BULLETIN - International Actuarial Association

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1. Important Dates ........................................................................................... 2

2. Minutes of Council Meeting of April 18, 1999 -Madrid, Spain .............................................................................................. 3

3. Report on Tokyo Meetings ........................................................................ 16

4. International Congress of Actuaries (ICA) 2002 -Cancun, Mexico ......................................................................................... 17

5. News from ASTIN ..................................................................................... 18

6. Report on the First International Professional Meetingof the Leaders of the Actuarial Profession in Africa ................................. 26

7. Research in Progress .................................................................................. 28

8. Reports from Member Organizations ........................................................ 43

9. Reports from Other Organizations ............................................................. 58

10. Table of Contents of Actuarial Journals .................................................... 60

SECRETARIAT

820-360 AlbertOttawa, Ontario

CANADAK1R 7X7

1-613-236-08861-613-236-1386

[email protected]

OFFICERS

PresidentJean Berthon

President-ElectCatherine Prime

Immediate Past PresidentAndré Lamens

Secretary GeneralYves Guérard

SECTION CHAIRMEN

� ASTINEdward J. Levay

� AFIRJames A. Tilley

� IACARonald M. Walker

COMMITTEE CHAIRPERSONS

� AccreditationMorris W. Chambers

� Advice and AssistanceRobert L. Collett

� AuditAllan Kaufman

� EducationCecil Bykerk

� IASC Employee BenefitsAccounting Standard

Paul N. Thornton

� IASC Insurance AccountingStandards

Sam Gutterman

� Insurance RegulationNigel Masters

� NominationsWalter S. Rugland

� ProfessionalismChris Daykin

� Public StatementsJunzo Tanaka

� Services to Individual MembersMartin Balleer

� Social SecurityAndrew Young

� Supranational RelationsDuncan Ferguson

IPEFMax Lacroix, Delegate

Robert L. Collett, Honorary Trustee

Chris Daykin, Honorary Trustee

ASSOCIATION ACTUARIELLE INTERNATIONALEINTERNATIONAL ACTUARIAL ASSOCIATIONwww.actuaries.org

BULLETINCONTENTS

No 30 X-1999

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http://www.actuaries.org

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1. IMPORTANT DATES

1999

December 10-11Council and Committees

Paris, France

2000

May 22-23Council and Committees

Jerusalem, Israel

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June 4-8IACA Colloquium

Hershey, Pennsylvania, U.S.

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June 20-23AFIR Colloquium

Tromsø, Norway

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September 17-20ASTIN Colloquium

Porto Cervo, Costa Smeralda, Italy

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November 20-21Council and Committees

Ottawa, Canada

2001

MayCouncil and Committees

Portugal

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July 8-11ASTIN Colloquium

Bermuda

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September 6-7AFIR ColloquiumToronto, Canada

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Fourth QuarterCouncil and Committees

Hong Kong

2002

March 15-16 Council and Committees

Cancun, Mexico

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March 17-22International Congress of Actuaries

Cancun, Mexico

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Fourth QuarterCouncil and Committees

Barcelona, Spain

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2. MINUTES OF THE COUNCIL MEETINGAPRIL 18, 1999 - MADRID (SPAIN)

President Jean Berthon opened the meeting by thanking theInstituto de Actuarios Españoles for its support in planningthe IAA meetings.

1. APPROVAL OF AGENDA

Council approved the agenda, as presented.

2. APPROVAL OF PREVIOUS COUNCILMINUTES - CAPE TOWN, NOVEMBER 3, 1998

Council approved the minutes of the IAA Councilmeeting held on November 3, 1998 in Cape Town,South Africa, as presented.

3. VOTING ARRANGEMENTS

The item on voting arrangements was passed over, tobe revisited only if it became necessary to conduct acount of voting rights cast.

4. REPORT OF THE PRESIDENT

President Jean Berthon announced that attendance atthe current meetings was the highest ever: 79 delegatesand 35 companions representing 25 associations, 1Section, 1 institutional member and 20 countries. Hethen reported on the IAA activities since November1998.

1. IASC

The draft comments sent to the IASC on E62: FinancialInstruments: Recognition and Measurement wereapproved by member associations on December 14,1998 as an official IAA public statement.

Draft comments were sent on two further IASCdocuments:

� Exposure Draft E63: Events After the Balance Sheet.The draft comments were submitted February 15,1999 and were sent to the associations in March forapproval; the ballot closes on May 11.

� Position Paper G4+1: Recommendations forAchieving Convergence on the Methods ofAccounting for Business Combinations. The draftcomments were submitted on March 30 and will besent to member associations for a ballot vote.

A third submission to the IASC, Shaping IASC for theFuture, was currently in the developmental stages andwould be sent to associations in May for a ballot vote.

All comments were drafted by the Committee on IASCInsurance Accounting Standards.

2. ICC

Yves Guérard wrote to the International Chamber ofCommerce suggesting closer working relations betweenthe IAA and the ICC on issues of mutual interest. Thesuggestion was well received and a formal rapport willbe established.

Jean Berthon informed Council of Reg Munro�sintention to retire as chairperson of the Social SecurityCommittee effective after the Madrid meetings andindicated that a replacement would be nominated atthe August 29, 1999 Council meeting in Tokyo. Onbehalf of Council, Jean Berthon thanked Reg for therole he played in establishing the committee and wishedhim a good retirement. A replacement was expectedto be proposed at the Tokyo meeting.

5. STATUTES AND INTERNAL REGULATIONS

This item was presented further to discussions held atthe Cape Town meetings.

a. Motion: (four-fifths majority vote required)

That Council approves the following amendment tothe Statutes:

Article 14 Officers (Change term from between annualmeetings.)

The Council shall elect a President, a President-Electand a Secretary General for a term which is thecalendar year.

Proposed by: Curtis HungtintonSeconded by: Kerry Roberts

Carried with 1 abstention

b. Motion: (four-fifths majority vote required)

That Council approves the following amendments tothe Internal Regulations:

i. Section 3.1.1 Attendance (Addition to the firstparagraph)Committee chairpersons are ex-officio members of theCouncil, but do not have voting rights.

ii. Section 3.4 Other Rules Applicable to Committees(Addition of a paragraph)

Committees can recommend the creation ofsubcommittees, subject to Council approval.The relevant Committee shall develop theterms of reference and recommend the

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chairperson, vice-chairperson and members, inconsultation with the Nominations Committee.

iii. Section 7 Correspondents (The existing Section isreplaced in its entirety)

Each Full, Associate and Observer MemberAssociation shall designate a Correspondent. Forpurposes of on-going continuity of relationshipsbetween the Member Associations and the Secretariat,the Correspondent, in addition to the Council delegate,shall be a contact person for the Secretariat with theMember Association. In this context of continuity, theCorrespondent shall be a person other than theDelegate.

iv. Section 8 Liaisons (New section)

Each Full, Associate and Observer MemberAssociation of the IAA shall designate a Liaison. TheLiaison shall be a person other than the CouncilDelegate, but may serve as the Alternate Delegate toCouncil.

Liaisons are the principal link between theInternational Actuarial Association and its individualmembers.

Proposed by: Martin BalleerSeconded by: Peter Morse

Carried unanimously

6. LIAISONS

Martin Balleer, chairperson of the Committee forServices to Individual Members, presented the proposalto create a new contact point within associations called�Liaisons� for the purpose of instituting a formalcommunication method between the associations andthe individual members.

The Liaison would normally be a fully qualified actuaryand would be selected for his interest in correspondingwith actuaries from other countries and willingness tocarry out the duties described in the following jobdescription.

a) Motion: (simple majority vote required)

That Council approves the following job descriptionfor Liaisons according to Section 8 (Liaisons) of theInternal Regulations.

� To stimulate, within his or her own Association,interest in international meetings and exchanges ofinformation, and to represent relevant views ofindividual members to the Secretariat.

� To liaise with the Secretariat in Ottawa to establishan appropriate system of communication. Thisshould be e-mail or, if no e-mail link can beestablished, fax or, failing that, mail. However, theSecretariat will be allowed to ask for a contributionto the cost of communication if it is very significantlyhigher than the average cost for all MemberAssociations.

� To receive messages designated for all individualmembers and to ensure that these are forwardedpromptly to every individual member within his orher Association.

� For International Congresses, to encourage thesubmission of scientific papers and to advise, whenappropriate, on the standard of paper required. Tostimulate interest in these Congresses and toencourage participation.

� For other international colloquia and meetingsdesigned for individual members, to encourageparticipation by those with relevant experience orinterests.

� In countries where the meetings of ASTIN and AFIRare not well publicised, to bring these meetings tothe attention of individual members.

� As and when new Sections are formed, to make surethat potentially interested individual members areinformed about these activities.

� Whilst the Bulletin (or its successor) exists, to submitoccasional reports on activities within his or herAssociation, when these activities are judged likelyto be of interest to a broad range of actuariesworldwide.

� To encourage the submission of articles of globalactuarial interest to the Bulletin (or its successor).

� To conduct, at the invitation of the Committee forServices to Individual Members or otherwise,surveys of individual members designed to determinehow such services could be improved. Moregenerally, to forward pertinent comments receivedon these services to the Secretariat.

