions possible, the practice could also increase the percentage of schemes that are able to complete a buy-in, which is an ‘essential’ step towards a final buy-out. Currently, only 20% of buy-in quotations result in a completed transaction, according to industry figures quoted in the report. Members will also benefit from these transactions, which can make schemes more secure and less likely to transfer to the Pension Protection Fund at a time when economic conditions are increasing pension liabilities, so putting more pressure on sponsors. The start of 2013 has seen the completion of the first enhanced buy-ins taking medical issues into account, with an initial focus on smaller schemes with up to 400 pensioners. However, the report estimates the market could be worth up to £380bn if it was scaled up to cater for all sizes of scheme. For more on this story, visit bit.ly/WJyCW7
Slow growth will hit hard for life sector, says Moody’s Low interest rates and slow economic growth will make 2013 a difficult year for the global life insurance sector, Moody’s has said. In its Global Life Insurance Outlook – 2013, the ratings agency gave the sector a negative outlook. Interest rates are expected to remain at historically low levels, weighing on life insurers’ profitability as returns on investments fall towards guaranteed minimums. Earnings charges are also expected to increase after this year. Sales of life products are also falling in most mature markets as slow economic growth and reduced purchasing power mean consumers are less likely to make discretionary purchases. Moody’s expects sales to be hit further by life insurers’ retreat from guaranteed investment products – a trend that will accelerate as a result of low interest rates and volatile equity markets. For more on this story, visit bit.ly/XMdXNH
THE ACTUARY • March 2013 www.theactuary.com
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› GENERAL INSURANCE
NEWS ROUND-UP
Drop in motor insurance prices masks gender directive volatility The UK motor insurance market has continued to soften, with rates down by an average of 2.9% in the three months to the end of December, according to motoring organisation and insurance brokerage the AA. This brought average prices back to where they were in October 2011. However, the report noted that the average change masked massive volatility, brought about by the implementation of the EU’s gender directive at the beginning of December. The AA said that premiums had risen by an average of 4.7% for women aged between 17 and 22, but had fallen by 1.9% for men in the same age bracket. It added that many media scare stories had been “unhelpful”, and that predictions that the gender directive would see women paying 50% more had not materialised. Simon Douglas, director of AA Insurance, said that it looked as if insurers, rather than making blanket gender-related changes, had “gone back to square one in calculating risk”. He also noted that “insurers will be watching how the balance of their business moves following repricing of premiums, so I expect further adjustments over coming weeks”.
ABI: flood defence ‘crucial’ but shouldn’t build in high-risk areas The UK government has given the go-ahead for 93 new flood defences, offering 64,000 homes additional protection against flooding. It added that £294m was being invested in flood risk management this year. The Department for Environment, Food and Rural Affairs said that it expected 165,000 homes to be better protected by 2015 – some 20,000 more than its previous target. Malcolm Tarling of the Association of British Insurers welcomed the approval of new schemes, but expressed concerns about levels of spending and planning on long-term flood defence. “We are going to see more instances of flooding, and we are going to see more instances of extreme heavy rainfall, so flood defence management is crucial. But it’s also crucial that we plan adequately so that we don’t build new homes in areas of high flood risk.”
Brokers face compensation fee rise Brokers are set to pay even more in Financial Services Compensation Scheme (FSCS) fees next month after a mooted £21m interim levy became almost certain. The additional amount will be used to pay for the increase in payment protection insurance (PPI) mis-selling complaints handled by the FSCS. The new levy will be about 55% of the FSCS element of brokers’ 2012-13 regulatory bill. The extra charge will take the total FSCS cost to insurance intermediaries this year to £57m.
GETTY
Solvency II phase-in extra burden Insurers have warned against soft-launching certain elements of Solvency II because of continued uncertainty over the rules. Carl Dowthwaite, group commercial actuary at London-based Legal & General, said: “The final Solvency II rules are not yet finalised and requiring firms to report on an incomplete set of rules will add materially to the burden on firms, which will continue to need to report on a Solvency I basis.” The European Insurance and Occupational Pensions Authority is planning to introduce some measures in January 2014, to bring in elements of the Solvency II regime before the rules are fully implemented. Chairman Gabriel Bernardino has indicated that elements of the regime’s risk management and reporting rules could be included. While insurers have cautiously welcomed the move, there are concerns that the failure to agree on the regime’s capital rules could make it difficult to phase-in parts of the regime.
LARGE LOSSES
economic losses from the flooding that hit AU$2.5bn Estimated Queensland, Australia, in January
Floods in Queensland – 21-30 January
Australian wildfires – 1-17 January
Aon Benfield estimates that the flooding that hit Queensland, Australia, in January caused economic losses estimated at AU$2.5bn (£1.6bn) and left at least six people dead. The most severe flooding occurred in the Burnett River catchment area near the Queensland coast. Water levels exceeded 9.5m – 1.5m higher than during the December 2010 flood. The 71,000 population of Bundaberg experienced the worst flooding in the city in recorded history, with 2,000 homes and 200 businesses reportedly affected. Catastrophe modeller AIR Worldwide said that the heavy rain was associated with ex-tropical cyclone Oswald. More than 800mm of rain fell in the coastal town of Gladstone in four days, beating its previous record for a whole month. However, in Brisbane itself, the peak river level was 2.2m, 0.5m lower than initially predicted and 2.3m lower than in January 2011, causing only minor flooding. The Insurance Council of Australia (ICA) issued estimated insured losses from the Queensland floods at AU$553m (£363m). AIR Worldwide said that the floods were reminiscent of the disaster of December 2010/ January 2011, but that the impact was likely to be far less severe.
Wildfires in the Australian states of Tasmania, New South Wales and Victoria caused insured losses in excess of AU$100m (£65.7m). Record heat, very dry conditions and gusty winds led to hundreds of wildfires across the region. One firefighter was killed. Tasmania endured most of the damage. Some 150 homes were damaged or destroyed in communities such as Dunalley, Boomer Bay, Sommers Bay and Bicheno.
Jakarta fl oods – 20-27 January Torrential monsoon rains prompted severe flooding throughout the Indonesian capital of Jakarta, leading to the deaths of at least 41 people. According to the National Agency for Disaster Management (BNPB), at least 100,000 homes were damaged or destroyed across 31 districts in five municipalities. At their peak, the floods inundated several main hubs of the central business district, the presidential palace, residential and commercial areas and crucial infrastructure. Government officials reported that total economic losses would reach $3.3bn (£2.1bn). Insured losses were expected to top $311m (£199m).
MORE GI NEWS ONLINE For further GI news, visit www.theactuary.com/news/
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News People & Society
If you have any newsworthy items for these pages please email social@theactuary.com
The road Off to the Reinsurance Rendezvous in Monte Carlo? Why not take the scenic route and raise money for charity at the same time?
Actuarial maths workshop offers forum for ideas The University of Leicester will be hosting an actuarial mathematics workshop on Tuesday 19 March. The aim is to enhance collaboration between practitioners and academics in the field of financial and actuarial mathematics. Speakers are invited from industry and academia to discuss their current research interests. In contrast to conferences, where, generally, final results and papers are presented, these workshops aim to provide a forum for developing ideas. For further details, visit bit.ly/1265jRg If you have any queries or would like to attend or present at the workshop, please contact Dr Steve Hales, actuarial sciences programme director at Leicester University, on 0116 252 5287 or email him at sjh16@leicester.ac.uk
WCA golf day: Anyone for tee?
Charity campaign reminder
All actuaries and their partners are eligible to compete in the Worshipful Company of Actuaries Golf Day, which returns to Effingham Golf Club, Surrey, on 29 May. The competition is Stableford, full handicap, with prizes for both male and female competitors. Tee times will start from 2pm. The cost is £70, including a three-course dinner, and £25 for dinner only. Entries close on 1 May, and early application is encouraged for what is always a popular event. For further details, or to enter, please contact Bill Smith at
The Actuary, in conjunction with the Worshipful Company of Actuaries, has been running a campaign to target £1m through the fundraising activities of actuaries and we would be delighted to hear about your charitable work or activities. Please email Yvonne Wan at social@theactuary.com or Charles Cowling at charles_cowling@jltpcs.com Don’t forget, nominations for The Phiatus Award are currently being accepted for 2012. The award will recognise an actuary who has made an impressive contribution to charity. Send your nominations to editor@theactuary.com
billsmith100uk@yahoo.co.uk
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of the Grocers Company dealt. After the formal business of the meeting, Royal Society Research Fellowship holder Matthew Inglis updated members on developments in his research on the teaching of mathematics. This was followed by a sumptuous supper. The principal speaker was Chris Rofe, chief executive of the Royal Institution, an independent charity dedicated to connecting people with the world of science. It is most famous for its Christmas Lectures, which were started by Michael Faraday in 1825. Chris was in suitable company as he explained the work of the Institution in science and mathematics projects, giving members a true sense of the institution’s motto ‘science lives here’.
SHUTTERSTOCK / ALAMY
Piper steals the show at Grocers’ Hall event January saw the Common Hall meeting of the Actuaries Livery Company at the Grocers’ Hall. The Worshipful Company of Grocers is one of the ‘Great twelve’ livery companies of the City of London. Its first hall was destroyed in the Great Fire, the second was found unsatisfactory, and the third, after extensive and frequent repairs, was also superseded. Members dined in the splendour of the fourth hall on Princes Street, which survived the second world war with only minor damage. The Master of the Worshipful Company of Actuaries, Bill Smith, in full Highland dress and Master’s robe, was outshone by a Piper (pictured) – a triptych of tapestries designed by John Piper in 1968. It depicts in brilliant colours the many spices and foreign foods in which the early members
Wooden Spoon, the Children’s Charity of Rugby, has announced its new City Club flagship cycling challenge, the Lime Street 2 Monte Carlo Bike Ride, departing on 30 August and arriving on 7 September. Having partnered with some leading names in the insurance industry, including Besso, Aon, Miller, Lockton and Zurich Financial Services, and with the event timed to coincide with the start of the Reinsurance Rendezvous in Monte Carlo on 8 September, it was decided to start the ride from the heart of the insurance world, Lime Street in the City of London. Eighty like-minded industry professionals will cycle the 1,223km from
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to Monte Carlo Lime Street to Grand Casino Square, Monte Carlo. They will cycle from the flat lands of Northern France, down through the lovely Loire Valley and over the French Alps – an amazing route with climbs in excess of 30 miles and stunning vistas. It will offer participants an unforgettable experience and a great networking opportunity, all while raising money for Wooden Spoon. Catering for beginners, intermediate and advanced cyclists, entrants will benefit from a package that takes care of all their needs, so they can focus on the challenge. Each cyclist will be asked to pay a £1,500 entry fee and to raise a minimum of £2,000 for Wooden Spoon.
The package includes: overnight ferry from Portsmouth to Caen; eight nights’ bed and breakfast in three- and four-star hotels; all meals; full support crew, including physiotherapists; vehicles carrying luggage; morning, afternoon and lunch stops; motorbike support marshals; Spoon Challenges rugby shirts and cycling tops; full support prior to the challenge, including kit lists, training advice and fundraising ideas; plus a celebration dinner and overnight stay in Nice. To get involved, call 01283 841601 or visit www.limestreet2montecarlo.com For more details about the charity, visit
www.woodenspoon.com
L-R: Alistair Darling, Eva Richardson, Jia Cheng, Denis Kessler, Chris Daykin and Emily Maitlis
High SCOR for prizewinners At its Chairman’s dinner, held in Trinity House, London, on 29 November, global reinsurer SCOR presented its 2012 Actuarial Prizes. The annual event, which supports the development of actuarial research and insurance expertise, also included a lively discussion between former chancellor Alistair Darling and SCOR chairman Denis Kessler. Overseen by BBC news presenter Emily Maitlis, the pair debated the topic of ‘The Euro crisis, where are we heading?’. The prizes were awarded for the best dissertations submitted by students studying for Masters degrees in actuarial or related subjects. The winners were Jia Cheng from London’s Cass Business School for her paper ‘The cohort effect in cancer incidence’ and Eva Richardson, also from Cass, for her dissertation ‘Application of standard actuarial pricing techniques for health microinsurance schemes’. Congratulations to both. The papers were selected by a panel of judges, including chair of the panel Chris Daykin, Peter England, Stavros Christofides and Tim Birse, to whom SCOR are extremely grateful for their time and valuable input.
SIAS members get quizzical Actuaries and friends descended on City bar The Loose Cannon, housed in a Grade II listed building under three of Cannon Bridge’s arches, on Thursday 24 January. But this was no ordinary night out – they were there to take part in the hotly contested annual SIAS pub quiz. The high, arched ceiling of The Loose Cannon function room proved a perfect space to be filled with the brain waves of the 32 teams taking part. Our quiz master for the night was the very experienced Lesley-Ann Brewis of QuizQuizQuiz, who asked such intriguing questions as: Which West End musical has the tagline ‘not just a show, but a promise’? Correct answer: We Will Rock You. Wrong answer: Les Misérables. Where will you always find a football team in the 2-5-3 formation? Correct answer: table football. Wrong answer: Australian rules football. With plenty of different rounds, and a break for refuelling, the quiz was a great success. There were prizes for first, second and third place, along with one for the best team name. Barnett Waddingham’s team ‘Quizzy rascals’ snatched the top prize by one point, while ‘We know when you are going to die’ won the coveted best team name.
Sadly... Deaths Lawrence Julius COHN, died recently, aged 93. He became a Fellow of the Faculty in 1953. Roger Gordon GILBERT, died recently, aged 95. He became a Fellow of the Institute in 1951.
We would be delighted to hear from you if you have any newsworthy items for these pages. Please contact Yvonne Wan at social@theactuary.com
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Modelling/Software Extreme model risks features@theactuary.com
Model behaviour 18
We often face the problem of constructing a model based on limited data or information. This is fully understandable, given that a model is only intended to be a representation of the real world. After all, a model that perfectly represented the world would need to be at least as big as the real world. We can often spot patterns; the historical data might look like a random sample from a distribution with a bell-shaped curve. In that case, there is no difficulty finding a distribution to fit. Instead, the problem is more often too many candidate distributions. Given 20 years of lapse data, for example, we might try to fit a number of different statistical distributions to match the sample mean and standard deviation; so perhaps a Gaussian distribution, a logistic distribution, an extreme value
(Gumbel) distribution or a Student’s t-distribution with four degrees of freedom. Figure 1 shows standardised plots of these matching distributions. For solvency purposes, we need to estimate a 99.5th percentile, which, of course, is different according to which distribution we think the data has come from and how we estimate the parameters.
Parameter uncertainty An acknowledgement of parameter uncertainty complicates the definition of a percentile, since the mathematical 99.5th percentile is a function of underlying parameters we cannot observe. Regulation, however, demands that firms pick a single number and there are several potential ways to do this:
GETTY
Stochastic models might help financial firms to understand risks, but do we forget the risk that the model itself fails? Andrew Smith and Parit Jakhria investigate
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ANDREW SMITH and PARIT JAKHRIA are
members of the Actuarial Profession’s extreme events working party
Figure 1: Standardised densities for four distributions Estimating a 99.5th percentile will vary according to which the distribution the data comes from
Figure 2: Allowing for paremeter error when estimating a 99.5th percentile Capital as a multiple of sample standard deviation Gaussian
Logistic
Student T4
Gumbel -3
-2 Student T4
-1
0
Gumbel
1 Logistic
● Assume the parameter estimates are the
exact parameters, so avoiding the need to hold capital for parameter error ● Evaluate a statistically unbiased estimate for the 99.5th percentile (unbiased means the estimator’s average value is the true percentile). ● Calculate a confidence interval for the true 99.5th percentile – for example, a one-sided 95% confidence interval. ● Construct a prediction interval – for example, an estimate that has a 99.5% probability of exceeding the next observation, allowing for randomness in both the past data and the next observation. Based on our example, this would be the 21st year. ● Propose a prior distribution for the parameters and use Bayes’ theorem to construct a posterior distribution. Figure 2 shows the resulting figures for samples of 20 data points, excluding the Bayesian approach, whose answer varies according to the chosen prior distribution. These measures differ only because the data is limited; as the data increases, these are all consistent estimators of the ‘true’ percentile. None of these is the right answer; the different numbers answer different questions.