� To carry out any other actions which, in the opinionof the Liaison or his or her Association, help to drawattention to the benefits of individual membershipof the International Actuarial Association, inparticular for those who were not members beforeJune 1998, and which generally maintain the world-wide fellowship created over the past hundred years.

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The name of the Liaison shall be forwarded to andrecorded by the Secretariat in Ottawa.

When, under Article 6 of the Statutes, Council grantsindividual membership to persons who are notmembers of Associations entitled to appoint Liaisons,the Committee for Services to Individual Members willmake an appropriate arrangement for communicationsintended for individual members to be sent to them.

Proposed by: Vince AmorosoSeconded by: Edward Levay

Carried unanimously

b) Motion: (simple majority vote required)

That the Council adopts the following transitionalarrangement:

When there was a �National Liaison� in office in June1998, and no new name is submitted by an Association,the Committee for Services to Individual Members andthe Secretariat shall be entitled to assume that theformer National Correspondent will undertake all theduties of a Liaison.

Proposed by: Paul TruyensSeconded by: Bob Anker


7. COUNCIL MEETING - DECEMBER 11, 1999 -PARIS FRANCE

Motion: (simple majority vote required)

That Council approves shortening the time period ofnotice for the December 11, 1999 Council meeting inParis, France from 90 days to 60 days.

Proposed by: Peter MorseSeconded by: Duncan Ferguson

Carried unanimously

8. APPOINTMENTS RECOMMENDED BY THENOMINATIONS COMMITTEE

Walt Rugland, Chairperson of the NominationsCommittee, presented the following nominations forapproval.


That Council approves the appointment of RobertCollett, USA, as Chairperson of the Advice andAssistance Committee.

That Council approves the appointment of BruceMaxwell, Ireland, as Vice-Chairperson of the Adviceand Assistance Committee.

That Council approves the appointment of AllanKaufman, USA, as Chairperson of the AuditCommittee.

That Council approves the appointment of StuartLeckie, Hong Kong, as Chairperson of the ChinaSubcommittee.

That Council approves the appointment of CatherinePrime, Australia, as Vice-Chairperson of the ChinaSubcommittee.

That Council approves the appointment of FrancisRuygt, Netherlands, as Vice-Chairperson of the IASCInsurance Accounting Standards Committee.

That Council approves the appointments of HansBühlmann, Switzerland, and Isao Hayashi, Japan, asCo-Vice-Chairpersons of the Committee for Servicesto Individual Members.

That all appointments become effective at theconclusion of the April 18, 1999 Council meeting.

Proposed by: Walt RuglandSeconded by: Curtis Huntington

Carried unanimously

9. ROUTINE COMMITTEE APPOINTMENTS


That Council confirms the following committeeappointments:

Accreditation:David Knox, Institute of Actuaries of Australia

Advice and Assistance:Ibrahim Muhanna, Cyprus Association of ActuariesKerry Roberts, Institute of Actuaries of Australia

Audit:Katsunori Inoguchi, Institute of Actuaries of Japan

Education:Clare Bellis, Institute of Actuaries of AustraliaCurtis Huntington, American Society of PensionActuaries

Insurance Regulation:Morris W. Chambers, Canadian Institute of ActuariesRainer Fürhaupter, Deutsche Aktuarvereinigung e.V.Tom Karp, Institute of Actuaries of Australia

IASC Employee Benefits Accounting StandardJobert B. Koomans, Het Actuarieel Genootschap

IASC Insurance Accounting Standards:Eckhard Hütter, Deutsche Aktuarvereinigung e.V.

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Public Statements:Rod Atfield, Institute of Actuaries of AustraliaNorbert Heinen, Deutsche Aktuarvereinigung e.V.

Social Security:Vince Amoroso, Conference of Consulting ActuariesKlaus Heubeck, Deutsche Aktuarvereinigung e.V.Jan B. Kuné, Het Actuarieel Genootschap

Services for Individual Members:Edward Levay, Chairman of ASTINJames Tilley, Chairman of AFIR

Proposed by: Edward LevaySeconded by: Walt Rugland

Carried unanimously

10. REPORT ON REGISTRATION OF THE IAAUNDER SWISS LAW

Yves Guérard reported that the Secretariat had receivedverbal confirmation that the application was approved;the written confirmation was still pending.

11. SUPRANATIONAL RELATIONSCOMMITTEE

Walt Rugland reported on the NominationsCommittee�s review and recommendation for Councilapproval of the proposed terms of reference for theSupranational Relations Committee, as follows.

Motion: (two-thirds majority vote required)

That Council approves the creation of a SupranationalRelations Committee with the following terms ofreference, subject to the recommendation of theNominations Committee at its April 17, 1999 meeting:

� To actively promote a higher profile for the actuarialprofession on the international scene and its activeparticipation in all areas where actuarial expertisecan be drawn upon.

� To seek the recognition of a proper status for theIAA by the relevant supranational organizations andfocus on establishing and maintaining contacts withthese supranational organizations.

� To identify global or international issues of interestto actuaries and refer substantive issues to the IAACouncil, its President or its appropriate Committeein a timely manner.

� To monitor the relevant Internet Web sites, recruitinternational institutional members, encourage thepublication in supranational media of articles byactuaries and generally take those actions deemedbeneficial to the actuarial profession.

� To provide advice and support to the President orother Officer of the IAA with regards torepresentations and meetings with the leaders of thesupranational organizations.

� With due regard for subsidiarity, to liaise withMember Associations, propose appropriateinitiatives, ensure continuity in the actions of the IAAand diligent follow up of Council decisions.

� To develop a mode of operation appropriate to itsspecific mandate in order to maximize its flexibilityand its capacity to adapt to a rapidly changinginternational context.

Proposed by: Walt RuglandSeconded by: Peter Morse

Carried Unanimously

Max Lacroix recommended the following correctionto paragraph 2 of the French text �...à faire connaîtrel�AAI de manière appropriée ...�.

12. PUBLIC STATEMENTS COMMITTEE

Walt Rugland reported that the Nominations Committeehad reviewed and supported the approval of revisedterms of reference for the Public Statements Committee,as follows.


That Council approves the following revised terms ofreference for the Public Statements Committee:

� To regularly review, and update as necessary, theGuidelines for Making Public Statements on Behalfof the IAA.

� To make a definitive decision with respect to the finaltext of a draft public statement in instances wherethe relevant committee is unable to develop asatisfactory statement or to reconcile differencesbetween member associations.

� Once an issue has been identified from inside oroutside the IAA, a member of the IAA Council willdiscuss it with the IAA officers and the chairpersonof the Committee on Public Statements who willdecide jointly whether to proceed.


Carried

The word �jointly� was added to the last bullet. It wasnoted that this addition could be approved without afurther three month exposure for the following reasons:

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it was in conformity with the French text and itconstituted a clarification rather than a substantialchange.

In response to a query concerning the desirability ofretaining the Committee in spite of its inactivity, theNominations Committee had concluded that, for thetime being, it was important to maintain an independentcommittee to review public statements issued by theIAA. The need for the committee could always berevisited at a later date.

13. ACCREDITATION COMMITTEE

Walt Rugland presented the revised terms of referencefor the Accreditation Committee, as recommended bythe Nominations Committee.


That Council approves the following revised terms ofreference for the Accreditation Committee:

� To examine applications for Full Membership orAssociate Membership, and to bringrecommendations forward to Council on a timelybasis, including specific situations where memberassociations do not maintain compliance with therequirements of membership.

� To review and implement the rules proposed by theCommittee for Services to Individual Members forthe accreditation of individual members.


Carried Unanimously

On the recommendation of Max Lacroix, it was agreedthat the word �grande� would be removed from point12 of the French text, and that the sentence would read�...dès qu�une question est identifiée...�.

14. COMMITTEE FOR SERVICES TOINDIVIDUAL MEMBERS

Walt Rugland presented the proposed terms of referencefor the Committee for Services to Individual Members,as recommended by the Nominations Committee.


That Council approves the following terms of referencefor the Committee for Services to Individual Members:

� To promote the interests of individual memberswithin the IAA.

� To set strategic direction, policies and priorities ofthe IAA for individual members (with the sanctionof Council).

� To establish (with the sanction of Council) andpromote activities and services within the IAA whichare of benefit to individual members.

� To facilitate communications amongst interestedindividual members.

� To provide a forum for worldwide promotion,coordination, discussion and dissemination ofactuarial research to which individual members haveaccess.

� To encourage the participation of individualmembers in IAA sponsored activities.

� To administer funds designated for the benefit ofindividual members.

� To report on a regular basis to Council on theperceived value of existing services for individualmembers.

� To support the existing Sections and to formulateand update criteria (with the sanction of Council)for establishment of new Sections.

� To oversee activity of Liaisons and others relativeto distribution of information about relevant IAAactivities and forthcoming events.

Proposed by: Walt RuglandSeconded by: Peter Morse


15. CHINA SUBCOMMITTEE OF THE ADVICEAND ASSISTANCE COMMITTEE

Walt Rugland informed Council that the NominationsCommittee had reviewed the proposed terms andrecommended their approval.


That Council approves the following terms of referencefor the China Subcommittee of the Advice andAssistance Committee, subject to the recommendationof the Nominations Committee at its April 17, 1999meeting.

� To be responsible for China initiatives of the IAAand for liaison with the actuarial profession in Chinaduring its formative stages.

� To initiate, oversee, and encourage China-relatedactivities, which support the policies of the IAA.

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� To work with IAA Member Associations and theircorresponding committees and task forces to promotethe coordination and the harmonisation of thecontributions of each entity.

� To advise the IAA of opportunities in China andneeds of the Chinese actuarial community.

� To carry out its responsibilities through the A&ACommittee and to recommend China policy to theIAA.

Proposed by: Walt RuglandSeconded by: Bob Collett

Carried

In accordance with a recommendation made by theA&A Committee at its meeting the previous day, ChrisDaykin suggested that, for external purposes, thesubcommittee be referred to as a �committee� of theIAA.

16. INSTITUTIONAL MEMBERS

a) International Accounting Standards Committee(IASC)


That Council approves the appointment of SamGutterman as the IAA representative to the IASCSteering Committee on Discounting.

Proposed by: Jim KehoeSeconded by: Peter Morse

Carried unanimously

Council was informed that the IASC had appointedSir Bryan Carsberg as its representative to the IAACouncil.

b) International Social Security Association (ISSA)

Council was informed that the ISSA had appointedChris Daykin as its representative to the IAA Council.

17. SECTION

Martin Balleer, Chairperson of the Committee forServices to Individual Members (CSIM), remindedCouncil that the possibility of appointing IACA as aSection of the IAA was first discussed at the meetingin Cape Town. At its meeting earlier in the day, theCSIM reviewed the proposed criteria for the admissionof sections and concluded that IACA fulfilled theproposed criteria. In this respect, he proposed thefollowing motion.


That Council approves the application of theInternational Association of Consulting Actuaries(IACA) as a Section of the IAA, subject to therecommendation of the Committee for Services toIndividual Members at its meeting of April 18, 1999.

Proposed by: Martin BalleerSeconded by: Vince Amoroso


Although the criteria for the creation of sections wouldonly be approved by Council at the Tokyo meeting,Council agreed that IACA could be admitted at thismeeting based on the fact that it met the proposedcriteria.

Paul Thornton advised Council that IACA hadamended its constitution in order to become a sectionof the IAA. The next IACA colloquium would takeplace from June 4-8, 2000 in Hershey, Pennsylvania.All members of the IAA would be entitled to becomemembers of IACA upon the payment of dues, currently$25 U.S.

18. FINANCES

Yves Guérard presented, for Council approval, theaudited statements for the IAA and the former IFAAfor the period ending June 30, 1998. In particular, hedrew attention to the administrative consolidation,which was not audited because of time and cost factors.He pointed out, however, that the figures in theconsolidated statements were taken from the auditedstatements.


That Council accepts the audited financial statementsof the former International Forum of ActuarialAssociations for the year ended June 30, 1998.


That Council accepts the audited financial statementsof the International Actuarial Association for theoperations in Belgium for the year ended June 30,1998.


That Council accepts the audited financial statementsof the International Actuarial Association for theoperations in Canada for the year ended June 30, 1998.


That Council accepts the consolidated financialstatements of the International Actuarial Associationas of July 1, 1998.

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Proposed by: Vince AmorosoSeconded by: Peter Morse

Carried unanimously

19. INFORMATION REPORTS

a) Accreditation Committee

Mo Chambers reported on the meeting of theAccreditation Committee earlier in the day.

� The first hour of the meeting was held jointly withthe Education Committee to discuss how the twocommittees would coordinate the education/accreditation issue. A proposal on the future rolesof the two committees would be presented to Councilin the coming months, with the intent that theEducation Committee continue its role as reviewerof education requirements.

� A second confirmation form was sent in December1998. This second attempt at obtainingconfirmations was successful. The forms of onlytwo associations were outstanding for whichreminders would be sent.

� The Committee was in need of additional membersand associations not represented on the committeewere invited to nominate a representative.

� Mo Chambers urged association representatives toensure that their association�s correspondent andliaison were aware of their respective roles.

� The committee reviewed the application for FullMember status from the Japanese Society of CertifiedPension Actuaries (JSPCA) and concluded that theJSCPA met the membership criteria and would berecommended for Council approval at the Tokyomeeting. On behalf of the IAJ, Mr. Nishibe expressedsupport for the approval of the JSCPA application.

b) Committee on Advice and Assistance and IPEF

Bob Collett reported on the committee activities, asfollows.

� He thanked Council for the approval of the creationof the China Subcommittee and the appointment ofits chairperson. The next step will be to fill out themembership of the subcommittee with representationfrom insurance, employee benefits and healthcare.He invited Council members to send theirsuggestions to either himself or to Walt Rugland,chairperson of the Nominations Committee. The firstmeeting of the subcommittee was scheduled to takeplace in Tokyo, therefore there was an urgent needto appoint provisional members as soon as possible.

� The IPEF was organizing a first internationalprofessional meeting of leaders of the actuarialprofession in the African region to take place inAccra, Ghana in September 1999. The A&ACommittee endorsed in principle the use of IPEFfunds in the amount of $40,000 as appropriate forthe Ghana project.

� Chris Daykin had revised the former IPEF brochureto reflect the IAA restructure and to expand its usebeyond distribution at IPEF meetings. The intentwas to publish a limited number of brochures fordistribution at IPEF meetings and also to make itavailable on the Web Site.

� The Committee received a draft of an informationkit developed by Ibrahim Muhanna to assist emergingassociations with the establishment of theirassociation. The committee would review the kitmore closely before starting distribution.

� The next steps for the Committee included definingthe terms of reference for the IPEF, firming up andfinalizing the publicly disclosed financials for IPEF,and discussing with the leadership how to raise fundsinside the profession, and possibly outside theprofession, for IPEF activities. Max Lacroixindicated that, for reasons of independence of theprofession, he would refuse contributions fromprivate entities.

� Max Lacroix paid tribute to the substantial voluntarycontributions from Woodrow Milliman forfellowships, i.e., the Sidney Benjamin Fellowship,and expressed the desire that other major companieswould follow the lead. He expressed reservationsabout soliciting financing from outside the professionand indicated he would raise the issue in theappropriate forum.

c) Education Committee

Cecil Bykerk reported on the current activities of theEducation Committee.

� The committee�s primary activity at this time wasthe development of a lengthy questionnaire, to bereviewed by the Accreditation Committee, on thegeneral process the different organisations follow inthe accreditation of their members and the specificsabout topic coverage and those areas which gobeyond the IAA syllabus. Initially, the questionnairewould be circulated to member organisationsrepresented on the Education Committee. Thetimeframe for the questionnaire was as follows:

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distribution to Education Committee members onMay 15; deadline for responding set at July 1;summary of responses prepared by August 1 and areport on initial impressions available at the Tokyomeeting. After possible revisions, the next versionwould be sent to all member organisations, hopefullyon September 15, with an expected response deadlineof November 1; a summary expectation of December1; followed by a report and discussion at the Parismeeting in December.

The objective of the questionnaire was twofold.Firstly, it would allow member organisations to viewtheir relative position with respect to the IAAsyllabus and indicate what changes they might needto make before the year 2005 (the timeframe formember organisations to come into compliance withthe education requirements). The second objectivewas to give the Education Committee a chance toassess if there were any holes that it did not observeat the time of making recommendations to Councilfor the approval of the syllabus.

The committee would do everything possible tofollow-up with associations that did not completethe questionnaire, bearing in mind that it was notcompulsory at this stage.

� The Committee was also developing a CPDquestionnaire.

� Cecil Bykerk voiced his concern over the lack ofinvolvement in the Education Committee frommember associations which were primarilydependent on university based education. Heencouraged delegates whose association was in thiscategory to appoint someone and, those who had arepresentative, to ensure they actively participatedin the work of the committee. The committeeintended to present, within the next 6-12 months, arecommendation for a change from its original termsof reference which focused on the development ofthe syllabus.

d) Nominations Committee

Walt Rugland reported on the Nominations Committeemeeting of April 17.

� Professionalism Committee

Some months ago, the IASC interface committeeraised the need for the IAA to address the concernsof international users of actuarial services, both withrespect to accounting and insurance regulation. Inresponse to this concern, the Nominations

Committee recommended the creation of aprofessionalism committee and drafted terms ofreference which were circulated to all delegatespresent. Walt Rugland reviewed the proposedfour areas of activity and explained how thecommittee might work. He stressed the importancefor the IAA to have such a committee and indicatedthat the creation of the committee should beconsidered with respect to the fundamental purposesof the IAA: recognizing the role of the actuaryworldwide while at the same time recognizing theissue of subsidiarity with respect to the sovereigntyof member organisations. On the one hand the IAArecognizes sovereignty, and on the other, theprofession�s future role will be significantlyinfluenced by the credibility the professionworldwide can bring to the international standardsetters. He noted the importance for memberassociations to consider seriously the draft terms ofreference and to forward their comments to theSecretariat by May 20. This timing would allow theNominations Committee time to prepare arecommendation for Council approval in time forthe release of the Tokyo agenda on May 28. A two-third majority vote will be required to establish thecommittee. As suggested by Curtis Huntington, itwas agreed to activate the discussion group for theNominations Committee to allow for debate of theproposal on the site.