Model uncertainty Model uncertainty adds a further layer of risk. Goodness-of-fit tests, such as KolmogorovSmirnov and Anderson-Darling, have low power when data is scarce. Table 1 shows the power of Kolmogorov-Smirnov and Anderson-Darling tests with 20 data points. The chance of rejecting an incorrect model is often only marginally better than the chance of rejecting the correct model, and in a few cases the correct model is more likely rejected than an incorrect one.
2
3
0
1 Exact
Gaussian
2 Unbiased
3
4 Prediction
5
6 Confidence
Even with samples of 200 or the models to ensure capital more, it is common not to adequacy at a level of at least Take a closer look reject any of these four 99.5th percentile. models. This implies that If you would like to discuss ● Build a ‘hyper-model’ that model risk remains relevant overlooked risks in more simulates data from a mix of for many applications, depth, put 22 April in your the available models, although including scenario generators, diary. The Extreme Events expert judgment is still needed longevity forecasts or Working Party will present to assess prior weights. estimates of reserve variability an afternoon workshop at ● Collaboration on validation in general insurance. Are we Staple Inn, London, followed standards may lead to then at risk of channelling too by a formal sessional paper generally accepted practices. much energy and expense in the evening. Anyone can For example, a requirement to into the ‘holy grail’ route of download the papers, but demonstrate at least 99.5% modelling, justifying each to attend please register at confidence if the data comes parameter and component of www.actuaries.org.uk/events from a Gaussian or logistic a single model? Does our distribution, but not for governance process consider Student’s t or Gumbel. model risk, or does board approval for one Statistics provide useful tools for model entail rejection for all others? estimating percentiles in the presence of Given the inevitable uncertainty in parameter uncertainty. However, human attempting to identify which model is correct, judgment is still a large factor, magnified how can we make any progress at all? There when data limitations leave open several are several possible ways to proceed. possible interpretations. a ● Pick a standard distribution – for example, Thanks go to Stuart Jarvis for checking our the Gaussian, as it is not rejected. But don’t calculations. Any errors and all views expressed confuse ‘not rejected’ with ‘accepted’. are those of the authors, not their employers ● Take the highest 99.5th percentile from all
Table 1: Fitted distribution Probability of rejecting a model fitted using the method of moments, tested using a Kolmogorov-Smirnov (or Anderson-Darling) statistic based on 95% confidence and 20 observations. Gauss True distribution
Logistic
Student’s t (4df)
Gumbel
Gauss
5% (5%)
4% (4%)
3% (4%)
18% (29%)
Logistic
9% (11%)
5% (5%)
2% (3%)
22% (34%)
Student’s t (4df)
18% (23%)
11% (12%)
5% (5%)
29% (41%)
Gumbel
20% (27%)
16% (19%)
10% (11%)
5% (5%)
March 2013 • THE ACTUARY 19 www.theactuary.com
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18/02/2013 11:36
SCIENCE PHOTO LIBRARY
D ac r Al im cur ex pr ac an ov y de ed of r us ma van ing rk H rep et-c aa lic ons str ati is ec ng ten ht po t v ex rtf alu pla oli at in o c io s h on ns c ow tro an th l va b e ria e tes
Re ru p le l s ic at io n
Modelling/software Market-consistent valuation
features@theactuary.com
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THE ACTUARY • March 2013 www.theactuary.com
p20-22_mar_hestrect_FINAL•CT.indd 20
18/02/2013 08:28
DR ALEXANDER VAN HAASTRECHT
is assistant professor at VU University Amsterdam and has set up his own consultancy
Market consistent valuation of insurance liabilities is the most important cornerstone of Solvency II, market consistent embedded value (MCEV) and the international financial reporting standard IFRS 4, Phase 2. An accurate modelling of the insurance liability is of utmost importance and, for this reason, simulation methods have become the standard method for valuing insurance liabilities. Monte Carlo simulation allows for maximum flexibility in the modelling of embedded options and dynamic policyholder behaviour in local cashflow models. The caveat of the simulation methods lies in the fact that accuracy is highly dependent on the number of scenarios used. The Monte Carlo estimate is, in theory, guaranteed to converge to its true value if we let the underlying number of simulations go to infinity. However, in practice, only a limited number of scenarios can be used and there can be a significant uncertainty surrounding the (not yet) converged liability estimate. In order to obtain a negligible simulation error, enabling robust hedging and P&L reporting, it is not uncommon for more than 50,000 scenarios to be used for complex products. Many traditional actuarial systems cannot cope with such a high number of scenarios. Another way to improve the accuracy of Monte Carlo valuations is to employ variance reduction techniques. These techniques improve the simulation accuracy without requiring further scenarios to be calculated. This article demonstrates how the use of replicating portfolio control variates can dramatically improve the simulation accuracy. A real-life case study demonstrates that using 1,000 scenarios with a replicating portfolio as control variate can give a simulation as accurate as over 3m ordinary simulations would provide.
Reducing simulation noise Control variates can improve the simulation efficiency by correcting for known simulation
errors. For instance, in valuing insurance products that incorporate a high percentage of fixed cashflows, we can compare the simulated value of a portfolio of zero-coupon bonds with the theoretical values based on the yield curve. These differences can be used to correct for the simulation errors incorporated in the underlying insurance product, as shown in Figure 1. The left box in this example represents a standard Monte Carlo simulation that contains simulation noise for the entire product. Using control variates, simulation noise is eliminated for large parts of the product, such as profit-sharing and fixed cashflows. Only a small simulation noise remains for the product features that cannot be replicated using standard financial instruments. Effectively, the control variate reduces the need to simulate known product features that can be replicated using standard financial instruments and valued exactly from no-arbitrage or using a closed-form formula. Consequently, only a small portion of the underlying insurance remains subject to simulation noise and the valuation accuracy is improved significantly
Suppose, however, that on each sample path we also calculate another portfolio of related financial instruments along with the underlying insurance liability from which the theoretical value is known in closed-form, such as zero-coupon bonds, swaptions and/or equity options. We can then compare the simulated prices of these instruments with their theoretical values, and use these differences to correct for the simulation noise of the liability value of interest. The control variate estimator for the insurance product liability value L is given as: N
1 N
∑ i=1
N
Yi – b 1 N
On calculating the market consistent value, L, of an insurance product, the basic Monte Carlo estimator is frequently employed. This estimator averages the discounted product payoffs over all simulation paths, hence providing the following liability estimate: N
L ≈ 1 ∑ Yi N i=1
Although the standard estimator is an unbiased estimator that eventually converges to the true liability value, it is often not very efficient. This means that, typically, a relatively high number of simulations is required to obtain accurate estimates.
i
i=1
Control variate adjustment
Standard estimator
Compared with the standard Monte Carlo estimator, an additional term –the control – is added to correct for known simulation noise. The level of correction is controlled by the multiplier: b=
The control variate technique
∑ (X – E[X])
Cov[X,Y] Var[X]
This takes into account to what degree simulation errors in the control are correlated to similar simulation noise in the liability estimates. The control variate estimator will always lead to a lower variance than the ordinary estimator and consequently leads to more accurate simulation estimates. That is, the overall improvement is equal to: 1 1 – p2 where p2 denotes the squared correlation between the control portfolio and underlying liability. Hence, the effectiveness of the control variate technique directly depends on
“Variance reduction techniques improve the simulation accuracy without requiring further scenarios” March 2013 • THE ACTUARY www.theactuary.com
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18/02/2013 08:28
Modelling/software Market-consistent valuation features@theactuary.com
Table 1: Market consistent valuations for a real-life traditional insurance profit-sharing product Ordinary Monte Carlo simulation compared with two different control variates. The estimation uncertainty denotes the width of the 99% confidence interval around the resulting simulation estimates. Monte Carlo method
Estimation Uncertainty
Equivalent of 1,000 ordinary scenarios
Ordinary Monte Carlo
275 bps
1,000
Zero-Coupon Bond CV
13 bps
461,145
Replicating Portfolio CV
5 bps
3,722,262
“For our reallife insurance portfolio case study, improvements of over a factor of 3,000 were observed”
the extent to which the financial instruments in the control portfolio can be attributed to the total variability of the underlying insurance product: the higher the correlation, the higher the effectiveness of the control variate adjustment.
Figure 1 Schematic overview of the control variates technique. The left box represents a standard Monte Carlo simulation, which contains simulation noise for the entire product
Figure 2 Scatterplot of the true underlying liability net present values (NPVs) for the cashflow model versus the NPVs of the zero-coupon bond and full replication control variates
A European example In Figure 2, we consider the effectiveness of replicating portfolio control variates for a large European traditional insurance portfolio with profit sharing linked to fixed-income investment gains. The use of zero-coupon bonds and swaptions are tested as control variates, for which the scatterplots of the resulting replications are shown. As expected, the full replicating portfolio is able to explain more of the variability, especially for large losses of the underlying cashflow model. Consequently, the full replication will be more effective as control variate for the underlying insurance liability.
Complex insurance liability
Zero-coupon bonds
Exact value known in closed-form
Replicating portfolio
-40 Insurance liability Zero-coupon bonds Full replication
-80
The realised improvements for the zero-coupon bond and full replicating portfolio control variate (CV) portfolios are provided in Table 1. The use of the simplified control variate consisting of a portfolio of zero-coupon bonds for the fixed cashflows already leads to a simulation uncertainty of 13 basis points and hence reduces the simulation noise by a factor of more than 20. The use of the full replicating portfolio further improves the results, with a simulation noise of 5 basis points. As a consequence, using 1,000 scenarios in combination with the replicating portfolio as control variate gives an estimation as accurate as using more than 3.5m normal simulations.
Summary Obtaining accurate market-consistent valuation is of great importance for the valuation, risk management and reporting of insurance liabilities. This article demonstrates that the use of replicating portfolio control variates can significantly improve the simulation accuracy of marketconsistent liability valuations by removing the uncertainty within parts of the product that can accurately be replicated by a closed-form theoretical valuation. The level of improvement will be dependent on the extent to which the replication portfolio is able to explain the variability of the true underlying insurance product. The higher the replication portfolio R2 and so the more accurately it reflects the underlying product, the higher the overall variance reduction will be. A moderate R2 of 85% provides an accuracy improvement of a factor of 7; an R2 of 99.9% gives an improvement factor of 1,000. For the real-life insurance portfolio case study, improvements of over a factor of 3,000 could be observed. Depending on availability of a good-quality replicating portfolio, similar improvements can be attained for other insurance portfolios. a
-120
REFERENCES Full references for this article can be found online at www.theactuary.com
-160
Swaptions Exotic features
22
Simulation noise left
-200 -200
-160 -120 -80 Cashflow model value
-40
The author would also like to thank Paul Elenbaas of ING Insurance & Investment Management EurAsia’s market-consistent methodology team
THE ACTUARY • March 2013 www.theactuary.com
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18/02/2013 08:29
SIAS Events
TUESDAY 26 MARCH
Longevity - is the ‘industry effect’ any more than a poor proxy for amount? Steven Rimmer, Towers Watson Staple Inn, High Holborn, London WC1V 7QJ 5.30pm
PROGRAMME EVENT
Can the differences in life expectancy between industry sectors be explained using standard rating factors, or does the industry of the sponsor provide additional information? Put another way, does the ‘industry effect’ do anything more than reflect the underlying differences in pension amount and postcode? If we were to allow for an ‘industry effect’ in addition to the standard factors, would we simply be double-counting? In this talk, we will introduce the most widely used statistical technique to answer such questions – generalised linear modelling (GLM). We will address some of the challenges in using a member’s postcode as a predictive factor; consider the relative power of each factor to predict; and explore how the GLM method allows for correlations between predictive variables that would otherwise confuse the analysis. GLM is a key part of the CT6 examination and so this talk will be of particular interest to students who have recently studied CT6 or soon will. This topic will give an example of how the principles and techniques of GLM are used in practice and will look at both the benefits of its use as well as the constraints. The talk will be aimed at a level where in-depth knowledge is not required and so we would encourage all students and younger members to attend. Refreshments will be served at 5.30pm, with the talk starting at 6pm. There is no need to register in advance for this meeting.
THURSDAY 28 MARCH
Poker event The Loose Cannon, 13-16 Allhallows Lane, London EC4R 3UL 6pm
SOCIAL EVENT
Are you an ace poker player? Now is the chance to try your hand. You may end up being flush with success... After the warm welcome for last year’s event, SIAS is hosting another poker night on Thursday 28 March – please note the date change from that originally advertised The format will be a No Limit Hold’em tournament. No poker experience is needed. If you’re a beginner you can take part in the practice sessions beforehand. And non-tournament tables will be available, so that participants who have fallen along the wayside have the option to continue playing. There are cash prizes for everyone who makes it to the final table. Places are limited and will be offered on a first-come, first-served basis. Entry is £25 per SIAS member and £35 per non-SIAS member. Once your place has been confirmed, payments need to be received within five working days. Email social@sias.org.uk to register.
TUESDAY 30 APRIL
Solving solvency: insurance capital management in a changing regulatory landscape Dr Matt Modisett and Christopher Hursey Staple Inn, High Holborn, London WC1V 7QJ 5.30pm
PROGRAMME EVENT
Whether lowering capital requirements or increasing earnings on capital, risk management is the way to reach your goal. Solvency II and the current ICA both equated risk and capital requirements. So, what are some methods for managing capital? This presentation will discuss both basic and innovative ways to reduce capital requirements and to raise capital earnings. It will also present how different capital projects can be managed and prioritised for optimum effect. The first half of the discussion will give an overview of capital requirement calculations and an introductory, conceptual explanation of capital management strategies. The second half will discuss practical considerations, drawing on some of the concepts and ideas introduced in the first half, to devise a basic blueprint for implementation. This presentation would be appropriate for younger members, because it discusses high-level strategic issues without requiring in-depth technical knowledge. Refreshments will be served at 5.30pm, with the talk starting at 6pm. There is no need to register in advance for this meeting.
MORE EVENTS ONLINE For details of events, visit www.sias.org.uk
SIAS IS ON TWITTER! Follow us on @SIAScommittee for latest news on meetings, socials and more!
SIAS IS ON FACEBOOK! Check out the SIAS Facebook page for photos from the latest social events
March 2013 • THE ACTUARY www.theactuary.com
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23
15/02/2013 16:50
Risk and ERM Value of in-force features@theactuary.com
Is good fortune the only factor controlling balance sheet volatility resulting from changes in value in-force under Solvency II? Scott Eason and Viktor Knava report
Capital
Figure 1 Solvency capital requirement for varying asset mix backing value in-force 50 45 40 35 30 25 20 15 10 5
Solvency capital requirement Mass lapse and markets up scenario capital Markets down and lapses unchanged scenario capital
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% % of value in-force invested in equity
24
Capital
TRUSTING TO LUCK
Figure 2 Impact on solvency capital requirement of hedging strategies 50 45 40 35 30 25 20 15 10 5
No hedging Equity options Equity forwards
Lapse risk transfer Full VIP swap
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% % of value in-force invested in equity
THE ACTUARY • March 2013 www.theactuary.com
p24-25_mar_Eason_FINAL•CT.indd.indd 24
18/02/2013 11:37
SCOTT EASON and VIKTOR KNAVA both work
GETTY
in the insurance and pension advisory team at Société Générale
Life insurers have long recognised that the long-term policies they sell have value in terms of future expected profits. This value of in-force (VIF) is a key component of embedded values of companies reported in annual accounts. So a unit-linked policy is expected to produce profits for a company every year until maturity if the annual management charge (AMC) is higher than the expenses incurred in that year. After an initial period where set-up expenses, including commission, have to be met, profits are generally expected as long as the policy is in-force. Unlike with-profits, the asset allocation is determined by the policyholder, and most unit-linked policies have a high equity investment proportion. As the AMC is generally defined as a percentage of the value of the assets, this means that, should equities fall, the expected levels of future AMCs received would fall – as would the VIF. So the two main risks to the VIF are falls in asset values and increases in policy lapses. Expense inflation is also a risk, but, by comparison, is seen as manageable and small. You would therefore expect companies to actively manage the risk of VIF falling. However, in the UK, this is not commonly the case. The reason for this can be explained by looking at the current regulatory system. VIF is not recognised as an asset when reporting solvency under Pillar 1 Peak 1 of Solvency I. Therefore, a fall in the value of the VIF has no impact on reported Peak 1 solvency. VIF is an important asset on individual capital assessment (ICA) balance sheets, so companies have considered hedging it. However, Peak 1 treatment of derivatives would mean a negative impact on Peak 1 solvency. ICA solvency levels are not publicly disclosed and so greater volatility can generally be absorbed on this measure. The current proposed rules for Solvency II include VIF as a Tier 1 asset for reporting solvency, require it to be stressed to calculate the solvency capital requirement (SCR) and stipulate that solvency reporting will be public. We expect companies to be keen to minimise SCR and avoid reporting volatile solvency positions and hence to start to manage their VIF risk.
So, what can companies do? Historically, companies have entered into VIF securitisations, borrowing money, which is repaid out of future profits. This had the dual benefit of creating an asset for Peak 1 solvency purposes and locking in a level of future profitability. However, typically, only 50%-60% of the VIF is lent and so material volatility would still be possible. Lapse risk can be managed by improving customer service and most companies have invested heavily to maximise retention rates. For other saving policies, such as with-profits, companies can reduce the asset risk by altering the assets held. Peak 1 regulations restrict what a company can do in terms of reducing asset risk for unit-linked policies. INSPRU 1.2.62A requires the reserve to be at least as high as any surrender value, which, in most cases, means the reserve is equal to the unit fund. INSPRU 3.1.57R requires a firm to cover its linked liabilities with the assets to which those liabilities are linked. The combination of these rules is that assets have to be held equal to and identical to the unit fund. However, under Solvency II transition plans, these rules will fall away, giving companies more flexibility. A best estimate liability (BEL) has to be calculated and this is likely to be lower than the unit fund, owing to recognition of the VIF. The proposed ‘Prudent Person Principle’ requires only the amount equal to the BEL to be held in assets matching the units. Assuming that assets equal to the unit fund are held, the VIF can be invested as the company requires. The current ICA situation is between the two. The liability is a BEL but, because of the Peak 1 rules, the VIF has to be invested in the same assets as the units. This causes exposure to falls in the value of the VIF and capital will have to be held against this. In the rest of this article, we examine the best risk management strategies under both ICA and Solvency II for a sample book of business. We have modelled a portfolio of equity backed unit-linked policies with a unit value of 1,000 and an outstanding term of 10 years. There is no surrender penalty and an AMC of 1%. We have assumed
lapse rates of 5% pa and expenses have been ignored. The initial VIF is calculated as 73.2. Figure 1 shows the amount of SCR that needs to be held against the most onerous of two representative 1-in-200 combined lapse and market shock scenarios for different asset allocations of the VIF between investments in equities and cash. We can see that the requirement of holding 100% of the VIF in equity is sub-optimal owing to the market risk. We can also see that investing the VIF in cash introduces lapse risk in scenarios where equities rise. Even under the optimal investment strategy, the SCR is over 30% of the VIF. To manage this risk, companies will therefore need to consider derivatives or reinsurance of the risk. Figure 2 shows the impact on the SCR of equity options, equity forwards, lapse risk transfer and full VIF swap, ignoring the cost of the hedges and counterparty risk capital in all cases. We can see that just carrying out equity options has little impact on the SCR, as the lapse scenario dominates in most cases. Equity forwards are worse as the loss in mass lapse/equity up scenarios increases. By definition, a full VIF swap locking in the current VIF will remove the SCR. The interesting observation, however, is the impact of a lapse risk transfer. By combining this with investing the VIF in cash, it is possible to also reduce the SCR to zero. Under the proposed Solvency II regulations, this is likely to be the optimal solution as it should be cheaper than the full VIF swap. However, this is not an option under Solvency I. It would be easy to conclude that the best current approach would be to enter into a full VIF risk transfer that locks in the future profits of the book. However, we have seen that if Solvency II is implemented as proposed, this is not likely to be optimal. We would therefore propose the use of a long-term lapse risk transfer, combined with one-year equity hedges until Solvency II is implemented. The exact transaction that a company will find optimal will depend on the relative cost of each of the hedging options, the actual mix of business and the capital model used by the company. a
March 2013 • THE ACTUARY 25 www.theactuary.com
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18/02/2013 08:29
“The Enron scandal and BP’s Gulf of Mexico oil spill highlighted the need for greater knowledge about risk management in non-financial firms”
26
GETTY, ALAIN ROBERT, KNOWN AS THE FRENCH ‘SPIDERMAN’, CLIMBS THE TALLEST SKYSCRAPER IN FRANCE, AT LA DEFENSE DISTRICT IN COURBEVOIE, MAY 2012
Tall order: managing risk from a holistic perspective is becoming a major consideration for multinational corporations
THE ACTUARY • March 2013 www.theactuary.com
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18/02/2013 11:37
Risk and ERM Non-financial sector features@theactuary.com
Worth the
risk? In recent years, much attention has been paid to the adoption of enterprise risk management (ERM) by financial firms, but what about non-financial firms? In the broader corporate sector, we have examples of corporate failure, such as Enron, and of poor management governance or risk management practices, such as BP’s Gulf of Mexico oil spill. Both highlighted the need for greater knowledge about enterprise-wide risk management in non-financial firms, where risk-taking activities are more opaque from both regulatory and political perspectives. In response to the Sarbanes-Oxley Act 2002, as well as the financial crisis in 2007-2008, managing risk from a holistic perspective is becoming a major consideration for multinationals. In recent years, the US Securities and Exchange Commission has issued guidance on risk factor disclosures, including, since 2003, future off-balance sheet commitments and obligations and, more recently, cyber security or information breaches. Rating agencies have also extended their monitoring of ERM adoption to the non-financial sector. However, guidance is limited to narrative reporting on specified financial risk management of financial instruments under Generally Accepted Accounting Principles (GAAP) in the US and other international accounting standards. Little is known about the connections between risk culture, risk tolerance and the incentives facing industrial firms.
Similarly, the influence that such issues have on corporate strategies and governance practices remains unexplored.
Prior research US-based studies of the financial sector (Hoyt et al, 2009; Eckles et al, 2010; Hoyt and Liebenberg, 2011) found that US insurance firms adopting ERM were likely to lower their marginal cost of adopting risk. This created incentives for profit-maximising firms to reduce total risk while increasing the firm’s value. By combining the firm’s risks into a risk portfolio, an ERM-adopting firm was arguably better able to: ● recognise the benefits of natural hedging; ● to prioritise hedging activities towards the risks that contribute most to the total risk of the firm; ● and to optimise the evaluation and selection of available hedging instruments. Thus it was asserted that ERM-adopting firms would realise a greater potential reduction in risk per dollar spent. It was argued that this reduction in the marginal cost of managing risk encouraged firms to maximise profit and further reduce risk until the marginal cost of risk management equaled the marginal benefit. However, other research has questioned the value added by ERM adoption. A number of papers have discussed the importance of risk management issues for organisational forms (Miller et al, 2008) and for business continuity management (Power, 2009).
Multinationals are having to face the reality of implementing enterprise-wide risk management practices. Paul Klumpes summarises his research into the effectiveness of ERM in such firms
March 2013 • THE ACTUARY 27 www.theactuary.com
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15/02/2013 16:50
Risk and ERM Non-financial sector features@theactuary.com
“Little is known about the connections between risk culture, risk tolerance and the incentives facing industrial firms.”
Our contribution We investigated the incentives facing a range of non-financial multinationals listed in the Fortune 500 and FTSE Eurotop 300 (now the FTSEurofirst 300) that adopted ERM before, during and after the financial crisis in
28
Results We found that adoption of ERM by multinational non-financial firms is interrelated with both firm hedge accounting policies and managerial discretion. Our hypothesis is that sources of both market risk and idiosyncratic risk mitigate the ability of ERM-adopting firms to produce greater risk reduction. Various sources of firm-specific risk, such as pension risk and hedge accounting policies, as well as GAAP quality, interact with ERM to affect incentives for multinationals to reduce their risk. Consistent with this hypothesis, we found that firms adopting ERM experience a reduction in stock return
volatility – but only for the two-year period following implementation. Our results also established that income smoothing, GAAP choice and geographical complexity mitigate the effect of ERM adoption on risk and return volatility for ERM adopters. In addition, our supposition that European firms have a greater propensity to adopt ERM than US firms, partly owing to greater risk tolerance, was confirmed. For instance, they are more likely to use speculative than hedged derivatives.
Further research needs Further research is needed to extend our findings in a number of directions. Corporate governance effectiveness is likely to be enhanced in complex organisations that adopt more sophisticated ERM systems. There is also an important link between the maturity of ERM adoption and the patterns and magnitude of various sources of value-added performance over time. Lastly, there is likely to be a link between the propensity of ERM adoption and the quality of risk reporting. I am currently involved with an Actuarial Profession working party that hopes to present its findings on this issue in the near future. This topic is likely to be of interest to actuaries, rating agencies and other risk professionals to further develop existing ERM practices by multinationals. a Full references for this article can be found online at www.theactuary.com
PAUL KLUMPES is
professor of accounting at EDHEC Business School; an honorary Fellow of the Institute and Faculty of Actuaries; and a member of the European Accounting Association GETTY
However, the impact of specific forms of risk, such as market risk or idiosyncratic risk, on the financing, accountability and effective management control of organisations affected has not attracted any attention from researchers studying ERM adoption. Of the limited evidence on financial firms, Hoyt and Liebenberg (2009) found a large valuation premium for ERM adopters, whereas Beasley et al (2008) found insignificant negative share price returns around the time of the public announcement of first-time ERM adoption. Eckles et al (2010) found that, after adopting ERM, firm risk decreased and accounting performance increased for a given unit of risk, complementing the findings of Hoyt and Liebenberg (2011), which were based on market valuations. In addition, prior research does not look at control mechanisms for other sources of firm-wide risk, such as pension funding risk, or, specifically, hedged and unhedged sources of interest rate, commodity and foreign exchange risks. We therefore undertook further research to investigate the extent of interconnection between ERM adoption and on- and offbalance sheet financing, and accounting and corporate governance quality.
2007-2009. We were specifically interested in whether the propensity to adopt ERM was associated with managerial incentives, such as return on equity, risk to reward, overall firm risk, after controlling for both onbalance sheet retention, such as pension fund exposures, and off-balance sheet risk transfer, both via hedged and unhedged interest rate, currency and commodity derivatives. Besides controlling for standard firm characteristics, such as leverage and profitability, and economic factors used by prior research to explain ERM adoption incentives, such as taxation, we also incorporated variables reflecting off-balancesheet risk transfer mechanisms. These included captive insurers, unused credit facilities and operating leases, as well as cosmetic accounting accruals quality and governance quality. Prior research (Powers, 2009) also argued that ERM adoption was primarily for cosmetic or instrumental reasons, rather than to reduce information asymmetry among investors. As a result we decided to look at whether cultural differences between European and US multinationals and differences between US GAAP versus International Financial Reporting Standards (IFRS) and related regulatory environments influenced the incentives for ERM adoption.
THE ACTUARY • March 2013 www.theactuary.com
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15/02/2013 16:50
Fresh Thinking For the latest news and views, visit theactuary.com. With high quality content, useful tools and easy navigation, you will find a wealth of actuarial resources at your fingertips. Register for weekly email newsletters Read the latest features and opinion and add your comments Read about actuaries stepping into new frontiers Browse theactuaryjobs.com, the official jobs board of the UK actuarial profession
Visit www.theactuary.com ACT.03.13.029.indd 29
21/02/2013 12:14
On my agenda features@theactuary.com
Desmond Smith was elected as the first South African president of the International Actuarial Association (IAA) in January 2012 and, following a one-year tenure, has now automatically commenced his duties as the immediate past-president. In this interview, he reflects upon his time as president, and discusses, among other things, global challenges facing the profession, the IAA’s response, and the rainbow nation dream. He was born in Port Elizabeth, South Africa, on 21 June 1947. He obtained his BSc degree (cum laude) at the University of Stellenbosch. In 1973, he qualified as a Fellow of the Institute of Actuaries (London) and, in 1992, he completed an international senior management programme at Harvard Business School. He is chairman of RGA (South Africa) and of financial services group Sanlam. He also holds several company directorships.
Your role as IAA president must involve a substantial amount of travel? I have travelled quite a bit over the past year. The IAA has council and committee meetings twice a year, which we try to schedule to coincide with invitations to special events from our member associations. During 2012 we met in Los Angeles and then in Nassau in the Bahamas, which coincided with the annual convention of the Caribbean Actuarial Association, providing an opportunity to rub shoulders with actuaries from all over the world. The first meetings of 2013 will be held in The Hague to celebrate the 125th anniversary of the IAA’s association with the Dutch. I have also attended events in Kenya, India, Turkey and Hong Kong. In June, I was fortunate to be invited to a meeting of the International Association of Insurance Supervisors (IAIS) in the Cayman Islands to sign a memorandum of understanding between the IAA and the IAIS.
How did you get involved in the IAA? It was a natural development really. I had involved myself in the Actuarial Society of South Africa (ASSA) as early as 1974, having qualified as an FIA in 1973. I became president of ASSA in 1996 and thought I had done my bit. I happened to be the ASSA representative when it was decided to reconstitute the IAA into its current form. When ASSA put forward a pitch to host the 2010 International Congress of Actuaries, I was ‘recycled’ and asked to chair the bid committee and, ultimately, the organising committee. And so my interest in
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DUTY CALLS
Sarah Bennett in conversation with Desmond Smith, immediate past-president of the International Actuarial Association
THE ACTUARY • March 2013 www.theactuary.com
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“I believe I have a duty to help build the profession for future generations. Equally, I believe I have a broader duty to society to make it a better place” Even if these do not come naturally, they can be acquired. I have spent hours in front of TV cameras with a very critical coach learning presentation skills. A consultation with an image consultant to coordinate a ‘business wardrobe’ was, regrettably, the beginning of a love of clothes and shopping!
what we have achieved as a South African nation. I am, however, acutely aware that we cannot drop the ball at this stage. We have an obligation to continue to strive to achieve the dream of the rainbow nation!
How has your experience in insurance and reinsurance influenced your view of the profession?
I am fortunate that I am semi-retired, although my wife may not agree! I retired from executive management in 2005 and have since been involved in a number of boards as a non-executive.
I can honestly say that I am invariably impressed by colleagues that I interact with – their integrity, professionalism, commitment and, in particular, their ability to identify and analyse the relevant issues in a given situation and come up with solutions. Becoming involved in industries and areas of activity beyond the traditional roles that actuaries are associated with has made me more aware of the value the profession has to add. A good example is enterprise risk management, where I believe we will play a significant role in future. The message to actuaries is that there are huge opportunities out there.
What is your attitude towards service to the profession? the IAA was renewed. It was somewhat of a shock when I was approached to make myself available to become president – I believe my initial response was “You cannot be serious!”
What is the greatest challenge facing the actuarial profession globally? Clearly, there are many challenges facing the profession, and the IAA has a number of strategic objectives to address these. The first is to ‘identify, establish and maintain relationships with key supranational audiences and provide them with actuarial input to improve the soundness of decisions being made on important issues with a global impact’. This summarises our response to what is a very significant challenge for the profession– to remain relevant and establish ourselves as a necessary resource that is regarded as essential in debating global issues and formulating policy in the financial field.
What one skill would you say actuaries need to compete successfully in an increasingly global and mobile jobs market? An actuary would, by definition, have the necessary technical skills and know-how. I believe it is also essential to have good interpersonal and communication skills to be successful in business or any other career.
When I qualified as an FIA I was fortunate to receive my certificate at Staple Inn. The theme of the address on that occasion was the famous quote from Sir Francis Bacon: “I hold every man a debtor unto his profession …” I believe this quote is also in the renowned stained glass at Staple Inn. This made an enormous impact on me. Also, growing up and living in South Africa, where for decades many of my fellow South Africans did not have the opportunities I have had, I soon realised how privileged I was. I believe that I have a duty to the profession, which has opened doors in life for me, to help build it for future generations. Equally, I believe that I have a broader duty to society to make it a better place for all South Africans and, in particular, for younger and future generations.
What was your first job? I joined Sanlam in 1968 after completing a BSc at Stellenbosch University. This was before computers had taken the ‘schlep’ out of actuarial work. So I spent close to a year calculating surrender and paid up values – not very inspiring!