Paul McCrossan voiced his support for theestablishment of the committee and informedCouncil that it was expected that the IASC issuepaper on insurance accounting would be publishedin August 1999 with a comment deadline of theyear-end. One of the issues which would beraised was whether actuaries were prepared to haveinternational standards corresponding to theaccounting standards. Without the formation ofthe professionalism committee in Tokyo, the IAAwould probably be in a position were it could notrespond. It was therefore important that theprofessionalism committee be established as soonas possible.

Walt Rugland hoped that within a month it wouldbe evident whether there was consensus to proceedor not with the creation of the committee.

Carla Angela cautioned that the terms of referencenot conflict or overlap with the terms of existingcommittees.

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Fraser Low voiced his concern that thecomment period for member organisations wasvery short and may not allow certainganisations to fully discuss the issue.

Catherine Prime pointed out that this was not theIAA�s timetable, but because it was an urgent issue,the IAA had to proceed with it. She urged delegatesto ask their association to consider the proposalwithin the time available. Demands were beingplaced on the IAA and it had to respond to them.

e) IASC Employee Benefits Standard Committee

Paul Thornton reported on the meeting of the IASCEmployee Benefits Standard Committee earlier in theday, its first meeting since January 1998.

� The committee was monitoring, and would continueto monitor via discussion groups, the developmentswith respect to experience using IAS 19.

� The committee discussed the possibility of the IAAdeveloping actuarial standards, particularly inrelation to the use of international accountingstandards. A few years ago, the committee suggestedto the IASC that it would explore developing aframework standard for actuaries, using IAS 19. Thecommittee was not encouraged to conduct that workbecause the IASC had a very short timeline forfinalizing IAS 19. However, the committeesubsequently received some communication from theIASC strongly encouraging the development ofinternational actuarial standards.

� The third part of the meeting was shared with theIASC Insurance Accounting Standards Committee.The two committees looked at a number of questionsarising from work done in the IASC Committee onthe discounting project. Paul Thornton indicatedthat Sam Gutterman would elaborate in hiscommittee report.

f) IASC Insurance Accounting StandardsCommittee

Sam Gutterman reported on the committee�s meetingsof the past day and a half.

� The first part of the meeting was held jointly withthe Committee on Insurance Regulation due to thecommonality of certain issues, in particular their jointconcern with regards to accounting for generalpurposes and regulatory statements. In that area,they are encouraging a consistent basis of accountingfor both general purposes and regulatory accounting.

The committees have been attempting to serve asfacilitators with regards to communications betweenthe IASC and the IAIS.

Both committees are also concerned with the role ofthe actuary in general purposes and regulatoryaccounting and are attempting to enhance, encourageand potentially extend the role of the actuary in theseareas.

In view of their shared concerns, the committeesadopted the following joint motion:

�Recommend the earliest possible development ofIAA standards of practice for insurance and similarproducts in the application of the internationalaccounting standards.�

The motion had two purposes: to respond to theprofession�s external audiences and increase itscredibility; and, to increase the fact that externalaudiences, including accountants and regulators,should be able to put more trust in actuarial activitiesand services so that actuaries can perform theirservices in an objective manner.

� The committee then met alone for approximately 5-6 hours at which time it discussed the upcomingaccounting insurance standards being developed bythe IASC. Sam Gutterman referred to the President�sreport earlier in the meeting, which provided acomplete summary of the committee�s activities sinceits last meeting. Significant progress was made withthe IASC and the committee was very encouragedby this.

� The committee then addressed the topic ofdiscounting with the Committee on the IASCEmployee Benefits Standard, in view of the relationbetween employee benefits accounting, insuranceaccounting and discounting. This was a significantissue across all actuarial practice areas.

� The committee then identified the following potentialareas for research issues which would be valuablein the IASC discussions:

1. determination of liabilities for banks and insurancecompanies

2. more research on replicating portfolios

3. determination of fair values applicable ininefficient financial markets

No decision was taken as to how research of thesetopics would be pursued or funded.

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g) Insurance Regulation Committee

Dave Hartman reported on behalf of Peter Kuys whowas unable to attend the Council, but was present forthe Committee meeting the previous day.

The primary item of discussion was a presentation tobe made in Berlin on June 3 by a small delegation ofthe IAA to a small delegation of the IAIS. The IAISexpressed an interest in working with actuaries and thepurpose of the meeting was to demonstrate whatactuaries had been doing on the insurance side and howthey could be of assistance to the regulators. The IAArepresentatives would include Paul McCrossan andSam Gutterman.

Dave Hartman suggested that the summary reportsprovided by committees were useful and should becirculated more widely. It was recommended that anextract from the Council minutes be posted to the site.

h) Public Statements Committee

The committee did not meet, therefore no report wasmade.

i) Committee for Services to Individual Members

Martin Balleer reported on the committee�s meeting ofearlier in the day.

� The committee confirmed its support for the pointson the Council agenda sponsored by the committee.

� Luis Huerta provided a report on the organizationof the Cancun 2002 Congress.

� The rules for the accreditation of individual memberswere discussed in order to find a solution forthose who did not have a chance to integrate in theactivities of the IAA because they were not FQA�sof a member association. The committee expectedto have a concrete proposal for the next Councilmeeting.

� The committee discussed its composition which wasslightly different from that of other committeesbecause it was created to represent individualmembers rather than associations. The committeeintends to present a proposal either at the nextmeeting or in Paris.

� The committee discussed the proposed criteria forthe creation of sections which will be presented forCouncil�s approval in Tokyo.

� The committee discussed the future of the bulletinand the related costs. Keeping in mind the costs of

producing the bulletin, the committee recognized theincreasing need to make use of the availability ofelectronic services.

j) Social Security Committee

Reg Munro reported on the committee�s deliberationsat its meeting the previous day.

The Committee made good progress with its documenton standards without once referring to the wording ofthe current draft. Most of the meeting was spentdebating the memorandum�s structure and appropriatecontent. The revised text would probably form the bulkof what should be an excellent meeting in Tokyo.

The current thinking of the Committee was that thememorandum should spell out in some detail currentbest actuarial practice. In recognizing that this fullstandard was not necessarily appropriate, or affordable,for all countries, the recommendation would be thatnot all sections be mandatory.

Other developments include:

� An electronic discussion group would be used tofurther explore some of the issues raised in theCommittee meeting.

� A web site knowledge database would be set up withlinks to other sites.

� Three committee members had volunteered to worktowards the formation of an IAA pension section.

� Two committee members had volunteered to look atthe possibilities of organizing an InternationalSymposium on Social Security, possibly in the year2000.

Although the Committee had only met three times, itwas well-established and would be effective in its work.

k) International Social Security Association (ISSA)Report

Chris Daykin reported on the upcoming activities ofthe ISSA as follows:

� At the end of April, ISSA would be holding the firsttraining seminar on actuarial methods for socialsecurity for French speaking actuaries in the Africanregion.

� A further seminar of the social security actuaries andstatisticians was planned for October 25-27 in Berlin.The seminar would address topics such as actuarialmodeling, actuarial aspects of pension reforms andoutput indicators for healthcare systems.

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� The next international conference for social securityactuaries and statisticians would be held in Ottawathe week beginning September 11, 2000. ChrisDaykin suggested that the conference could be hostedwith the social security symposium also planned forOttawa in September 2000 in order to effect greatercooperation and coordination between the IAA andISSA in this field.

l) International Actuarial Standards Committee(IASC) Report

Paul McCrossan summarized the evolution of therelationship between the IAA and the IASC and advisedCouncil that he was encouraged by the developmentsfor the future.

m) ASTIN Report

Edward Levay, Chairman of ASTIN, reported onthe ASTIN activities since the last IAA Councilmeeting of 3rd November 1998, in Cape Town.

1. The Second Announcement to the XXXthInternational ASTIN Colloquium, 22-25 August1999, in Tokyo, Japan, was sent to ASTINmembers during February 1999. ASTINextended its thanks to the Japanese colleagues fortheir efficiency in the planning of thedetailed and exciting program and the considerationof differential fees between ordinary participants,and those from University lecturing participants.He strongly recommended active participation inthe ASTIN Colloquium which would, for thesecond time, be combined with AFIR, and runduring the week preceding the IAA CouncilMeeting.

2. Prof. Jean H. Lemaire, Vice-Chairman of ASTIN,heading the sub-committee for assistance to theActuarially emerging countries, had organised anASTIN seminar in Zagreb during May 1999, whichwould be run in Croatian by a Ph.D. student fromhis department at the Wharton School, Universityof Pennsylvania.

The ASTIN bulletin would be regularly sent to mostof the recipients of the ASTIN �book donationoperation�. So far 70 have expressed an interestin the Bulletin.