What does inspire you? I am inspired by seeing people achieve and realise their potential. I am also inspired by
How do you organise your time to be effective in all your roles?
How do you spend your leisure time? I am somewhat of a sport fanatic. I must confess that I am a Liverpool supporter, which has not been easy of late! I have played golf for going on 60 years, but, while I used to be able to hold my own, age eventually takes its toll!
Have you lived or worked outside South Africa? My wife and I lived in the UK for just under a year in 1972/73, when I was given a sabbatical by my employer, Sanlam, to study full time and complete my fellowship. We then did what so many folk from the ‘colonies’ did in those days – bought a car and a tent and toured round the UK and Europe for some nine months.
What are the most important things you have learnt since receiving your FIA certificate at Staple Inn almost 40 years ago? Humility. Whenever one takes oneself too seriously and tends towards arrogance and cockiness, something will come along to remind you of who and what you really are! Also the fact that we have a duty to leave the world a better place when we pass on.
Can you offer any advice to people entering the profession? The same as I gave to some high school students I met last year: “You will be entering a profession with a proud and distinguished past and it will be your responsibility to ensure that its future remains that way. You will be opening doors for yourself that you never dreamt of, and gaining access to wonderful opportunities. I am sure you have the ability to qualify as a fellow, but it will take hard work and dedication to do so. If you feel you are up to it, welcome!” a The full interview with Desmond Smith can be read online at www.theactuary.com For more on the IAA, see Spotlight, overleaf
March 2013 • THE ACTUARY 31 www.theactuary.com
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Professional bodies International Actuarial Association
Spotlight Nicole Seguin provides an insight into the International Actuarial Association, looking at its purpose, the work it undertakes and the unique opportunities it brings
WHERE IN THE WORLD?
ON THE ROAD TO GLOBALISATION
Joint AFIR/ERM, Life, Pension Benefits and Social Security Colloquium 2013 24-26 June – Lyon, France http://www.actuaries.org/lyon2013/
(IAA) is a new, yet very old association. It had its beginnings in Brussels in 1895, but it was not until 1998, during an era of immense growth and innovation worldwide, that the actuarial profession decided to launch the new International Actuarial Association (IAA). Its purpose is to add a voice at the international level. The IAA’s vision is that the profession is recognised worldwide as a major player in the decision-making process within the financial services industry, in the area of social protection and in the management of risk, contributing to the well-being of society as a whole. This is a vital goal for the profession: everyone stands to benefit from this aim, whether or not they are an actuary. The IAA must also ensure that the actuarial profession is recognised worldwide by other major stakeholders in the financial field and by the public at large. In support of its number one strategic objective, to identify, establish, and maintain relationships with key supranational audiences and provide them with actuarial input to improve the soundness of decisions being made on important issues with a global impact, the IAA is in the process of agreeing memoranda of understanding with all its institutional members. These are: the International Accounting Standards Board, the International Association of Insurance Supervisors, the International Social Security Association, the International Organisation of Pension
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Supervisors and the Organisation for Economic Co-operation and Development. The goal is to raise awareness of the actuarial profession and instill a desire to seek actuarial input and guidance. It is a major step and the IAA is now becoming the go-to organisation for many supranational organisations whose work is relevant to, or benefits from, actuarial science. As a result of the IAA’s efforts, two more organisations have expressed an interest in engaging formally with the IAA: the International Labour Organization and the International Federation of Accountants. These relationships are entered into cautiously: only when it is beneficial to the profession and to the public, and only when the IAA can deliver on the demands. Maintaining the integrity and reputation of the profession is paramount. Another major achievement has been committing to the development of model international standards of actuarial practice (ISAPs). The first model standard, General Actuarial Practice, was adopted on 18 November 2012. Without the IAA, the call from supranational organisations for ISAPs could have fallen into the hands of non actuaries, an undesirable outcome for the profession worldwide. This has been a challenging area for the IAA, but, with the consensus of actuarial associations worldwide, progress is being made. Although the need for ISAPs might not be apparent to all, it is only a matter of time before it becomes clear that this action is instrumental in bringing the actuarial profession to the forefront on global financial and other related matters. a
ASTIN (IAA Non-Life Insurance Section) Colloquium 2013 21-24 May – The Hague, The Netherlands http://www.actuaries.org/ASTIN/Colloquia/ Hague/
International Congress of Actuaries 2014 30 March-4 April 2014 – Washington DC, United States (pictured below) http://www.ica2014.org/
These events provide continuing professional development opportunities for all actuaries and a unique chance for global networking and cross-border knowledge sharing. Colloquium events generally attract 350-plus actuaries from around the world, while Congresses attract in excess of 1,500 actuaries. A visit to the IAA website www. actuaries.org will give you a more in-depth view of the IAA. Through your local association, you can become involved in the work of the IAA and help ensure the future of your profession.
Nicole Seguin is executive director of the IAA. She has been working with the actuarial profession since starting with the Canadian Institute of Actuaries in 1988 and assumed responsibility for the IAA in 1997, when the Secretariat was moved from Brussels to Ottawa.
SHUTTERSTOCK
The International Actuarial Association
The IAA is planning several events that are sure to be of interest to actuaries across the globe.
THE ACTUARY • March 2013 www.theactuary.com
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Don’t let the numbers puzzle you. Fill in the gaps with ReMetrica. Aon Benfield’s new Solvency II-focused version 6 of ReMetrica is the dynamic financial analysis tool of choice for the world’s leading actuaries. ReMetrica continues to evolve to help reduce model size by up to 95% when tools are becoming increasingly complex in a Solvency II world. In addition, the latest version helps insurers more accurately model credit risk in today’s uncertain economic environment. For a demo, visit: www.aonbenfield.com/remetrica_demo
aonbenfield.com/empower
Empower Results™
Now in its third year, Cricket League Towers Watson Rockets have taken the title two years in a row, can they make it three? Do you have a team to stop them? The High Finance Group Cricket League takes place from May to August with matches on Tuesdays and Thursdays. If you are interested in taking part, please contact Amy Simmons: +44 (0) 207 337 8800 amy@highfinancegroup.co.uk
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At the back Arts arts@theactuary.com
Arts VALESKA SOARES, GALERIA FORTES VILAÇA, SAO PAULO. PHOTO © LINDA NYLIND/FRIEZE
The Actuary’s contemporary arts editor offers an insight into valuing the art of the aesthetic
COMMERCE M E E TS C U LT U R E 34
Top international art fairs are showcases for some of the world’s most valued contemporary art. But in the modern world that value extends way beyond the aesthetic. Take, for example, the annual Frieze Art Fair, held each October in a big tent in London’s Regent’s Park. It represents a meeting point of commerce and culture, as wealth descends upon the parkland. But what should you expect from this interplay between money and artistry, other than an unusually high degree of snobbery and people with an often weird dress sense? Frieze London is part of a bigger trend, resulting in art fairs across the world: it is a major event, second only to Basel. But there are other important gatherings in locations such as Miami, Hong Kong and New York.
THE ACTUARY • March 2013 www.theactuary.com
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PHOTO © GRAHAM CARLOW/FRIEZE
Hot property: the London Frieze Fair is held every October in London’s Regent Park
Changing times Contemporary art, considered as fine art produced by living artists within the past 60 years, comes with a context and history, as well as a sophisticated system of endorsement and valuation. What art means today is very different from what it meant 100 years ago. At that point, Modernism was in full swing, and the masterpieces of Cubism were already in existence, but an intervening century of abstract expressionism, pop art, op art, conceptual art, performance art, video art, postmodernism, and many other movements and isms, have forever altered what art means and how it is produced. Ever since Marcel Duchamp signed a urinal and placed it on show in 1917, claiming it was art, the concept of what constitutes art has become more important than the artefact itself. Some artists rebel against this emphasis on concept, while others embrace it to the extent that they produce no art objects at all. One such artist, Martin Creed, showcased a creative piece consisting of the lights in the gallery flashing on and off. Another exhibit by Tino Sehgal, incorporated a museum guard intoning a phrase over and over again. And so the list goes on. Other artists, such as Raqib Shaw, Paul Noble and Michaël Borremans, produce the most amazingly intricate drawings, sculptures and paintings, showing superb technique and craftsmanship, easily recognisably by most as a traditional art form. The contemporary art world has room for all of this. In 2013, there are no movements and battle cries any more, no manifestos produced by Cubists, Dadaists, abstract expressionists, pop artists, and so on. This is a postmodern
world, so almost anything can be art – and almost anything is. However, for art to be valued and recognised, it has to enter a system of endorsement. First, an artist has to find gallery representation. There are, of course, galleries with purely local reputations, and those of international standing. Then the artist’s works have to be exhibited in shows, with a solo show having higher status than a group show, and international shows having higher status than local ones. When the artist’s works are acquired by important private collectors, that boosts his/her career further, and then, finally, the ultimate endorsement comes when an artist is exhibited, and finally acquired, by important museums. Inclusion in the collections of top museums, such as the Tate Modern in London, or the Museum of Modern Art in New York, means that an artist has achieved the pinnacle of recognition.
“Ever since Marcel Duchamp signed a urinal and placed it on show in 1917, the concept of what constitutes art has become more important than the artefact itself”
Immortality However, even this is no guarantee of immortality: there are many artists whose works languish in the store rooms of major museums. For that what is needed is consistent acquisition by major museums and private collectors over a long period of time and for books to be published on their work. Then all up and coming artists would have to be evaluated against the context created by this artist, in the same way that he or she had to be evaluated against previous artists. If a consensus develops that an artist has made a meaningful contribution to art history, and the work is already included in major collections, demand grows exponentially. And since supply is restricted to the output of a single artist, prices go up to astronomical levels and the investment value of art enters the equation. The viewing and acquisition of contemporary art is an intellectual game: an attempt to understand the art of today in the context of art history, to evaluate its emotional charge, including how others react to it, and then to decide whether you want to buy it in the hope that it will eventually be widely recognised for its significance and value. It is an addictive game, but one that can bring immense satisfaction and rewards over time.
PAUL MCCARTHY, WHITE SNOW HEAD, HAUSER & WIRTH. PHOTO © LINDA NYLIND/FRIEZE
In many ways, so much crammed into a tent cannot possibly do it justice. Yet, one would not often have the opportunity to see such cuttingedge work in one place, with some indication of its monetary value, were it not for fairs such as Frieze. Seeing the overwhelming variety and the enormous range of techniques, media, and concepts on display, one cannot help but wonder how much will still be around in 100 years’ time. So the question arises: what is the meaning of all of this, and why spend money on it?
March • THE ACTUARY 35 www.theactuary.com
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BOOK REVIEW
The Signal and the Noise: The Art and Science of Prediction by Nate Silver PUBLISHER Allen Lane ISBN -10: 1846147522 RRP £25
To anyone who paid some attention to the 2012 presidential election in the United States, Nate Silver’s name should ring an immediate bell. He is the author of the FiveThirtyEight blog on The New York Times’ website, which predicted the outcome of both the 2008 and 2012 elections with uncanny accuracy, using statistical analysis. His forecast, based on various polls weighted by their historic performance and other ratings, seemed in a different realm to the highly emotional punditries offered elsewhere. Where others said it was too close to call, Silver gave the incumbent president an overwhelming likelihood of winning. As we all know, the statistics-based blogger triumphed yet again and now he turns his attention to a book detailing both the art and science of forecasting.
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Silver’s book is divided into two sections. The first looks into various areas of forecasting, such as weather, earthquake and the financial models that were used to rate mortgage-backed securities, and how they have performed against actual experience – no points on guessing the performance of the latter. He also attempts to identify the type of attitude required for good forecasting. The second section is a discussion of Bayesian versus frequentist methodologies and their application– ranging from climate change to terrorism. The overarching theme of the book is what actuaries battle with every day; having to make forecasts based on limited amount of data, communicating the inherent uncertainty in such forecasts and dealing with one’s own personal bias, which inevitably creeps into the results. Silver suggests employing Bayesian analysis to make
MORE ONLINE Latest reviews at www.theactuary.com/ opinion
GETTY
“The US statistics-based blogger triumphed yet again in his presidential prediction and now turns his attention to a book detailing both the art and science of forecasting”
better use of scant data and to support more rational decisions after an event. In discussing the problem of communicating uncertainty with the forecast, Silver provides an example where the US National Weather Service estimated a rise in water level for the Red River, a major tributary of the Mississippi and Atchafalaya rivers in the southern states, to 49 feet owing to runoff from melted snow. Worryingly, the levee or flood defence in Grand Forks, North Dakota, was only built to handle 51 feet of water – and the margin of error on the National Weather Service’s forecast was plus/minus 9 feet. Despite the obvious danger, it was decided not to communicate the uncertainty around the figure of 49 feet for fear of the public losing confidence in the forecast. The result was that the town of Grand Forks, which potentially had two months to prepare, did nothing because it was believed that the water level would remain below the levee’s height. In the event, the water level crested at 54 feet and the town suffered significant economic damage. The difficulty of dealing with the uncertainty in forecasting must strike a chord with most actuaries. The book offers alternative points of view on the inherently complex world that we try to model, and if baseball statistics or chess computing don’t interest you, there are also plenty of other relevant, well researched topics, such as meteorology. You won’t find groundbreaking theories or a model that can be easily applied to reserving or pricing, but Silver does offer food for thought on what forecasting aims to do and the tightrope that one needs to walk in order to come up with a prediction. He also points out that we cannot hide behind numbers alone – a combination of expert judgment and statistical analysis works much better. Some may have a few quibbles about Silver’s approach and whether it is really Bayesian or mostly frequentist. Also, Silver’s analyses of the financial crisis perhaps oversimplify a very complex event. Similarly, assertions such as Israel has managed to change the shape of the terrorism curve by focusing on tail events may be questionable. However, all in all, it is a very enjoyable book with enough fresh insight to make us take a step back and think about the statistical models that we employ every day. ● Heejae Cho works in the special risks division at XL Group’s Bermuda Reinsurance operations. The views of the author expressed in this article are her own and do not represent those of XL Group
THE ACTUARY • March 2013 www.theactuary.com
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At the back Coffee break
HAVE YOU GOT WHAT IT TAKES? Membership of Mensa is open to anyone who can demonstrate an IQ in the top 2% of the population. For information on IQ testing in your area, visit www.mensa.org.uk or call 01902 772771, option 1
puzzles@theactuary.com
Puzzles —
ER BUMP E IZ R P E PUZZL
Recycling factory Mensa puzzle 535
Pick a number… Mensa puzzle 537
—
What number should replace the question mark in the grid?
A factory recycles cups for use in its canteen. Eight used cups are required to make each new cup. If there are 351 used cups, how many cups can possibly be made in total? Solve the problem in puzzle 535 to win the prize TERMS AND CONDITIONS The prize will be awarded for the first correct entry drawn at random from those received before the closing date. The winner’s name will be announced in the next edition. Please note, the puzzle editor’s decision is final and no correspondence will be entered into. We reserve the right to feature the winner’s name in The Actuary. Your details will not be passed to any third party in connection with this draw.
Shakespearean shake-up Mensa puzzle 536 Rearrange the letters of
‘HER MATE WON THE FIGHTS’
3 8 5 9
2 4 3 ?
7 8 5 6
9 6 7 4
Mind over matter Mensa puzzle 538 What should be the value of the fourth column?
to give the title of a Shakespearean comedy. What is it?
355
315 330
?
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Multiple Choice Bridge puzzle 30 1
2
3
4
5
♠ AQ8
♠10986
♠ AJ8
♠42
♠J86
♥ KJ74
♥ 64
♥ K97
♥K10752
♥ K64
♦ J652
♦ AQ865
♦ 10942
♦A6542
♦109865
♣ 64
♣ J4
♣K73
♣3
♣Q2
You are South and the bidding has gone:
N 1♥ 2NT
S 2♦ 3♥
Which of South’s hands above best fits South’s bidding, and what would your first bid be with the other four hands?
March 2013 • THE ACTUARY www.theactuary.com
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At the back Coffee break puzzles@theactuary.com
SOLUTIONS FOR FEBRUARY 2013
ACTUARY OF THE FUTURE
DUNCAN CLARKE Employer and area of work JLT Benefit Solutions – pensions consulting. How would your best friend describe you? What are the two missing numbers (in white)? ANSWER: 4 and 1. In each group, multiply the first and third numbers to give the first two numbers of the next group. Multiply the second and fourth numbers to give the last two numbers of the next group Congratulations to this month’s winner – Sebastien Fulla of Deutschebank
Ambitious, hard-working and a maths geek.
What motivates you? Coffee and the desire to repay anyone who puts their faith in me. What would be your personal motto? Play hard,
Mind the gap Mensa puzzle 531
Mix it up Mensa puzzle 532
Elementary! Bridge puzzle 29
Rearrange the missing letters to give two eight letter words
1. You pick up this lovely hand and end up in 6♦. After the lead of the K♠ and provided there are no 8-1 or 5-0 breaks, how can you guarantee your contract? 2. This time you have overbid to 7♦. After the K♠ lead, what are the approximate odds of making the contract?
BCDFGHJKOPQSUVWXYZ ANSWER: Tramline and terminal
On the right line Mensa puzzle 533 Which word connects the following words? ANSWER: Sand
BANK
BOARD
PAPER
BOY BAG
?
STONE
Conquer the maze Mensa puzzle 534 What do the following words have in common?
INCITE MAZE
KERNAL FLOWER
LINKS CELLAR
ANSWER: Each of them has the same pronunciation as another word with a different spelling and meaning – insight, colonel, lynx, maize, flour and seller.
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What letter is missing in this sequence? ANSWER: E. They are the last letters of ONE, TWO, THREE, FOUR etc.
♠854 ♥AK64 ♦108 ♣8632
ANSWER:
The problem is how to avoid losing a club and a trump in 6♦ So you need an N ♠KQ10976 ♠J32 ♥QJ972 ♥10853 entry to Dummy. Dummy’s 10,8♦ W E ♦K54 ♦ ♣Q4 ♣J105 complement your S diamonds such that only the K♦ is ♠A missing. Play a low ♥ diamond to 8♦. ♦AQJ97632 This will lose to the ♣AK97 King (if it’s ducked, then just cash AK♥). Win the return, play another diamond to the 10, which wins. Cash AK♥, throwing 2 clubs, trump a spade, draw the last trump and your hand is high. Your only hope of making 7♦ is for the K♦ to be singleton. This enables you to draw trumps without loss and get into Dummy to cash the top hearts. The chance of the diamonds breaking 2-1 is about 78% (slightly over 3 in 4). For the King to be singleton is 1/3 of that, so the answer is about 1 in 4. (This is an actual hand that came up at a recent duplicate session at my club).
Bridge puzzle provided by David Lampert
Name five guests you would invite to a dinner party? Michel Roux Jr, to bring the food; Michael McIntyre, for the entertainment; Mario Balotelli, for the fireworks; Pippa Middleton, to organise the whole thing; and Sir Chris Hoy, because he’s a Scottish legend!
What’s your most ‘actuarial’ habit? Spreadsheets for everything from tracking football results to the Friday bacon roll order.
Favourite Excel function? The ‘Help’ function. How do you relax away from the office? Football, running, golf, travelling and learning to snowboard.
Alternative career choice? If I can’t become a professional footballer, an actuary! Tell us something unusual about yourself I spent three months on secondment in Mumbai.
Greatest risk ever taken? Sitting a fourth-year university maths exam without my calculator.
What’s your most treasured possession? My iPhone – from waking me up to telling me what to do, eat and watch, it controls my life! What are your top three things to achieve in your lifetime? Qualify; make a list of 100 things I’d like to achieve, then achieve them; buy a beach-side mansion in California.
If you ruled the world, what would you change? The Great British weather to nine months of sunshine followed by three of perfect snow.
Do you know an actuary destined for greatness? You can nominate an Actuary of the Future by emailing
aotf@theactuary.com
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E O ? R E X N T E N
work harder.
THE ACTUARY • March 2013 www.theactuary.com
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At the back Student student@theactuary.com
Student Jessica Elkin searches in vain for positive actuarial role models in the worlds of TV and film
Homunculus, an actuary tells his friends he is going on holiday but instead goes to live in his car. Oh, and did I mention, he’s a pathological liar. What a rosy outlook.
The evil
Not all actuaries are boring or depressed, of course. Some people have sought to give a more rounded picture of the profession by including the darker side. The Batman comics feature a villain called the Actuary, who uses formulae to help the Penguin commit crimes. Alas, he’s a relatively useless villain – he isn’t even a real baddie, just a minion of another one – and ends up in I stopped watching soon after that because I prison, which is slightly disheartening. No could tell it would be a very depressing film. wonder Christopher Nolan didn’t see fit to But opinions voiced via the Society of Actuaries include him in The Dark Knight. Perhaps he pointed out that in the novel on which the film should have tried his hand at enterprise risk is based, the central character is a New York management instead. lawyer. Curiously, in the switch from lawyer to More encouragingly, the Canadian TV actuary, the writers eliminated Schmidt’s torrid drama series The Collector features one sexual relationship with a beautiful 20-year-old actuary who uses power from the Devil to waitress. But they made sure he was numbers- assist the mob in wiping out its opposition by obsessed and socially incompetent. Ouch! predicting details about its enemies. Haunting! In Groundhog Day, Bill Murray is But fear not, fellow students! It’s not all plagued by an insurance bad. There is always Terry Pratchett’s salesman, Ned, who claims his Twoflower, played by Sean Astin in one actuarial friends ‘live and die by TV adaptation of The Colour of the actuarial tables’. I mean, he Magic. He is an actuary and is a feature in Bill Murray’s own Discworld’s first tourist – clearly, an personal hell, describing adventurous, go-getting type of man. his lame actuarial He even wears a Hawaiian shirt. This is colleagues. Speaks for what we should be aiming for! Of course, itself, doesn’t it? he is also portrayed as a bit dim and hugely There are others – naive, but he does introduce the concepts of Fight Club’s Jack works ‘echo-gnomics’ and ‘inn-sewer-ants’ to the with actuarially city of Ankh-Morpork. A pioneer. derived premiums in I’m not trying to depress you. It’s a shame an insurance company that there are so few really positive images of and creates an actuaries, but at least there are some. Maybe imaginary friend to stick a relevant film on the next time your pummel him out of mates come round, or send boredom. Un some interesting Certain Monsieur literature or comic Blot by Pierre books to relatives for Christmas. It Daninos features an might not sell the profession actuary who wins the title of as well as it could, but it would the most average man in be nice if one day someone France, which doesn’t even worked out what it is that make we do! In the meantime, mathematical look out for actuaries on sense. In the primetime TV. a manga comic
GOOD, BAD AND UGLY The first time I ever heard of actuaries was at school, having spotted a booklet about the profession on a notice board. The image on the cover showed a woman looking quite pleased with herself, with a headline along the lines of ‘shhh – actuaries: the best-kept careers secret’. Ten years later and it’s still rather underground, isn’t it? (I use the word ‘underground’ to imply some edgy subculture.) You would have thought that word would spread over time and that we wouldn’t still have to fend off accusations of accountancy or thespianism anymore. A secret ambition of mine is to write a popular drama about actuaries. You know, like Ally McBeal or ER or Mad Men, replacing lawyers, doctors or advertisers with our kind of people. Naturally, it would be really exciting and would also give what we do a lot more street cred. Having mentioned in the last student page a few examples of where actuaries are already portrayed in the media, I got to thinking about some of the other cases that give people an idea of what the profession is like, albeit not necessarily in glowing depictions.
The depressing About Schmidt is the obvious example of a relatively well-known actuarial character. Schmidt is a retiring actuary and, tellingly, the film poster is simply a picture of Jack Nicholson looking a depressive mess with a cloud above his head. His retirement party takes place in a brown room. None of the other actuaries notice that he is having a terrible time, because they are not emotionally well-connected, and he slinks off looking glum. ILLUSTRATION: PHIL WRIGGLESWORTH
March 2013 • THE ACTUARY 39 www.theactuary.com
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SPONSORED BY
At the back Appointments peoplemoves@theactuary.com
Moves Mercer has appointed Fiona Dunsire (above) as chief executive officer and UK market leader. A senior partner and Fellow of the Institute and Faculty of Actuaries, Dunsire joined Mercer as a graduate in 1988, and has over 24 years of experience of consulting in the UK market. Her previous role was senior client leader in Mercer’s investments business, advising clients on the full range of investment consulting services. Prior to that, she was business leader for Mercer’s investment consulting business in the UK for over five years. She has been a member of several leadership teams within Mercer, advising on highprofile, cross-business collaborations, including Mercer’s workplace savings solution. RisCura, an investment adviser specialising in emerging markets,
specifically Africa, has appointed Andrew Slater (above) as managing director of its
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UK operation. Slater will be primarily responsible for leading business development and strategic projects. Prior to joining RisCura, he held positions with PwC as an actuary, was director of institutional strategy at SEI Investments, and, most recently, was managing director at Ortec Finance. Slater specialises in investment and asset liability management of institutional investors, particularly defined benefit pension schemes. Paul Nevin has joined Credit Suisse as a managing director in the institutional solutions team. He was previously a senior investment consultant with Towers Watson.
Partnership , a specialist provider of financial solutions for people with health/ lifestyle conditions, has expanded its defined benefit de-risking team through the appointment of Mike Walsh (above) as head of defined benefit solutions. Walsh was previously a pricing actuary at Lucida, a specialist buyout insurer, and prior to this a consultant at Aon (now Aon Hewitt), where he advised both trustees and corporate sponsors.
investment banks, and with candidates across all sectors.
Star Actuarial has strengthened its team with the appointment of senior consultant Peter Baker (above) . Baker spent the first part of his career as an analyst for Towers Watson within the pensions practice. In 2002, he transferred into recruitment and in 2008 moved to specialise in the actuarial sector, working with a client base of insurance providers, consultancies and
Scottish Friendly has made a number of actuarial appointments. Donald Macleod has been appointed to the company’s executive management team after joining the group in January 2012 as head of actuarial. Prior to this, he had spent two years at Hymans Robertson and 11 years at Standard Life. He will run the actuarial team in the Glasgow office, reporting directly to deputy chief executive Jim Galbraith. Cameron Burt has also joined the actuarial
team from Standard Life as head of pricing and profitability. Brian Tonner, who has been with the group since 1998, has been appointed reporting actuary.
L-R: Donald Macleod; Graeme Dick, risk manager; Brian Tonner; and Cameron Burt
New vice-president for Insurance Europe Torbjörn Magnusson (pictured), president and chief executive officer of If P&C Insurance, Sweden, has been elected vice-president of Insurance Europe, the European insurance and reinsurance federation. Magnusson will serve as vicepresident of the federation until 2016. Welcoming Magnusson’s election, Insurance Europe’s president, Sergio Balbinot, said: “I am delighted to have someone of Torbjörn’s calibre elected to serve alongside me to represent the European insurance industry. Our director-general, Michaela Koller, and I very much look forward to working with Torbjörn on the many issues facing our industry today.” Magnusson said: ”I am, of course, delighted and honoured to be elected vicepresident of Insurance Europe. The most important objective for me is to work to create the best possible business conditions for the European insurance industry.” Magnusson, a Swedish national, started his career in the insurance industry as an actuary with Skandia International. In his 23 years in the industry he also worked for Mercantile & General Re in London as actuary and chief actuary. He joined If P&C Insurance in 1999 as head of commercial products, before becoming head of the company’s commercial division. He has been president and CEO since 2002. He has been a member of Insurance Europe’s strategic board since June 2010. He sits on the board of Insurance Sweden, the Swedish insurance federation, and of the Swedish Insurance Employers’ Association, both of which he chaired from 2006 to 2009.