3. On 17th March 1999, an Editorial Board Meetingof the ASTIN bulletin was held in Zurich. Prof.Paul Embrechts, Editor, had indicated that a few

changes would be made from volume 29(1) which,inter-alia, would officially include AFIR. He addedthat papers were flowing nicely (and increasingly)and the editors would continue to push for paperson emerging issues.

4. During the ICA 2002 in Cancun, an InternationalASTIN colloquium would be held during the lastthree days of the congress, and ASTIN wasexpecting the detailed differential fees,accommodation and facilities to be advised by theICA organising committee.

5. The organisation of the XXXIst InternationalASTIN Colloquium, under the auspices of Prof.Carla Angela Mormino, was in progress. TheASTIN 2000 would be held in Porto Cervo, CostaSmeralda, from Sunday 17th September 2000 toThursday 21st . The scientific topics would be:

1. Alternative Models to the Probability of Ruin inRisk Theory.

2. Modelling Catastrophic Risks.

3. Technical Management of Health Insurance.

4. Others - Miscellaneous subjects not classifiedunder topics 1-3.

Round Table Session: Estimating the LossReserves using Various Methods and Models: AComparative Analysis.

Max Lacroix reported that, when it accepted toorganize the ASTIN colloquium in Italy, the Istitutohad undertaken to contribute a sum of no less than5000 Euros to facilitate the attendance of youngactuaries. Max Lacroix expressed the desire thatCouncil support the idea that colloquium sponsorsbe required to provide funds for the benefit ofyoung actuaries. It was suggested that thesubcommittee for assistance to actuarial emergingassociations coordinate with the IAA�s A&ACommittee on this issue.

20. 2002 CONGRESS


That Council approves the Regulations for the 2002Congress in Cancun, Mexico, as presented.

Proposed by: Martin BalleerSeconded by: Curtis Huntington

Carried unanimously

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21. OTHER BUSINESS - Discussion Only

� August 1999 Tokyo Meetings

Masakatsu Nishibe circulated the programfor the meetings in Tokyo in August 1999 and briefeddelegates on the events (ASTIN Colloquium:August 22-25; AFIR Colloquium: August 24-27;IAA Committees and Council: August 28-29; IAJCentennial Convention and Annual Meeting:August 29-31). The information is alsoavailable on the IAJ Web Site at http://www.iaj-web.or.jp/.

� ICA 2002 Congress - Cancun

Luis Huerta, Chairman of the ICA 2002 Congress,reported that the design of the program was nowfinalized. The program will be flexible and willincorporate the ASTIN and AFIR colloquia.Participants will be given the opportunity to attendeither half the week or the entire week. Luis indicatedthat he anticipated making a full submission at theTokyo Council meeting.

� Colloquium/Symposium

Peter Morse advised delegates that the CanadianInstitute of Actuaries was hosting the AFIRColloquium in September 2001 in Toronto, Canadaas well as sponsoring a symposium on aging, also inToronto, on May 1-2, 2000. He circulated the callfor paper and encouraged delegates to distribute itwithin their individual associations. Additionalinformation would be made available in Tokyo orParis.

� May 2003 Council/Committee Meetings

Kerry Roberts reminded Council of the Institute ofActuaries of Australia�s invitation to meet inAustralia in May 2003. The Institute wouldappreciate a response by the end of the year, ifpossible.

� Miscellaneous

Chris Daykin raised the question of how the IAAwould handle issues which might arise in the publicinterest arena requiring research or furtherinvestigation, but which did not fit into the mandateof any existing IAA committee. He mentioned twoareas which had arisen lately which seemed worthyof international research: the aging population andgenetics.

� Section Colloquium - 2004

Félix Arias reminded delegates that the colloquiawould be held in Barcelona in 2004.

There being no further business to discuss, themeeting adjourned at 17:00.

22. NEXT MEETING

The next meeting of the Council will take place onAugust 29, 1999 in Tokyo, Japan.

These minutes were approved by Council in Tokyo,Japan on August 29, 1999.

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COUNCIL ATTENDANCE LISTMADRID, SPAIN - APRIL 18, 1999

Officers

Jean Berthon PresidentCatherine Prime President-ElectYves Guérard Secretary General

Section Delegate

Edward J. Levay Chairman, ASTIN (forfirst half only)

Committee Chairpersons (ex officio)

Martin Balleer Services for Individual Members

Cecil Bykerk Education

Mo Chambers Accreditation

Bob Collett Advice and Assistance

Sam Gutterman IASC InsuranceAccounting Standards

Allan Kaufman AuditReg Munro Social SecurityWalter Rugland NominationsJunzo Tanaka Public StatementsPaul Thornton IASC Employee

Benefits Accounting Standard

Full and Associate Member Association Delegates

Vince Amoroso Conference of ConsultingActuaries

Carla Angela Istituto Italiano degliAttuari

Robert Anker Casualty Actuarial Society

Félix Arias Col.legi d�Actuaris de Catalunya

Bob Collett Society of Actuaries

Duncan Ferguson Institute of Actuaries

Norbert Heinen Deutsche Aktuarvereinigung e.V.

Luis Huerta Colegio Nacional de ActuariosA. C.

Curtis Huntington American Society of Pension

Actuaries

Allan Kaufman American Academy of Actuaries

James Kehoe Society of Actuaries in Ireland

Edward Levay Israel Association of Actuaries(for first half only)

Pål Lillevold Den Norske Aktuarforening

Fulco Lock Association Suisse des Actuaires

Fraser Low Faculty of Actuaries

Peter Morse Canadian Institute of Actuaries

Ibrahim Muhanna Cyprus Association of Actuaries

Masakatsu Nishibe Institute of Actuaries of Japan

Kerry Roberts Institute of Actuaries of Australia

Francis Ruygt Het Actuarieel Genootschap

Tetsuya Tamura Japanese Society of CertifiedPension Actuaries

Paul Truyens Actuarial Society of South Africa

Harry Wide Svenska Aktuarieföreningen

Delegate - International Promotion andEducation Fund (IPEF)

Max Lacroix

Institutional Member Representative

Chris Daykin International Social SecurityAssociation

Other Observers

Howard Bolnick W. James MacGinnitie

Roger Corley Takashi Mitamura

Norman Crowder G. Malcolm Murray

Jeremy Goford Harry Panjer

David Hartman Dennis Polisner

Isao Hayashi Richard Robertson

Katsunori Inoguchi Jürgen Strauß

Paul McCrossan Howard Webb

Staff

Nicole Séguin Executive Director

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3. REPORT ON TOKYO MEETINGS

The Council of the IAA met on August 29, 1999 inTokyo, Japan. A full report on the meeting will be publishedin the April 2000 issue of the Bulletin.

In addition to the Council, the following committees alsomet in Tokyo on August 28 and 29: Accreditation,Advice and Assistance - China, Audit, Education,Executive, IASC Employee Benefits (joint withIASC Insurance), IASC Insurance Accounting Standards,Insurance Regulation, Nominations, Professionalism,Services for Individual Members, and SocialSecurity. The Supranational Relations Committee met

briefly to discuss its terms of reference and prepare for itsfirst official meeting in December 1999 in Paris.

The meetings attracted 68 participants (plus 27spouses) from 20 countries representing 25 associations,1 institutional member and 1 section. One conferencecall participant joined the meeting of one committee. Thedelegates present and voting at the Council meetingrepresented 60% of the total voting rights which,when combined with the mail and electronicballots received, accounted for 63% of the total votingrights.

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4. INTERNATIONAL CONGRESS OFACTUARIES (ICA) 2002 - CANCUN, MEXICO

Property, Health and Social Security insurance shallbe presented during the first half of the week. Thosedealing with Financial Risk, Life and Pensions shallbe presented during the second half.

� Innovative approach on the different session formats.

� Shared sessions between actuarial associations fromthe US, Canada and the IAA. They shall be jointlyresponsible for organizing their correspondingsession.

� Continuing education credits. The purpose of thecongress�s sessions is to fulfill the requirementsnecessary to be validated in the continuing educationprogram of the various actuarial associations.

� The ASTIN colloquium shall be held during thesecond half of the congress. There will also be anAFIR day during the first half of the congress.

� A printed copy the Congress proceedings shall bedistributed to all attendees. In order to increase theflexibility and to facilitate reference, as of the nextcongress, said proceedings shall be delivered in CDROM. However, the printed form shall be availableupon request

� On Wednesday 20, we shall visit Chichén Itzá wherewe will be able to witness the equinox. This is anatural phenomenon in which the sun crosses theplane of the earth�s equator, making night and day ofequal length all over the planet. Every year at thistime, the shadow of a descending serpent is castupon the stairs of Kukulkán�s pyramid. It is a sightworth watching.

We would like to invite you to visit our Web Page, whereyou will find detailed and up-to-date information on theforthcoming congress. You may also find some useful touristinformation about Cancún.

http://www.ica2002.com

Don�t miss out on this great event. Make a note of it inyour calendar!!!

The twenty-seventh InternationalCongress of Actuaries will be held March17 - 22, in the year 2002, in Cancún,

Mexico. It shall be the International Actuarial Association�s(IAA) first congress of the 21st century and of the thirdmillennium.