THE ACTUARY • March 2013 www.theactuary.com
p40_mar_appointments_FINAL•CT.indd 40
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A P PO I N TME N TS To advertise your vacancies in the magazine and online please contact: Gill Rock +44 (0) 20 7880 6234 or gill.rock@redactive.co.uk
www.highfinancegroup.co.uk
Specialist Recruiters
PERMANENT GI ROLES UK & IRELAND Head of Actuarial
Head of Economic Capital
£110k - £140k + Bonus + Benefits, London
£110k - £160k + Bonus + Benefits, London
Expanding insurer with dynamic growth plans is looking for their first Inhouse actuary. The right person will grow and lead the actuarial function in London whilst reporting to the global chief actuary. To be considered you should have a strong pricing background with the ability to interact and influence senior underwriters. Reinsurance experience would also be beneficial. William@highfinancegroup.co.uk
World renowned general insurer is looking for a qualified actuary to lead their economic capital team. This is a strong and ambitious team and the right person needs the ability to develop and enhance all members of the team. Previous capital experience is a must. William@highfinancegroup.co.uk
Risk Actuary
Motor Reserving Actuary
Up to £80k + Bonus + Benefits, London
Up to £85k + Bonus + Benefits, London
A rare chance to join a team at its inception. This newly formed team will be responsible for a second line of defence across all insurance risk. It is a great chance for someone with a traditional actuarial skillset (pricing, reserving and/or capital modelling) to gain a broader oversight to operations and work within a risk environment. The role will be more commercial than most and you will liaise with actuarial, underwriting and other parts of the risk function as well as working with high level stakeholders. Management experience is on offer to those at the more senior end of the salary range. The client is flexible to candidates with varying experience. James@highfinancegroup.co.uk
This medium sized Lloyd’s Syndicate is looking for a part to newly qualified candidate to focus on the reserving of the Motor portfolio. You will work in a close knit team and gain valuable Lloyd’s experience. Having sole responsibility for the Motor book you will report to the Head of Reserving and Chief Actuary. You will be responsible for Solvency II feeds as well as quarterly reserve reports. The successful candidate will come from a Motor background and be looking to specialise in Reserving. The role will offer exposure to other lines of business and will be ideal for someone looking to progress to a Head of Reserving role. James@highfinancegroup.co.uk
Validation Actuary
Commercial Actuary
£50k - £90k + Bonus + Benefits, Dublin
£75k - £105k + Bonus + Benefits, London
This large Non – Life Insurer is looking for an experienced General Insurance Actuary to work across Actuarial and Risk. The ideal candidate will have Capital Modelling or Validation experience and enjoy managing external consultants. You will have a broader mind over the Risk space and be strong on quantitative analytics. James@highfinancegroup.co.uk
Leading General Insurer requires a newly qualified Actuary to join their Actuarial team. You will work across pricing, reserving and capital modelling whilst reporting to the Chief Actuary, alongside the underwriters. The right person should be looking for a challenge. A commercial outlook and the ability to communicate with Non Actuaries is crucial. William@highfinancegroup.co.uk
Senior Reporting Analyst
Commercial Analyst
£45k - £65k + Bonus + Benefits, London
£40k - £55k + Bonus + Benefits, London
Opportunity to join the Corporate Actuarial team of a leading UK General Insurer, working closely with the Head of Reporting and liaising with external stake holders. The position will have a high emphasis on Solvency II, exposure to the Capital and Reserving teams and offer you the chance to progress quickly within the business. You should be advancing towards actuarial qualification and have previous General Insurance experience. Chanelle@highfinancegroup.co.uk
This leading International General Insurer is looking to add a well rounded senior analyst to their London based team. You will work a varied role, focusing largely on Reserving and Capital Modelling in a dynamic and supportive environment in which you will be able to qualify as an actuary. To be successful you should be part way through your exams and have a strong understanding of the London market. Chanelle@highfinancegroup.co.uk
Head of Actuarial - GI
JAMES KITT Consultant - GI
CHANELLE ROSENBAUM Consultant - GI
+44 (0) 207 337 8826 william@highfinancegroup.co.uk
+44 (0) 207 337 1202 james@highfinancegroup.co.uk
+44 (0) 207 337 8827 chanelle@highfinancegroup.co.uk
WILLIAM GALLIMORE
+44 (0) 207 337 8800
actuarial@highfinancegroup.co.uk March 2013 • THE ACTUARY 41 www.theactuary.com
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Appointments
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ĂŝŶĂď ůŝ Consultant Ͳ ƵƌŽƉĞ ĐƚƵĂƌŝĂů
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THE ACTUARY • January/February 2013
ACT.03.13.042.indd 42
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London : Chicago : Hong Kong : Singapore : Shanghai
www.theactuaryjobs.com
Head of P&C Pricing - Europe Senior Pensions Consultant - Dublin Competitive Package 7RS 4XDUWLOH 6DODU\ %RQXV %HQH¿WV This multinational reinsurer is looking to hire an experienced actuary to head their P&C pricing team. The main remit is to develop and maintain the pricing system. You will also be involved in the coordiantion of global pricing projects, the management of the global pricing team and the training of local pricing teams. Furthermore, you will support the Chief Actuary and evaluate and assess intrernal PRGHOV 3 & 7KH LGHDO FDQGLGDWH ZLOO EH D IXOO\ TXDOL¿HG DFWXDU\ with sound team management experience. Broad actuarial P&C knowledge and expertise in reinsurance pricing is essential. Good communication and programming skills would be advantageous. Contact ivan.clarke@ipsgroup.co.uk +44 207 481 8686
7KLV SUHVWLJLRXV DGYLVRU\ ¿UP KDV D G\QDPLF DQG PXOWL GLVFLSOLQHG WHDP offering advice to both boards of management and trustees on a full range RI LVVXHV DIIHFWLQJ ¿QDO VDODU\ DQG GH¿QHG FRQWULEXWLRQ VFKHPHV LQFOXGLQJ IXQGLQJ GHULVNLQJ DQG EHQH¿W UHGHVLJQ 7KH FRPSDQ\ LV ORRNLQJ IRU D TXDOL¿HG DFWXDU\ ZLWK F \HDUV SRVW TXDOL¿FDWLRQ H[SHULHQFH ZKR LV working with a range of both medium and larger companies on similar type projects and looking to assume greater responsibility and visibility. &DQGLGDWHV ZLOO FXUUHQWO\ ZRUN IRU D FRQVXOWLQJ ¿UP DQG HQMR\ EXLOGLQJ and developing commercial relationships both internally and externally. anthony.chitnis@ipsgroup.co.uk +44 207 481 8686
Senior Investment Consultant - City Senior Business Developer - Fiduciary/ Multi-Asset - City £70,000 - £100,000 Depending on Experience Competitive Package A growing investment practice is looking to hire an experienced investment consultant to advice a range of DB and DC related schemes. With technical expertise in corporate pensionsâ&#x20AC;&#x2122; investment work and good market knowledge, you will have the opportunity to advise on a broad range of work. Their consultants get involved in all aspects of investment consulting from manager research to LDI implementation and everything in between so youâ&#x20AC;&#x2122;d have a very varied role in an extremely supportive environment. Carrying out member research and performance reviews, as a senior member of the team you will also be involved with mentoring your junior colleagues. They are seeking someone CF30 authorised who can demonstrate good project management skills and the ability to work towards tight deadlines. Contact simon.arthur@ipsgroup.co.uk +44 207 481 8686
/HDGLQJ ¿GXFLDU\ PDQDJHU ZLWK D IDVW JURZLQJ PXOWL DVVHW fund, looking to hire an accomplished asset gatherer. Our client FXUUHQWO\ RYHUVHHV ZHOO RYHU ELOOLRQ LQ ¿GXFLDU\ DVVHWV JOREDOO\ with a 50+ strong team in EMEA up from 10 a little over 5 years ago with the backing of one of the worldâ&#x20AC;&#x2122;s leading consultancies they expect to maintain this growth and double head count over WKH QH[W \HDUV 0DUNHWLQJ ¿GXFLDU\ PDQDJHPHQW VHUYLFHV WR a pan EMEA client base of institutional investors, including complex liability hedging solutions. Likely to have over 10 yearsâ&#x20AC;&#x2122; in the investment industry and a proven track record of successfully gathering assets from instituional investors. CFA/ FIA required. Contact david.higgo@ipsgroup.co.uk +44 207 481 8686
/RQGRQ 2I¿FH IPS Group, Lloydâ&#x20AC;&#x2122;s Avenue House, 6 Lloydâ&#x20AC;&#x2122;s Avenue, London EC3N 3ES 7HOHSKRQH 020 7481 8686 Email: actuarial@ipsgroup.co.uk /HHGV 2I¿FH IPS Group, 8 St Paulâ&#x20AC;&#x2122;s Street, Leeds LS1 2LE January/February 2013 â&#x20AC;¢ THE ACTUARY 7HOHSKRQH 0113 202 1577 Email: actuarial@ipsgroup.co.uk ACT.03.13.043.indd 43
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Appointments A ppointmHigh ents Finance Group Specialist Recruiters
This Easter are you hunting for a new opportunity? Commercial Finance Actuary £80k - £100k + Bonus, London
Reinsurance Projects Actuary £80k - £110k + Bonus, London
This unique position will play a pivotal role in business strategy development, profitability and financial effectiveness. You will have excellent market and life insurance product knowledge with an astute commercial acumen as well as experience in senior stakeholder interaction. Reporting into the Commercial Finance lead, this is an untraditional opportunity offering senior management and a range of diverse responsibilities. Graeme@highfinancegroup.co.uk
A market leading reinsurer is seeking a talented Actuary to continue the impressive growth of the UK Life business. As part of an internal projects team you will help provide specialist support across a variety of in house development programmes. Working directly with the Chief Actuary you will have previous project based management experience, strong product / market knowledge and excellent communication skills. Graeme@highfinancegroup.co.uk
FRM Actuary
£90k - £120k + Bonus, London
A rare opportunity to join a Financial Risk Management team with a major Life Insurer working closely with senior management at Group level. You will be responsible for delivering assurance, oversight and challenging financial risk frameworks across the business. You will have excellent communication skills, broad financial risk management experience and a confident approach to interacting with Board level stakeholders. Graeme@highfinancegroup.co.uk
Financial Reporting Manager
£50k - £80k + Bonus, South
A Large Life Insurer requires a Financial Reporting Manager to lead a team of 5 Actuarial Students. This role requires managing the production of quarterly FSA Pillar 1 and UK IFRS reserves, along with other associated reporting to meet regulatory requirements. Prior management experience in a Reporting team is desirable. This role would also suit a nearly / newly qualified Actuary keen to build on their prior knowledge and lead a team. Jack@highfinancegroup.co.uk
Calling all Student life Actuaries! Are you looking for the chance to explore a new area within Life insurance? This market leading life insurer is looking for a bright and ambitious students across all levels to grow their team. You will have the opportunity to progress and develop in your chosen area, along with being mentored by high calibre actuaries and receive excellent study support. Sophia@highfinancegroup.co.uk Up to £75k + Bonus, London
Join a highly regarded entrepreneurial firm, providing clients with cutting edge solutions to analyse their Pension scheme liabilities, assets and risk. The role will include technical modelling, client liaison at a senior level and team / project management. Utilising your detailed knowledge of DB valuations, this is an excellent chance to diversify your skillset gaining direct exposure to investments and risk. Miranda@highfinancegroup.co.uk
Commercial Pensions Actuary
Up to £80k, Nationwide
Accelerate your career within this highly regarded consultancy. Utilise your experience working on an impressive portfolio of trustee and Corporate clients advising on risk and liability management, hybrid pensions and investment advisory and transaction. You will be supported in your aspirations to get involved in other areas including Business Development, broader Employee Benefits consultancy or technical development. Miranda@highfinancegroup.co.uk
£600 - £900 pd, South An experienced ALM or Investment Actuary is required by a large UK Life Insurer to support ALM projects and unit pricing reviews to improve investment returns. This 6 month project will cover various elements of running and developing models, then detailing and analysing the findings. Good knowledge of Prophet would be desirable and prior experience in communicating with senior level management is essential. Jack@highfinancegroup.co.uk
ALM Contractor
£30k - £65k + Bonus, South East
This well performing Life Insurer requires Product Development Actuarial Analysts to work on a variety of tasks including Pricing changes and managing the Product Pricing process. This role in a highly visible team will lead to potential management duties in the short to medium term. Pricing and product development experience is essential and experience of annuity products is a big advantage. Jack@highfinancegroup.co.uk Up to £100k + Bonus, South East
Investment Strategy
This is an exciting opportunity to shape the multi-asset portfolio of this well known Insurer. Possessing a strong understanding of market movements and risk frameworks, you will be responsible for the Group Investment strategy. This will involve high levels of interaction at board level and provides the successful candidate with the opportunity to work on all facets of the investment piece. Miranda@highfinancegroup.co.uk £60k - £90k + Bonus, London
Group Risk Actuary
This multinational life insurer is looking for a senior student or qualified Actuary to help with the implementation of their Solvency II model. This person will be responsible for the model development and work on the market rate and calibration side. Strong technical and communication skills are key as you will be mentoring students and liaising with the IT department and senior Actuaries. Sophia@highfinancegroup.co.uk
Life
SOPHIA CROSSMAN Life
JACK SNAPE Life Interim & Perm
MIRANDA WILKINSON Pensions & Investments
+44 (0) 207 337 8820
+44 (0) 207 337 1207
+44 (0) 207 337 8810
+44 (0) 207 337 8815
graeme@highfinancegroup.co.uk
sophia@highfinancegroup.co.uk
jack@highfinancegroup.co.uk
miranda@highfinancegroup.co.uk
GRAEME BRAIDWOOD
44 44
This multinational Life Insurer is looking for a recently qualified Actuary to expand their Pricing team. You will be in involved in pricing new business and products along with managing a team of three students as well working closely with other parts of the business including senior stakeholders. Communication skills are key and prior knowledge of Pricing and Life insurance is preferred. Sophia@highfinancegroup.co.uk
Actuarial Analyst
£35k - £65k + Bonus, London
Pension Risk Actuary
£60k - £80k + Bonus, London
Pricing Actuary
THE TH T HE H E ACT AC A ACTUARY CTUA TU TU UA AR RY Y • JJanuary/February annnuuary aanu aryy//F /Fe Feb Fe brru bru ruaary arrryy 20 2201 2013 0113 0
+44 (0) 207 337 8800 ACT.03.13.044.indd 44
actuarial@highfinancegroup.co.uk
www.highfinancegroup.co.uk 26/02/2013 10:41
www.theactuaryjobs.com
MAKE ASIA YOUR NEXT DESTINATION Asia’s economic growth shows little sign of slowing, and this growth brings new challenges for the workforces of our clients. Mercer’s retirement and investment teams help organisations identify and implement optimal retirement and long-term savings solutions. We invite you to join our team of experts and share in this period of unprecedented growth. Destination Asia promises all: variety, culture, and the opportunity to realise your potential. Mercer currently has openings in Beijing, Hong Kong, Shanghai, Singapore, Tokyo and Jakarta. We would like to hear from experienced actuaries and benefits consultants with a track record of high achievement and a commitment to working in the region. To learn more please send a copy of your CV to Elizabeth Yeo (elizabeth.yeo@mercer.com) or call on +852 3476 3925. www.mercer.com
NEWLY QUALIFIED & SENIOR GI ACTUARIES Big 4 Firm, London £Excellent
LDI Structurer Asset Management London £100k base & excellent bonus
Working closely with the Fund Managers this individual will be instrumental in the analysis of scheme liabilities and assets and will work with the distribution teams to develop LDI business. This is a highly commercial role, requiring an individual with strategic vision who can design innovative liability hedge and derivative solutions for clients through the development of model capabilities. Rob Bulpitt
A great opportunity to work on GI projects covering the Lloyd’s and London market, European insurers and/or global reinsurance groups. You’ll cover wider consultancy projects including stochastic reserving, economic capital, Swiss Solvency Test, Solvency II and Bermudian prudential regime change. You’ll have intensive client interaction with actuaries and other board level executives.
We are currently working on a number of retained and exclusive mandates, including the above position. Please contact us directly to discuss in more detail or for a more information discussion about your career aspirations.
Suitable candidates need to be qualified and preferably with expertise in one or more area of reserving, pricing, capital modelling etc. Naturally you will also have excellent communication and client facing skills. This combination will enable you to lead the dialogue with client project sponsors and fully manage expectations of delivery, content, timescales and cost.
Head of Actuarial, Insurance & Pensions Risk Management 020 7092 3237 rob.bulpitt@eamesconsulting.com
Rupert Rickard
Manager of Actuarial Non-Life and Insurance Risk Management 020 7092 3219 rupert.rickard@ Offi eamesconsulting.com
For current opportunities please visit www.eamesconsulting.com
Pensions & Investments | Non-Life | Life & Health UK | Europe | Asia PDFL¿F
As a Senior GI Actuary you will assist Partners and Directors in client development by leading on specific arrears of intellectual property and handling the process of client proposals. In addition you will also develop the team through effective supervising, coaching and mentoring.
Parvinder Matharu Newton Recruitment t +44(0)1689 862937 e parvinder@newtonrecruitment.com w www.newtonrecruitment.com Contact
www.eamesconsulting.com
January/February 2013 • THE ACTUARY
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www.theactuaryjobs.com “Bristol based Actuarial Recruitment Specialists” At SRS-Actuarial recruitment we have a range of opportunities for part-qualified and qualified actuaries up to senior management level. If you are a candidate seeking a new position, or an employer seeking Actuarial staff, then we would be delighted to hear from you.
Senior Investment Consultant – CF30 South Wales
£excellent
Our client is looking to recruit a CF30 Investment Consultant who will be responsible for Investment strategies for clients’ pension schemes. The successful candidate will also assist in leadership and coordination of the Firm’s investment services ensuring the efficient and profitable supply of expertise to clients and colleagues and to support the continuous development of the department and Firm. Key requirements are an understanding of the pension/investment market place gained through experience of advising clients within a pension/consulting practice and the ability to demonstrate excellent communication and strong relationship building skills. This role will appeal to a CF30 qualified Actuary or similarly qualified individual with strong numerical, analytical and problem solving skills.
Qualified Pensions Actuary Bristol
c£60k + Bens
Qualified Actuary with Pensions experience required for position within consulting team being involved in a wide range of actuarial and consultancy projects. Key duties include managing and presenting actuarial valuations, accounting for pension costs, sales & acquisition work, reviewing pension scheme designs and all aspects of Consultancy and Scheme Actuary work. Candidates should have between one and four years post qualification experience within a Consultancy environment as well as excellent presentation, communication and client management skills.
SRS-Actuarial, Broad Quay House, Prince Street, Bristol, BS1 4DJ Tel: (0117) 9058734 or 07968 111950 (non office hours) Email: enquiries@srs-actuarial.co.uk Website: www.srs-actuarial.co.uk
LDI PRODUCT STRATEGIST Asset Management, London £Excellent + benefits This is a front office role with a leading asset management firm. In this role you will maintain a high degree of current market knowledge as you’ll communicate with teams across the business. This will include representing the team in new instrument and product development initiatives, providing technical input to RFP’s and new business pitches; and driving the development of LDI thought pieces to determine market opportunities which tie in with clients’ long term de-risking strategies. You’ll proactively look for ways to improve the product offerings based on market conditions and client demand and implement changes within the team to increase the flexibility of the team’s offering to pension scheme clients. Suitable candidates will be FIA or CFA qualified and have familiarity with the LDI market including recent trends in risk management solutions for pension schemes. Candidates with ALM or LDI solutions experience from an asset manager, bank or investment consultancy will be considered.
Parvinder Matharu Newton Recruitment t +44(0)1689 862937 e parvinder@newtonrecruitment.com w www.newtonrecruitment.com Contact
UNLOCK YOUR CAREER POTENTIAL START SOLVING PROBLEMS WITH US
YOU
Enjoy a creative modelling career in software with Modelling Design Partners
[w] modellingdesign.com [e] consulting@modellingdesign.com [t] UK +44 131 524 9404 [t] ZA +27 12 004 2409
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January/February 2013 • THE ACTUARY
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Appointments
Business Critical As a self-respecting actuarial professional, you’ll no doubt want to keep up with the latest industry developments, people and society updates and professional news. But you’re also busy being an actuarial professional. Right? 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.