Every four years, the IAA organizes an international congresswhose objectives are: to establish a means of communicationbetween actuaries from all over the world, to communicatethe new techniques inherent to their professional work, aswell as to share experiences and promote the educationaldevelopment of new generations. The last of these eventswas held in Birmingham, England, in 1998.

The International Congress of Actuaries brings togetherthousands of members of the actuarial community from allover the world. At Cancún 2002, they will enjoy a vastscientific program that will cover topics regarding the variousactuarial areas of interest and which will be presented atplenary and simultaneous sessions.

Aside from the academic part, various social events areorganized during the IAA congresses thus allowing theintegration of the participants through cultural tours, cocktailparties and typical luncheons. This time around they willtake place in the setting of Cancún�s unparalleled splendourand beauty and the historical grandeur of pre-HispanicMexico.

The various papers may be submitted in any of the officiallanguages of the Congress: Spanish, English, French andGerman.

Some of the special features and innovations forICA 2002 are:

� Attendance options. The duration of the congressesis usually one week, however, at Cancun it will bepossible to choose from various shorter plans thatwill allow the participants to attend only the eventsthat deal with specific topics related to theirspecialty. This means that you can attend the wholeweek or either the first or second half of the week(Sunday through Wednesday or Wednesday throughSaturday).

� Daily topics. The topics of the scientific programshall be dealt with in a daily manner. This way onemay attend only the part that one is interested in.Tentatively, the topics dealing with General,

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5. NEWS FROM ASTIN

Actuarial associations and universities inemerging countries

ASTIN has recently donated actuarial books to 120universities and actuarial associations from actuariallyemerging countries. The list of recipients has been updatedand increased. The current mailing list follows. Pleasee-mail to Jean Lemaire, ASTIN Vice-Chairman, any updateon addresses, as well as suggestions for new names.Jean Lemaire�s e-mail address is

[email protected]

Actuarial Organizations and Universities

1. Mr. Alfred KumeInsurance Institute of AlbaniaActuarial DepartmentRruga DibresTirana, ALBANIA

2. *Professor Lukkan PukaUniversité de TiranaFaculté des Sciences NaturellesDépartement de MathématiquesTirana, ALBANIA� [email protected]

3. *The DirectorBangladesh Insurance Academy53, Mohakhali C/ADhaka - 1212 , BANGLADESH

4. *Professor Gennady MedvedevFaculty of Applied Mathematics andComputer ScienceBelarussian State University4 F. Skorina avenueMinsk, 220050, BELARUS� [email protected]

5. Instituto Brasileiro de Atuaria - IBAc/o Cláudio J.C. NascimentoRua Sào Clemente, 38-7 BotafogoRio de JaneiroCEP-22260-000, BRAZIL

6. *Professor Ricardo LealCEPS COPPEAD/UFRJCaixa Postal 68514CEP 21949-900Rio de Janeiro - RJ, BRAZIL� [email protected]

7. *Emílio Recamonde CapeloCoordinator of the Actuarial Science CourseUniversidade Federal do Ceará - UFCFaculdade De Economia,Administração, AtuáriaE Contabilidade - FEAACAv. da Universidade, 2486Benfica, CEP 60020-180Fortaleza - Ceará, BRAZIL� [email protected]

8. Universidade Federal do RioGrande do Sulc/o José LumertzAv. Paulo Gama 11090046-900Porto Alegre, RS , BRAZIL

9. Pontificia Universidade Católica de São Pauloc/o Wilson VillanovaRua Monte Alegre 984Perdizes, 05014-001Sao Paulo, Sp , BRAZIL

10. Professor Vladimir KaishevLaboratory of Computer StochasticsInstitute of MathematicsBulgarian Academy of SciencesPO Box 3731090 Sofia, BULGARIA

11. Professor Natalia LlievaDept. of Probability Theory & Mathematical StudiesSofia Universitybul. Tzarigradsko shosse 125Block 3, Room 408Sofia 1113, BULGARIA

12. Dr. Yoto YotovAssociate ProfessorD.Tsenov Academy of EconomicsSvishtov2 Chakarov str5250 Svishtov, BULGARIA

13. Dr. Luis FiringuettiInstituto de Matematicas y FisicaUniversidad de TalcaCasilla 721 - Talca, CHILE

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14. *Professor Guido del PinoDepartamento de Probabilidad y EstadisticaFaculdad de MatematicasUniversidad Catolica de ChileCasilla 306, Santiago 22, CHILE

15. *Mr. Li XiaolinInsurance DepartmentCentral University of Finance and Economics39 South College RoadHaidianBeijing 100081 , P.R. CHINA� [email protected]

16. Professor Hanji ShangProfessor of MathematicsDepartment of MathematicsFudan UniversityShanghai, 200433P.R. CHINA

17. *Professor Jiangxiang ZhouInsurance DepartmentHunan College of Fin. & EconomicsChangsha, Hunan, 410079P.R. CHINA� [email protected]

18. Huaiyu KengDepartment of Actuarial ScienceInstitute of Social Insurance StudyMinistry of LaborNo. 17 Huixin XijieChaoyang DistrictBeijingP.R. CHINA

19. *Ms. Xiufang LiDepartment of Risk Management and InsuranceNankai University94 Weijin RoadTianjin, 300071P.R. CHINA

20. Mrs. Lan WuDepartment of Probability & StatisticsPeking UniversityBeijing 100871P.R. CHINA

21. *Cheng ShixueInformation SchoolRenmin University of China175 Hai Dian RoadBeijing 100872P.R. CHINA

22. *Professor Yongjin JinDepartment of StatisticsRenmin University of ChinaBeijing, 100872P.R. CHINA

23. *Professor Jin Liang XuShanghai University of Finance & EconomicsFinancial SchoolInsurance Department777 Guo Ding Road200433, ShanghaiP.R. CHINA

24. *Professor Quian WeiminFaculty of Applied MathematicsTongji University1239 Siping RoadShanghai 200092P.R. CHINA

25. *Professor Wang JinglongEast China Normal University3663 Zhongshan Road NShanghai 200062PR CHINA� [email protected]

26. Professor Gerardo Arango OspinaDpto. Ciencias BasicasUniversidad EAFITCarrera 49 no 7 sur 50Medellin, Colombia� [email protected]

27. *Mr. Juan-Rafael VargasChairperson of the Graduate GroupDepartment of EconomicsUniversity of Costa Rica2060 Montes de Oca, COSTA RICA� [email protected]

28. Mrs. Tatjana Racic-ZlibarSecond Vice PresidentF&R d.o.o.Insurance ConsultingM. Mato�eca 410 000 Zagreb, CROATIA� [email protected]

29. *Dr. sc. Sanja Andrija�evikFaculty of EconomicsUniversity of ZagrebKennedyev trg10000 Zagreb, CROATIA

20

30. *Petr MandlCharles UniversityThe Mathematical Section of the LibraryFaculty of Mathematics and Physics186 00 Praha 8Sokolovská 83, CZECH REPUBLIC

31. *Dr. Jaroslava FeistauerováThe Czech Society of ActuariesMinistry of Labour and Social AffairsNa porícním právu 1128 00 Prague 2, CZECH REPUBLIC

32. Dr. Jitka BöhmováThe Library of the Czech Insurance AssociationNa porici 12115 30 Praha 1, CZECH REPUBLIC

33. *Professor Ing. Jaromir WalterInstitute of Banking and InsurancePrague School of Economics13067 PragueW. Churchill Sq. 4, CZECH REPUBLIC� [email protected]

34. Professor M El Mansoury and Professor F. IbrahimMathematics & Insurance DepartmentCairo UniversityFaculty of CommerceSarwat StreetGiza, CairoEGYPT - Code: 12613

35. *Professor Kalev PärnaInstitute of Mathematical StatisticsUniversity of TartuJ. Liivi 250409 Tartu, ESTONIA� [email protected]

36. *Ms. Anne PirnChief ActuaryLibrary and DocumentationInsurance Supervisory Office(EV Kindlustusinspektsioon)A. Lauteri 510114 Tallinn, ESTONIA� [email protected]

37. *Mr. Ernest Armartey-VondeeSecretary, Actuarial Society of Ghanac/o Actuarial DepartmentSocial Security & National Insurance TrustP.O. Box M149Accra, GHAN (Fax: 233 21 667746)

38. *Dr. Kam C. YuenDepartment of StatisticsThe University of Hong KongPokfulam Road, HONG KONG� [email protected]

39. Dr. Jolán Huszárscient. co-workerInsurance Research GroupUniversity of Economic SciencesH-1087 BudapestKönyves Kálmán Krt. 48-52HUNGARY

40. *Dr. Andras KramliProfessorDepartment of MathematicsJozsef Attila UniversityBolyai InstituteAradi vertanuk tere 1H-6720 Szeged, HUNGARY

41. *Professor Estate Khmaladze/Dr. Guram MiszashviliGeorgian Statistical Association380093 TbilisiREPUBLIC OF GEORGIA� [email protected]

42. *Dr. P. S. Palande MA, PhD, IAS (Retd)DirectorNational Insurance AcademyBalewadi, Baner RoadNIA POPune 411 045, INDIA (Fax: 91 212 381942)