Sign up for weekly news alerts today Visit www.theactuary.com/email-sign-up 48
THE ACTUARY • January/February 2013
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www.theactuaryjobs.com
Overseas Opportunities
Specialist Recruiters Opportunities In Singapore
Life/General
Dependent on Experience
SE Asia
Senior Capital Modeller Up to HKD 1.3m + Bonus
General Hong Kong / China
High Finance Group will be in Singapore meeting with direct insurers, reinsurers and consultancies in March to discuss their 2013 hiring plans. If you are interested in hearing about what opportunities are available to you or want to find out about the Actuarial market in Asia with advice on relocation, visas, timescales and where to live and work, please call Clare or Collette on the numbers below. (CB/CE)
This globally renowned company requires a person to lead Capital Modelling development for Greater China. The role can be based out of the Hong Kong, Shanghai or Beijing office and offers the opportunity to build a team beneath you. Capital modelling experience is crucial to your success in this role and your ability to speak Chinese at business level (either Mandarin or Cantonese) is vital. (CB)
Head of Valuations
Life
Life Actuary
Up to HKD 1.5m package
Hong Kong
Up to EUR 65k basic
Life Sweden
Excellent regional role for this international insurer as they transform their business globally. You will initially have reporting responsibilities for 15 people but this will change as the structure develops. They are seeking a Life Actuary with strong leadership skills, who is able to manage a multicultural Actuarial team through change. (CB)
An international consulting firm is looking to add a life actuary to their team immediately. The person will have Swedish language skills and ideally knowledge of the local market. The main focus of their client projects are core topics within the life insurance market including product development, capital and investment management. (RS)
Finance Actuary
Senior Non-Life Actuary
Up to SGD 100k package
Life Singapore
Career building opportunity for a part / nearly qualified Actuary to join an International Life insurer’s Singapore operations. Working with the Head of Actuarial, you will set up business plans and run statutory and group financial reporting requirements. Knowledge of life insurance products, including unit linked business, valuation reporting and Prophet preferred. Work permit and full study support offered. (CE)
Clare Bethell, Senior Consultant - International Collette Edwards, Consultant - Asia Richard Senger, Consultant - Europe
EUR 120k + performance bonus
General Germany
A leading international consulting firm is looking for a qualified Non-Life Actuary to support their current initiatives and growth. The ideal candidate will have a keen interest in developing new business and be experienced in different areas of the non-life sector including Solvency II, reserving, pricing and risk management in general. (RS)
clare@highfinancegroup.co.uk collette@highfinancegroup.co.uk richard@highfinancegroup.co.uk
+44 (0) 207 337 8829 +44 (0) 207 220 0174 +44 (0) 207 337 8806
Pricing and Development Actuary, Surrey £60,000 - £80,000 + bonus Ref: JT59817 A successful Life company is looking for a qualified actuary with Life office or Consultancy experience to join the Pricing and Product Development team. This growing organisation is constantly investing in new products and adding to their product range. As well as pricing and development, you will work on a wide variety of projects; from dealing with specific requests in respect to annuity and equity release business, to developing the company’s modeling capability. Previous pricing experience is not essential.
Head of Asset Management, London Up to £100,000 + car and bonus Ref: MJB55662 My client, an insurance company, has created a new role to set up an Asset Management department to look after their £3.5billion portfolio. You will be responsible for defining the risk appetite and then setting and implementing the investment strategy for this portfolio. You will report to the board and work closely with group treasury and their front office team. The ideal candidate will either be an experienced investment consultant or someone with experience in the investment team of an insurer with particular exposure to investment strategy work.
E: james.turner@goodmanmasson.com
E: mbullock@goodmanmasson.com
T: +44 (0)20 7019 8861
T: +44 (0)20 7324 0505
Pricing Actuary, London Up to £65,000 Ref: BG59290 A London based Life insurer is seeking a Pricing Actuary, close to qualification, to initially focus on one of their developing product lines. You will be involved in ensuring that pricing is kept sharp, through monitoring and managing updates to the pricing and will produce and analyse product line pricing information for the Pricing Manager. This role would suit a commercial actuary with good communication skills and previous pricing / product development experience across any product line, who is keen to develop a long term career with a growing company.
Senior Associate/Manager, London £50,000 - £70,000 Ref: ME57064 My client, a Big 4 accountancy firm, is looking to expand their highly successful corporate pensions division. Having sold off their trustee offering, my client is fully corporate focused, offering a more commercial consulting environment. You will be involved in pensions de-risking projects, M&A transactions, benefit and scheme design, as well as having exposure to DC, Rewards, International solutions and more general Human Resource issues.
E: bradley.grant@goodmanmasson.com
E: mark.eadsforth@goodmanmasson.com T: +44 (0)20 7019 8828
T: +44 (0)20 7019 8869
goodmanmasson.com
January/February 2013 • THE ACTUARY
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Appointments
Hazell Carr was founded by actuaries in 1997 as HC Actuarial Services (HCAS), and developed as a leading provider of actuarial resource, through provision of services from consultants and an inhouse actuarial team - which to date form a significant part of Hazell Carr. Hazell Carr is now also part of a wider group which includes a specialist actuarial consultancy and one of the largest pension administration providers in the UK. This heritage, capability and diversity mean Hazell Carr is not simply a supplier of actuarial resource, but is also an integral part of the industry, with an excellent understanding of the market, client requirements and candidate preferences. Working with Hazell Carr, you liaise with an actuary who understands the worth of professional qualifications and the necessary steps to ensure the most suitable match is made between clients and candidates. This builds If you are interested in rewarding long term relationships, whilst providing quality joining Hazell Carr or would delivery at competitive prices. like to find out more about obtaining our services, call us Hazell Carr works with organisations across the spectrum of on 0118 951 3787 or email financial services, including asset managers, general insurance actuarial@hazellcarr.com firms, high street and investment banks, life insurers, pension administrators, pension consultancies, reinsurance brokers & intermediaries, and wealth management firms.
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New addition, same quality.
www.thheactuaryyjobs.ccom www.theactuaryjobs.com
Pure Search Actuarial & Risk Our Actuarial & Risk practice specialise in mid to senior level risk management opportunities within core and non-traditional disciplines, both in the UK and internationally. Our experienced consultants have achieved a strong track record of assignment success, sourcing individuals and teams across a variety of specialisms within Insurance, Pensions and Investments. We work with a broad range of clients including multinational and boutique consultancies, Life and NonLife insurance businesses, FTSE listed companies as well as a selection of Asset Managers and Banks.
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+44 20 7429 4446 martinescott-gordon@puresearch.com @puresearch.com
London
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ACT.03.13.051.indd 51
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Appointments
NON-LIFEFUTURES PEOPLE, PROJECTS, POTENTIAL LONDON
NON-LIFE up to £150k + bonus + benefits
Can you bring out the best in people? Do special projects bring out the best in you? Contact us to fulfil your potential in this unique role with a market-leading insurer. Ref: Star1380
TECHNICAL LEADER SOUTH EAST
NON-LIFE up to £110k + bonus + benefits
SOUTH EAST
NON-LIFE up to £120k + bonus + benefits
Fantastic opportunity to join a specialist (re)insurance group as the first actuary within a growing business unit. You will lead the reserving process, provide pricing support and calibrate the internal model. Ref: Star1392
COMMERCIAL LEADER
NON-LIFE
LONDON
up to £100k + bonus + benefits
A key role for a proactive actuary to ensure the highest professional standards are maintained in the provision of pricing and reserving analysis and reporting to all internal and external customers. Ref: Star1312
Develop new products. Make commercial decisions. Build technical models. Bring a fresh perspective. Inspire a team. This role will provide variety, challenge and responsibility.
LONDON MARKET INNOVATION
RISK CONSULTING
LONDON
NON-LIFE £ excellent + bonus + benefits
Ref: Star1375
NON-LIFE
LONDON
up to £90k + bonus + benefits
Leading London Market company seeks creative and enthusiastic part qualified or qualified non-life actuary to lead its reserving process, working closely with claims managers and underwriters. Ref: Star1238
Our client seeks a technically proficient part-qualified or qualified actuary to generate innovative solutions to complex risks for a variety of clients, including banks and insurers. Capital modelling experience desirable. Ref: Star1186
ONCE IN A LIFETIME OPPORTUNITY
CAPITAL MODELLING ANALYST
LONDON
NON-LIFE £ excellent basic + upside
MIDLANDS
NON-LIFE Up to £60k + bonus + benefits
A truly unique opportunity for a part-qualified actuary with reinsurance experience to join a dynamic organisation on an upward trajectory and work with some of the sharpest minds in the industry. Ref: Star1389
Contribute to all aspects of capital modelling whilst building your technical and soft skills within a high-performing team. Join a company that offers unparalleled personal Ref: Star1401 development opportunities.
CUTTING-EDGE MOTOR PRICING
RESERVING & CAPITAL ON THE COAST
SOUTH EAST
NON-LIFE up to £60k + bonus + benefits
Work in partnership with the Product Head and provide professional analysis and clear recommendations to support the management of the portfolio for profit and growth. Ref: Star1400
LONDON MARKET PRICING LONDON
NON-LIFE circa £50k + bonus + benefits
Our client is seeking a talented, motivated part-qualified non-life actuary to take up a key role within its pricing team. Candidates from a reserving or capital modelling background will be considered. Ref: Star1394
Louis Manson 52
RESERVING. PRICING. CAPITAL.
MANAGING DIRECTOR THE ACTUARY • January/February 2013 M +44 7595 023 983 E louis.manson@staractuarial.com
ACT.03.13.052-53.indd 52
SOUTH COAST
NON-LIFE
up to £60k + bonus + benefits
Growing insurance business seeks actuaries to provide cutting-edge advice regarding its capital management and to take the lead in the development of new reserving systems and procedures. Ref: Star1420 & Star1419
INTERIM PRICING ANALYSIS ACTUARY LOCATION UPON APPLICATION
6 MONTHS £ market rates
Seeking an experienced non-life pricing actuary for a 6 month contract to start immediately. Key elements of the role will include determining risk appetite and risk selection criteria. Ref: Star1421
Antony Buxton FIA
Joanne Young
Irene Paterson FFA
MANAGING DIRECTOR
OPERATIONS DIRECTOR
PARTNER
M +44 7766 414 560 E antony.buxton@staractuarial.com
M +44 7739 345 946 E joanne.young@staractuarial.com
M +44 7545 424 206 E irene.paterson@staractuarial.com
26/02/2013 08:38
LIFE PENSIONS INVESTMENTFUTURES LIFE
LOCATION UPON APPLICATION
up to £130k + benefits
PENSIONS START-UP NATIONWIDE
£ excellent + bonus + benefits
Start-up life business is seeking a high calibre actuary to provide strategic support in the development of its business model. The successful candidate will play a key role in establishing pricing processes. Ref: Star1196
Looking for a new challenge? Our client is seeking commercial pensions actuaries with excellent business development skills to set up new offices under an established brand.
HEAD OF INVESTMENT CONSULTING
CLIENT RELATIONS
LONDON
LONDON
£ excellent + bonus + benefits
Our client seeks a high calibre investment consultant with the knowledge and skills to take its successful practice to the next level. You will develop new and existing clients and grow the team and its capabilities. Ref: Star1368
RISK & CAPITAL MODELLING ACTUARY SOUTH EAST
LIFE
up to £90k + bonus + benefits
Ref: Star1348
INVESTMENT up to £100k + bonus + benefits
Take this opportunity to develop cutting-edge pension scheme solutions. Specialist risk management consultancy seeks a driven candidate to join its growing team to lead and manage client relationships. Ref: Star1412
PENSIONS RISK MANAGEMENT LONDON
up to £80k + bonus + benefits
Leading insurer seeks a talented qualified or part qualified actuary with strong analytical skills to take up a key role in the development and oversight of appropriate risk and capital management techniques. Ref: Star1408
Provider of pensions risk management solutions seeks a pensions actuary with strong academic credentials, a track record of success and a hunger to go further and faster.
ALM ACTUARY
STRATEGIC CORPORATE ADVISOR
SOUTH EAST
LIFE up to £80k + bonus + benefits
Ref: Star1404
BIRMINGHAM
PENSIONS
up to £75k + bonus + benefits
Life assurance and pensions provider is seeking a qualified actuary with experience of With-Profits to take up a key role reporting to the Chief Actuary and advising the Board on asset liability modelling. Ref: Star1347
Seeking a part-qualified or qualified actuary with excellent technical skills and a focused commercial attitude to provide strategic advice to corporates on all aspects of designing, operating & financing pension schemes. Ref: Star1410
MOSES DEVELOPER
WITH-PROFITS MANAGEMENT
LONDON
LIFE £ excellent + bonus + benefits
LONDON
LIFE £ excellent + bonus + benefits
Global organisation seeks a talented MoSes developer to take responsibility for the design and implementation of innovative technical solutions. The successful candidate will have strong communication and project management skills. Ref: Star1338
Leading insurer seeks a qualified life actuary with strong analytical and problem-solving skills and the ability to interpret detailed requirements and implement model developments.
AT THE LEADING EDGE
COMMERCIAL INSIGHT
PENSIONS up to £65k + bonus + benefits
BRISTOL
Major global professional services company is seeking a pensions consultant to be instrumental in designing & maintaining a range of internal & external consulting tools at the leading edge of technological advances. Ref: Star1413
Ref: Star1393
EDINBURGH
LIFE up to £55k + bonus + benefits
An exciting opportunity has arisen for a qualified actuary to develop innovative solutions and marketing initiatives for its pensions business in order to deliver increased business flows and profit margins. Ref: Star1415
Star Actuarial Futures Ltd is an employment agency and employment business
START-UP LIFE BUSINESS
www.staractuarial.com
Lance Randles MBA
Paul Cook
Clare Roberts
ASSOCIATE DIRECTOR
SENIOR CONSULTANT
SENIOR CONSULTANT
M +44 7889 007 861 E lance.randles@staractuarial.com
ACT.03.13.052-53.indd 53
M +44 7740 285 139 E paul.cook@staractuarial.com
M +44 7714 490 922 E clare.roberts@staractuarial.com
Peter Baker SENIOR CONSULTANT March 2013 • THE ACTUARY www.theactuary.com M +44 7860 602 586 E peter.baker@staractuarial.com
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Appointments
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January/February 2013 â&#x20AC;¢ THE ACTUARY
55
www.ojassociates.com ACT.03.13.055.indd 55
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Appointments United Kingdom
General Insurance London 2 x Heads of Department: Reserving & Pricing £150,000 + Benefits + Bonus Paul Francis
Reinsurance Pricing Actuary Rick Davis
Two Lloyd’s market clients have mandated us to search and select top-tier candidates for two Greenfield positions. You must have experience of the Lloyd’s market, manage and influence senior management, and manage a small team.
A strong Lloyd’s Syndicate requires a Reinsurance Pricing Actuary to join a successful underwriting team. The successful candidate will have 4+ years GI actuarial experience gained within a nonlife insurer/reinsurer or consultancy. Pricing skills are preferred but not essential.
Motor Reserving Manager Sarah Robins
Capital Actuary Rick Davis
South East £90,000 + Benefits + Bonus
London £110,000 + Benefits + Bonus
Bermuda US$ Excellent + Relocation
I am recruiting for a Motor Reserving Manager in a leading personal lines insurer. You will manage a small team of actuarial analysts and will be influential in key business decisions. You must have reserving experience from an insurance environment. Working towards actuarial qualification is desirable but not essential.
A highly successful Bermudan based insurance company is looking to hire a Group Capital Actuary. The successful candidate will require 3 - 5 years GI experience and previous exposure to capital modelling. Full relocation assistance will be provided as part of a strong package.
Senior Pricing Analyst Sarah Robins
Midlands £60,000 + Benefits + Bonus
London Market Risk Management London Ben Pitt £55,000 + Benefits + Bonus
A leading specialist insurer is seeking a senior actuary. You will play a senior role in the pricing function and be influential in key business and commercial decisions. You will have good GLM experience and good exposure to emblem. Actuarial qualifications are desirable but not essential. There will also be flexibility around home working for this position.
Global insurance business is looking for a part qualified actuary with strong modelling and communication skills for their team in London. Very visible and commercial role within a highly regarded organisation.
Syndicate Analyst Ben Pitt
London £45,000 + Benefits + Bonus
Actuarial Analyst - Lloyd’s Syndicate London Richard Howard £35,000 - £55,000 + Benefits + Bonus
Well established Lloyd’s Syndicate requires a part qualified actuary for their growing team. Duties include reserving, pricing and capital. This role guarantees diverse experience and excellent hands on training.
New Lloyd’s Syndicate looking for an exceptional actuarial student with experience of reserving. Must have great commercial awareness and be keen to progress their career within an exciting and growing London Market company.