43. Dr. B .S. R. RaoProfessor and HeadDepartment of EconomicsUniversity of Pune1-3 Teachers� QuartersPune-411 007, INDIA

44. *T.K.K. PilaiRegional Manager (Actl.)LIC of IndiaSouthern Zonal OfficeLIC Buildings, Anna SalaiCHENNAI-600 002, INDIA

45. The LibrarianLIC of IndiaCentral OfficeJeevan Bima MargMUMBAI - 400 021, INDIA

21

46. The PrincipalA Bishop Heber CollegePost Box No. 615Tiruchirapalli - 620 017, INDIA� [email protected]

47. *J. GidwaniThe Secretary-GeneralInsurance Institute of IndiaUniversal Insurance Building, 6th floorSir P.M. RoadMUMBAI - 400 001, INDIA

48. *A.V. GanapathyThe PresidentActuarial Society of IndiaJeevan Udyog - 3rd FloorKhadi Bhandar278 D.N. RoadFort Mumbai, 400 001, INDIA(Fax: 91-22-200 67 94)

49. Mr. Neville D. HenryChairmanInsurance College of Jamaica3-3A Richmond AveKingston 10, JAMAICA (West Indies)(Fax: 809-929-6117)

50. *Professor Leslie RobinsonDepartment of Computer ScienceThe University of the West IndiesMona, Kingston 7, JAMAICA (West Indies)

51. *JeonJu Universityc/o Professor Hee-San Yang1200, Hyoja Dong, 3 Ga, Wansan KuJeonJu City, KOREA 560-759� [email protected]

52. Ki-Taig Jung, Ph.D.Professor of InsuranceCollege of Political Science and EconomicsKyung Hee University# 1 Hoiki-Dong, Dongdaemoon-KuSeoul 130-701, KOREA

53. Professor Changsu Ouh, PhD ASAHanyang University396 Beonji Daehak-dongAhnsan, Kyongki-do, S. KOREA

54. Mr. Goan-Hyoung, JoeThe Korean Actuarial Association35-4 Yoido-Dong, Youngdeungpo-GuSeoul, KOREA

55. *Mr. Heung Ryeol, YoonGeneral ManagerKorea Ins. Development InstituteK.F.P.A. Bldg. 35-4Yoido-Dong, Youngdeungpo-KuSeoul, KOREA� www.kidi.co.kr

56. *Sung Kyun Kwan UniversityProfessor Jung Hong Joo53, 3-ga, Myungryun-dong,Chongro-Ku, Seoul, KOREA

57. Keun-Ock Lew, Ph.D.HeadDept. of Insurance and FinanceTaegu UniversityKyoung Book 713-714 , KOREA

58. *Gaida PettereFaculty of Economics[Jevgenis CarkovsMathematical Statistics InstituteInformation Technology DepartmentRiga Technical University1 Kalku StrRiga, LV PDP 1658, LATVIA� [email protected]]

59. *Dr. Gediminas Ra?kauskasAss. Professor of Applied MathematicsDepartment of Applied MathematicsKauno University of TechnologyStudentu 50 - 3031 KaunasLITHUANIA

60. *Dr. Darius KamuntaviiusLithuanian State Insurance CompanyNon Life Insurance DepartmentJ. Basanaviciaus 12-2052737 Vilnius, LITHUANIA

61. Dean Ricardas KudzmaMatematikos FakultetasVilnius UniversitetasNaugarduko 232006 Vilnius, LITHUANIA� [email protected]

62. Professor E. MaksimaitieneProfessor for Financial CreditsUniversity of VilniusSeskines G. 69-372010 Vilnius, LITHUANIA

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63. *Mrs. Maizon OmarThe Malaysian Insurance Institute5 Jalan Sri Semantan SatuDamansara Heights50490 Kuala Lumpur , MALAYSIA

64. *Dr. Shahrir HussinDeanMara Institute of TechnologySchool of Mathematical Sciences and Computing40450 Shah Alam, MALAYSIA� [email protected]

65. *En Hassan KamilActuarial Society of Malaysiac/o Aetna Universal Insurance - SDN BHD16th Floor, Menara Aetna Universal84 Jalan Raja Chulan50200 Kuala Lumpur, MALAYSIA

66. Act. Pedro Pacheco VillagránPresidenteAsociacion Mexicana de Actuarios, A.C.Presidente Mazarik No. 8, Piso 4Col. Boxques de Chapultepec C.P. 11588MEXICO, D.F.

67. Act. Marilupe UgarteExecutive DirectorColegio Nacional de Actuarios, A.C.Patriotismo No. 711, 4ºPisoCol. San Juan Mixcoac03730 MEXICO, D.F.

68. *Act. Jorge Rendón ElizondoInstituto Tecnológico Autónomo de MexicoRío Hondo 1San AngelCP 01000, Mexico, D.F.

69. Act. Camilo ReynaudUniversidad Anahuac del Sur, A.C.Av. de las Torres No. 131Col. Olivar de los Padres01780 MEXICO, D.F.

70. Act. Claudia CarrilloUniversidad Nacional Autonoma de MexicoFacultad de Ciencias, Depto. de MatematicasCircuito Exterior de Cd. Universitaria04510 MEXICO, D.F.

71. Undesi James NdukaIMO State UniversityP.M.B. 2000 Owerri Imo State, NIGERIA� Cititek@alpha,linkserve.com

72. Benjamin A. AdigunLagos University4th Floor, Nigerhouse Annex3/5 Tinubu StreetPO Box 6067Lagos, NIGERIA

73. Mr. Krzysztof JarmuszczakVice RectorUniversity of Insurance and BankingSiedziba l - REKTORAT03-199 Warszawaul. Modliska 51, POLAND

74. *Michal GorskiPZU Zycie S.A.Ul. Grzybowska 80/8200-844 Warsaw, POLAND

75. *Prof. Leslaw GajekVice-Director for Scientific ResearchPolitechnika LódzkaInstytut MatematikiAC Politechnik 1190-924 Lódz, POLAND� [email protected]

76. *Ms. Elzbieta FerensteinInstitute of MathematicsWarsaw University of TechnologyPl. Politechniki 100-661 Warsaw, POLAND� [email protected]

77. *Dr. Wojciech OttoDirector, Actuarial Summer SchoolDepartment of Economics[Mr. Rafal KozlowskiDirector of the Library of the Faculty ofEconomics], Warsaw University , Ul. Dluga 44/5000 - 241 Warsaw, POLAND �[email protected]

78. *Mr. Tudor MoldovanFoundation for Economical ReformsSplaiul Unirii Nr. 45, Bloc M15, Scara C, Ap. 70Bucharest, Sector 3, ROMANIA� [email protected]

79. Dr. Boris AlexeevDepartment of Physical [email protected] State University, Lebedeva str. 9-28428009 Cheboksary, RUSSIAN FEDERATION� [email protected]

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80. *Professor Galina TchernovaSt. Petersburg UniversityDepartment of EconomicsUniversitetskaja nab. 7/9199034 St. PetersburgRUSSIAN FEDERATION� [email protected]

81. *Professor Gennady FalinDepartment of Probability TheoryMechanics-Mathematics FacultyMoscow State UniversityMoscow 119899, RUSSIAN FEDERATION� [email protected]

82. Professor Boris ZilberKemerova State Universityul. Krasnaya 6650043 Kemerovo, RUSSIAN FEDERATION

83. *Professor Gely BasharinDepartment of Probability Theory andMathematical StatisticsPeoples� Friendship UniversityMoldagulovoy St., 16-2-214111 395 Moscow, RUSSIAN FEDERATION

84. Dr. Evgeniy V. ChepurinDirector of Actuarial School of the MSUFaculty of Mechanics and MathematicsMoscow State UniversityVorobjevy GoryMoscow 119899RUSSIAN FEDERATION� [email protected]

85. Professor Semyen SpivakHead of the Chair of Mathematical ModelingDept. of Mathematical ModellingBashkir State UniversityFrunze str. 32Ufa, 450074RUSSIAN FEDERATION

86. Professor Sergei PergamenshchikovKievskaya str. 62/a-14634041 TomskRUSSIAN FEDERATION

87. *Viatcheslav SherstnevActuary, Centre for Actuarial and Financial StudiesGubkina str., 8Moscow 117966RUSSIAN FEDERATION� [email protected]

88. Professor Victor VdovinSiberian Transport UniversityKovalchuk 191Nobosibirsk 630049, RUSSIAN FEDERATION� [email protected]

89. Tatyana Y GvarlianiInformation Research Scientific Insurance CentreKhabarovsk State Academy of Economy and Law134 Tikhokeanskaya St., Off. 422Khabarovsk, 680035 , RUSSIAN FEDERATION

90. *Professor Alla GryaznovaRectorLibrary and Information CenterThe Finance AcademyLeningradskly Prospekt 49125468 Moscow, RUSSIAN FEDERATION

91. Professor Valery N. BaskakovActuarial and Financial Mathematics DepartmentMoscow State Technical University (of N EBauman), Information Analytical Center2 Naumanskaya ul. 5107005 Moscow, RUSSIAN FEDERATION