Contracts - GI Senior Reserving Actuary Stewart Cherry
Reserving Actuary Rob Bentham
London £1000 / day - 6 Months
A leading national insurer is looking for an experienced qualified reserving actuary for a 6 month contract. GI retail experience. The candidate must be available to commence the contract in early May working within the London Market.
A leading London Market insurer is looking for a reserving actuary to work within their group function.
Igloo Modeller Rob Bentham
Remetrica Capital Contract Stewart Cherry
London Up to £800 / day - 3 Months
London, South East £800 / day - 6 Months
A well respected London Market client is looking to bring in an Igloo Modeller for an initial 3 months.
A Remetrica modelling actuary is required to join a London Market insurer for a 6 month contract.
Senior Pricing Actuary Stewart Cherry
Part Qualified Actuary Stewart Cherry
London £800 / day - 6 Months
London (City) £500 - £700 / day - 6 Months
A Lloyd’s Syndicate is looking for a part qualified actuary, with pricing and reserving experience for a 6 - 9 month contract.
A senior pricing actuary with London Market experience is required for a 6 -12 month contract.
56
London (City) Up to £1000 / day - 6 Months
General Insurance - UK
Contracts - GI - UK
General Contact Details
Paul Francis 0207 649 9469 Rick Davis 0207 649 9353 Sarah Robins• January/February 0207 3102013 8552 THE ACTUARY Ben Pitt 0207 310 8719 Richard Howard 0207 649 9356
Rob Bentham Stewart Cherry
actuary@ojassociates.com
Web
www.ojassociates.com
0207 649 9351 0207 310 8651
Please contact one of the team for further information on any of the opportunities above.
Ben ACT.03.13.056-57.indd 56
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Life Insurance Head of Reporting Mehwish Raza
Health Actuary Clare Nash
South £120,000 + Benefits + Bonus
London (City) £100,000 + Market Leading Package
A qualified reporting actuary is sought by an impressive insurance business. This is a high profile role with management responsibility. You will provide excellent leadership. Succession planning will allow rapid progression.
A well known organisation seeks a senior actuary to join their emerging team. You will have experience in the health sector (ideally PMI exposure) and enjoy being in a high profile role at group level. A varied role with unrivalled career potential.
London (City) Pricing / Projects Lead (Protection / Annuity) £100,000 + Market Leading Package Clare Nash
London (City) Commercial Development Actuary £80,000 + Benefits + Bonus David Parker
EXCLUSIVE APPOINTMENT! A top tier organisation seeks a commercial actuary (either protection / annuities) to play a key role at senior management level. You will enjoy technical work as well as being comfortable in a client facing position.
EXCLUSIVE APPOINTMENT: A world renowned Financial Services organisation is looking for a recently qualified commercial actuary to take the next step into a more autonomous development role. Pricing experience ideal.
Capital / Reporting Actuary Mehwish Raza
Projects Actuary David Parker
South East £70,000 + Benefits + Bonus
London (City) £70,000 + Benefits + Bonus
A leading life insurance business is seeking a capital and reporting actuary to join their expanding international team. You would either be qualified or P/Q with substantial experience in ICA, EV, MCEV or IFRS reporting.
A market leading niche business seeks a senior student or recently qualified actuary for a commercial project based role. Nontraditional role giving exposure to new business developments. Pricing/Longevity Risk background desirable.
Projects & Risk Actuary Rachel Kelly
Senior Commercial Analyst Rachel Kelly
South East £65,000 + Benefits + Bonus
Are you looking for a varied, autonomous role in a highly commercial environment? My market leading client is seeking exceptional candidates to work on a variety of reporting, risk management and strategic business projects.
South East £60,000 + Benefits + Bonus
My client, an international name in the market, is seeking a part qualified actuary to become a key member of their commercial team. You will be responsible for cutting edge, innovative pricing and product development work.
Contracts - Life Senior Systems Actuary Kaylash Kukadia
ALM Actuary Rob Bentham
South Up to £900 / day - 6 -12 Months
South West £700 - £900 / day - 6 Months
Ideally Qualified. Around 10 years modelling experience and having worked as a lead previously. (Exp of ICA, MCEV, IFRS, ALM).
Looking for strong ALM/Investments experience. Prophet modelling skills.
Systems Actuary Rob Bentham
MoSes Developer Rob Bentham
Midlands £600 - £800 / day - 6 Months
South £600 - £800 / day - 6 - 12 Months
Multiple roles: 1) Developing automated processes – risk. 2) Developing automation - P&L Attribution 3) Data Governance.
Senior MoSes developer required to manage a small team of two staff. Ability to develop MoSes from scratch is desirable.
PD / Pricing Actuary Kaylash Kukadia
Prophet Developer Kaylash Kukadia
London Up to £700 / day - 6 Months
Background in developing and pricing of new protection products - Life, CI, Whole of Life, IPP. Including modelling and profit testing.
South West & Midlands Up to £700 / day - 6 Months
Nearly/newly qualified level. 5 years+ UK experience, strong hands-on experience, developing from scratch (rather than prophet runs or minor coding).
Life Insurance - UK
Contracts - Life - UK
General Contact Details
Clare Nash David Parker Mehwish Raza Rachel Kelly
Rob Bentham Kaylash Kukadia
actuary@ojassociates.com
Web
www.ojassociates.com
ACT.03.13.056-57.indd 57
0207 649 9350 0207 310 8649 0207 117 6159 0207 310 8579
0207 649 9351 0207 310 8581
January/February 2013 • THE ACTUARY
57
Please contact one of the team for further information on any of the opportunities above.
26/02/2013 08:41
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Europe Amsterdam €75,000 + Secondary Conditions
Senior Non-Life Consultant Amsterdam Julien Fabius €110,000 + Secondary Conditions
Non-Life Actuary Julien Fabius
This is a highly visible appointment within one of the world’s premier global professional services organisations; senior P&C professional sought to lead a P&C consulting team. This is a unique opportunity to grow and shape an expanding team. Strong P&C industry experience required.
You will join a well-known international insurer, specialised in commercial lines with a close link to the London Market. You will assume a broad actuarial role where you will work on pricing, reserving but also on Solvency II. On the pricing side you will work closely with the underwriters in Paris, Belgium and Holland. Open to part qualified actuaries.
Reinsurance Officer Niels van Nieuwkerk
Consultant Junior / Midlevel Niels van Nieuwkerk
Amsterdam €50,000 - €65,000 + Benefits
Caribbean €40,000 - €60,000
As a Reinsurance Officer you are the link between the actuarial team, underwriters and reinsurance brokers. You will be responsible for structuring information for the business, management board and the reinsurance manager. You will optimise processes and reinsurance contracts and work closely with the actuarial department on the internal model and Solvency II. Non-qualified actuaries will be considered for this role.
International consultancy is seeking to recruit consultants for their business in the Caribbean. The consultants will advise insurance companies and pension funds on a broad range of actuarial topics. Dutch market knowledge required.
Senior Valuation Actuary Laurence Baken
Solvency II Actuary Patrick McMahon
Brussels €60,000 - €80,000
Global insurer seeks an actuary with extensive experience with valuation. An exceptional opportunity to influence the development of their internal model of Solvency II and IFRS Phase II, consulting senior management on MCEV calculations.
Brussels €50,000 - €60,000
Solvency II Validation Officer Laurence Baken
Dublin €80,000 - €100,000 + Benefits
My client, who is based in Dublin and part of a large group, are looking to recruit an actuary with Solvency II experience. This exciting opportunity will see you gain exposure to and influence all areas of the Solvency II program while also developing the prophet model.
Reserving Actuaries Patrick McMahon
Dublin €65,000 - €110,000 + Benefits
An excellent opportunity for a validation expert to validate Solvency II capital models and technical provisions of a global European Insurer on a group level, as well as presenting conclusions to the Model board level at Group and local.
My client, one of Ireland’s largest general insurance companies is looking to recruit a number of reserving actuaries. In a small team you will work closely with the Chief Actuary and get broad exposure across capital and pricing also.
Head of Pricing GI Emina Biscevic
Credit & Bond Pricing Audrey Dresen
Niedersachsen €€€Competitive + Benefits + Bonus
European Reinsurance-leader seeking a Head of Pricing GI. You will lead and manage the underwriting and business actuarial functions within the global business and lead on developing a strong pricing / underwriting team (currently six people). The role requires daily collaboration with the management team.
Experienced Life Reporting Consultant Manuel Lovell
Stuttgart €€€Competitive
Zurich CHF Competitive
Successful reinsurer with a large book of European business, needs an experienced Credit & Bonds Pricing Actuary to take charge of a sizeable portfolio. You will be seen as the expert in the team and be part of a dynamic environment working closely with Underwriters.
Risk Actuary Audrey Dresen
Zurich CHF Competitive
This is an opportunity to be exposed to varied work with an international focus across topics such as reporting, structured products and Solvency II. This role is a central one for the company to strengthen their international operations.
Outstanding opportunity to help a growing reinsurer strengthening their Risk Management. You’ll work on capital modelling, quantitative modelling, validation, research and enhancing risk dashboards whilst supporting international offices. Remetrica, SQL, VBA skills required.
Solvency II Actuaries Benjamin Moses
Mainland Europe Up to €1400 / day - 6 - 9 Months
Prophet / Moses Developers The Netherlands Helger Wiese Up to €1000 / day - 3 Months + Extensions
High demand for actuarial skills in all three pillars of Solvency II across numerous projects. Contact us for more information.
Demand for both Moses and Prophet Developers on Dutch market. Ideally Dutch speaking.
Europe Benjamin Moses Helger Wiese Emina Biscevic Laurence Baken Patrick McMahon
ACT.03.13.058-59.indd 58
+49 (0)89 2206 1068 +31 (0)20 262 0280 +49 (0)89 3803 8965 +32 (0) 2 401 2249 +353 (0)1 685 2413
Audrey Dresen Julien Fabius Niels van Nieuwkerk Manuel Lovell
+41 (0) 43 508 0444 +31 (0)20 716 8450 +31 (0)20 716 8327 +49 (0) 89 2206 1003
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Asia Life - Portfolio Director Gary Rushton
Hong Kong £££Competitive
Life - Head of Actuarial Gary Rushton
Singapore £££Competitive
A unique opportunity for a commercially minded actuary looking for non-traditional work focusing on driving the value of my clients current portfolio of business within Hong Kong. Reporting to the CFO you will set and implement the strategy across key business units to ensure the retention of the most profitable books of business.
My client is currently developing their presence in Singapore and are looking for a senior actuary to help set up and lead the growth of the actuarial function. The successful candidate with have extensive financial reporting experience accompanied with exposure to broader business requirements within life insurance.
Life - Appointed Actuary Alex Ince
Life - Head of Pricing Gary Rushton
Hong Kong £££Competitive
Hong Kong £££Competitive
Highly successful European insurer is seeking an experienced actuary to join their team in Hong Kong. The key focus is to be the appointed actuary for both Hong Kong and Singapore and to help build a local and regional team. Exciting opportunity to be part of a fledgling business beginning its expansion in Asia.
My client, one of the leading multinational insurers, currently seeks a senior pricing actuary to lead a sizeable team of actuaries to design and price complex life products for their Hong Kong business. Reporting to the “C-Suite” management you will be responsible for production and strategic direction of all pricing and product development initiatives including new and existing business.
Life - Senior Product Actuary Alex Ince
Life - Chief Actuary Jonny Plews
Hong Kong £££Competitive
Thailand £££Competitive
Leading insurer is seeking a commercial actuary who can lead the revamp of the product suite across Asia. Great opportunity to gain an understanding of the numerous markets within Asia within a role which is very much in the spotlight. Necessary interaction with nonactuarial stakeholders (distribution channels, underwriters etc).
I am working with a leading multinational insurance group who are looking for a Chief Actuary to be based in Thailand. You will oversee all actuarial duties (reporting and products) as well as being a key contributor to overall strategy. You will be a qualified actuary, preferably with experience in Asian markets. You need a combination of technical ability and influencing skills.
Life - Reporting Actuary Gary Rushton
Life - Head of Pricing Alex Ince
Hong Kong £££Competitive
Indonesia £££Competitive
I am looking for a relatively senior actuary to work within my European clients group function to support and oversee the group reporting requirements covering MCEV and IFRS. The role will report directly in to the Asia FD and will also incorporate involvement in the Solvency II programme.
Global life insurer is seeking an experienced actuary to help revamp their product suite throughout the country. You will gain access to all areas of the business and gain high levels of exposure throughout the wider group in Asia.
Life - EEV Manager Jonny Plews
Life - Actuarial Manager Alex Ince
Singapore £££Competitive
Singapore £££Competitive
Market leading multinational firm seeks a life actuary with 6 - 8 years’ experience to manage a team of five doing EEV reporting. Qualification status is flexible though some EV reporting skills are essential as well as strong English skills.
Global leading life insurer is seeking an experienced actuary to assist with a niche area of the life business. Role will vary from reporting, capital, ALM, pricing reqs to technical advice to non-act stakeholders. Reporting directly to CA / CRO.
GI - Chief Pricing Actuary Toby Weston
GI - Capital Modelling Actuary Toby Weston
Hong Kong £££Competitive
Market leading insurance business is looking for an actuary with exceptional pricing and interpersonal skills to work with underwriters and local actuaries across the Greater China Region improving profitability on all P&C classes of business.
Malaysia £££Competitive
GI - Lead Actuary Toby Weston
Our client, a major composite insurer in Malaysia is looking for a qualified actuary to lead their general insurance team. Managing a team of analysts this person will take ultimate responsibility for all actuarial duties and report in at C level.
Singapore £££Competitive
Global insurance business seeks Capital Modelling Actuary to join a team building an internal capital models to comply with local RBC regulation. Expertise in capital modelling software and excellent communication skills required.
GI - Casualty Actuary Toby Weston
Hong Kong £££Competitive
We are looking for an experienced pricing actuary to join a first class re-insurance business in Hong Kong. Working across the Asia Pacific region this candidate will be responsible for the pricing of all Casualty Lines Products.
Asia Jonny Plews Alex Ince Gary Rushton
+852 5804 9200 +852 5804 9224 +852 5804 9223
Toby Weston Philip Chau
+852 5804 9042 +852 5804 9287
Please contact one of the team for further information on any of the opportunities above.
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www.the-arc.co.uk
The Actuarial Recruitment Company
A fresh approach
Reserving Actuary South East
General Insurance £100-120K base plus benefits
Pricing Actuary London
General Insurance To £90K base
This role in a medium sized insurance company will have responsibility for the reserving of the business and have input into the capital modelling. There will be representation on several committees and the role holder will assist senior management with decision making in relation to reserving, planning and profitability. Strong reserving skills and experience of communicating with senior management are required. There will be limited support from below and so hands on technical skills are essential. Ref: ARC26203
This role reports to the Head of Pricing within this international insurance and reinsurance organisation. Covering all lines of business in a small pricing team, the successful candidate should have the technical and communication skills to work autonomously with support as required. Contribution on ideas about best practice and ability to question and influence underwriters will be required skills, in addition to development of pricing tools and analytics. Some international travel will be required. Ref: ARC26205
Business Development London
Managing Consultant London
Pensions £Attractive
This is an opportunity for an experienced and qualified pensions actuary in an established and specialist pensions consultancy focusing on small to medium pension schemes. The successful candidate may have a traditional pensions consulting background but will relish this opportunity to take responsibility for business development and help grow the business in new areas. Excellent communication skills and personal drive are required in addition to a successful track record in client management and development. Ref: ARC26206
Life To £110K base
Opportunities exist for candidates who have life actuarial experience either from UK life offices or consultancy environments. As well as a good background in technical actuarial skills ideally from a financial reporting and capital related perspective, the role will involve managing more junior team members on specific client facing assignments with large UK insurers. Hence excellent communication skills are also required. Client is particularly interested to hear from candidates interested in European based work. Ref: ARC26207
Call us anytime including evenings and weekends on 020 7717 9705 or email enquiries@the-arc.co.uk General Insurance Andy Clark BSc FIA General Insurance & Contracts Roger Massey BSc MBA FIA New Entrant (All) & Life/Pensions Chris Cannon BA CFI DAT
0781 333 7891 0781 398 9016 0771 122 8449
andy@the-arc.co.uk roger@the-arc.co.uk chris@the-arc.co.uk
The Actuarial Recruitment Company is an employment agency
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