92. Professor Alexei S Shvedovc/o Mrs. Valentina I PentelevaHigher School of Economics4/2 M. Gnezdnikovsky Per.103009 Moscow, RUSSIAN FEDERATION

93. *Dr. Vsevolod MalinovskySteklov Mathematical InstituteGubkina St., 8117966 Moscow, GSP-1,RUSSIAN FEDERATION

94. *Dr. Low Chan KeeRoom 53-01a-21School of Accountancy and BusinessNanyang Technological UniversityNanyang Avenue, SINGAPORE 639798

95. Dr. Chen RenbaoNational University of SingaporeFaculty of Business AdministrationDepartment of Finance and Banking, (SM2)10 Kent Ridge Crescent, SINGAPORE 119260

96. *RNDr Maria BilíkováDepartment of MathematicsUniversity of EconomicsDolnozemská cesta 1/b852 35 Bratislava, SLOVAKIA� [email protected]

24

97. *Anna Ladiova/RNDr Karol PastorComenius University BratislavaFaculty of Mathematics and PhysicsFaculty LibraryMlynska dolina, Pavilon I842 01 Bratislava, SLOVAKIA� [email protected]

98. Dr. Dusan MramorFaculty of EconomicsUniversity of Ljubljana1101 LjubljanaKardeljeva plo�ad 17, SLOVENIA

99. Mr. Darko MedvedSecretary, Slovenian Association of Actuariesc/o Triglav Insurance Co. Ltd.Miklosciceva 19Sl-1000 Ljubljana, SLOVENIA� [email protected]

100. *R E DorringtonProfessor of Actuarial ScienceSchool of Management StudiesUniversity of Cape TownPrivate BagRondebosch 7701, SOUTH AFRICA

101. Professor George L. MarxHead, Insurance & Actuarial ScienceFaculty of Economic and Management SciencesUniversity of PretoriaPretoria 0002, SOUTH AFRICA �http://www.up.ac.za

102. Professor Rob ThomsonVisiting ProfessorDept. of Statistics & Actuarial ScienceUniversity of the Witwatersrand, JohannesburgPrivate Bag 3WITS 2050, SOUTH AFRICA

103. *Mr. Victor P. HsuGeneral SecretaryThe Actuarial Institute of the Republic of China (AIRC)13 Fl., 122, Tun Hua N. Rd.Taipei , Taiwan, R.O.C.

104. *Mr. Chwen-Chi LiuDirectorGraduate Institute of InsuranceFeng Chia University100, Wen-Hua RoadTaichung, Taiwan , R.O.C.

105. Frank K. LingDepartment of Financial OperationsNational Institute of Technology at KaohsiungNo. 1, University Rd., YuanchanKaohsiung , TAIWAN, R.O.C.

106. *Mr. Wing-Yang WuGeneral ManagerActuarial & Planning Dept.Tong Tai Insurance Co., Ltd.5th Floor, No. 296, Jen-Ai Road, Sec. 4Taipei, Taiwan , R.O.C.

107. The PrincipalInsurance Training CentreNational Insurance Corpn. of TanzaniaMikocheni B AreaOffold Bagamoyo RoadP.O. Box 31936DAR-ES-SALAAM, TANZANIA

108. A.V. ShalignamLife Insurance Association of Thailand295 Siphaya roadBangrak, Bangkok 10500, THAILAND

109. Miss Sumitra VorakulchalermSociety of Actuaries of Thailandc/o Ministry of CommercePhaholyothin Place Bldg., 18th Floor4801 Phaholyolyothin RoadSamsennia, PhayathaiBangkok 10400, THAILAND

110. *Professor Anek HirunraksInsurance LibrarySchool of Applied StatisticsNIDABangkok 10240, THAILAND� dr.anek.nida.ac.th

111. Dr. Nilgun MoraliDokuz Eylul UniversityFaculty of Arts and SciencesStatistics DepartmentAlsancak - Izmir, TURKEY

112. Professor Ilhan UludagMarmara UniversitesiSigortacilik EnstitüsüAnadolu Hisari KampüsüHüsrev Gerede Cad. 7580200 TesvikiyeIstanbul, TURKEY

25

113. *Mr. Ergin GedizDirector of Insurance InstituteTürk Sigorta Enstitüsü VakfiTesvikiye Cad. 43-57C Block Kat. 2,TesvikiyeIstanbul, TURKEY� [email protected]

114. *Mrs. Serap Ouz GönülalHazine MustesarligiSigortacilik Genei MudurluguIsmet Inonu bulrari 06510Emek, Ankara, TURKEY

115. *Irini DimitriyadisAssociate ProfessorBogaziç UniversityDepartment of Mathematics80815, BebekIstanbul, TURKEY� [email protected]

116. Voloadymyr OrdinskyComputer Science DepartmentKiev Polytechnic InstitutePeremogy ave. 37Kiev 252056, UKRAINE

117. *Professor Vladimir P. ShevchenkoRectorDonetsk State University24 Universitetskaya str.Donetsk 55340055 UKRAINE� [email protected]

118. *Mr. Volodymyr ZabolotnyICPIM, Vice-PresidentInternational Centre of PrivatizationInvestment and Management20, Eugene Pottier Str.252057, KyivUKRAINE� [email protected]

119. Professor Valery N. TurchinScientific Library of DnipropetrovskState UniversityKazakova st.8320050, DnipropetrovskUKRAINE

120. *Universidad de la RepublicaFacultad de Ciencias Económicas y deAdministracionBibliotecaGonzalo Ramírez 1926CP 11200, MontevideoURUGUAY(Miguel Jalmes)[email protected](Ana Pereyra)

121. Uruguay Superintendency of Insurancec/o Fabian MendyPrice WaterhouseCerrito 461, Piso 1Montevideo, URUGUAY

122. Albert MushaiNational University of Science & TechnologyP.O. Box AC 939Bulawayo, ZIMBABWE

123. Paul la CockOld Mutual, Mutual GardensBox 70, Harare, ZIMBABWE

� [email protected]

*=AB

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6. REPORT ON THE FIRST INTERNATIONAL PROFESSIONAL MEETING OFLEADERS OF THE ACTUARIAL PROFESSION IN AFRICA

THE ACTUARIAL PROFESSION ANDACTUARIAL EDUCATION

Monday 20 to Wednesday 22 September 1999 -Accra, Ghana

The First International Professional Meeting ofLeaders of the Actuarial Profession in Africa took place inAccra, Ghana, at the kind invitation of the ActuarialSociety of Ghana. The meeting was attended byrepresentatives from Egypt, Ghana, Ivory Coast, Malawi,Nigeria, South Africa, Tanzania, Tunisia, Zambia andZimbabwe, as well as from the International ActuarialAssociation, the International Social Security Associationand the International Labour Organisation. More than 50people participated in the conference, 15 of them fromAfrican countries other than Ghana, with a considerablenumber of additional Ghanaian participants at the openingceremony and at a dinner hosted by the IAA on the Tuesdayevening.

Discussions centred on the professional role of theactuary and the role of the actuarial association,including aspects of actuarial education, the role of theactuary in life insurance and the role of the actuary in socialsecurity. Extensive documentation was provided toparticipants, including copies of a number ofsignificant working papers relating to these major topics,and information provided by participants about the professionin their own country.

Apart from the relatively long established Actuarial Societyof South Africa - ASSA - (1948), most actuarialassociations in Africa are quite young and many countriesdo not yet have an association. Associations have beencreated in:

Nigeria (1983)

Ghana (1996)

Zimbabwe (1997)

Morocco (1998)

Egypt (1999)

Côte d�Ivoire (1999)

ASSA is a Full Member of the IAA and Ghana is an ObserverMember. The other associations have not yet joined the IAA,although Nigeria and Egypt may well do so soon.

The meeting provided a significant impetus to the furtherdevelopment of the profession in Africa, and it is expectedthat other associations will be established in the near future.A need was identified to encourage and support thedevelopment of actuarial options at local universities andmore full actuarial programmes qualifying for exemptionfrom the examinations of the Faculty & Institute of Actuaries(such as those at the University of Cairo in Egypt and theNational University of Science and Technology in Bulawayo,Zimbabwe, and also at seven South African universities).

Both the recently established actuarial associations and theuniversities seeking to develop actuarial programmes arekeen to get hold of actuarial textbooks and other literature.It was hoped that the long-established associations in Europeand North America would donate materials.

There was a universal welcome for the policy of the Faculty& Institute to offer low subscriptions, low examination entryfees and free tuition materials to students in low incomecountries. However, these facilities were not always wellknown and more stream-lined mechanisms could be put inplace to take care of the needs of students in some countries.

There were repeated demands for the actuarially developedcountries to provide attachments for actuarial students fromactuarially developing countries. This is clearly not in thegift of the IAA, or of national actuarial associations, althoughit might be possible to encourage insurance companies andactuarial firms to take a more enlightened attitude to suchattachments.

Direct support from the international actuarial communitymay be possible for regional actuarial seminars, teaching orrevision modules for the examinations of the Faculty &Institute of Actuaries and partial bursaries for students toattend intensive university programmes. ASTIN has alreadyexpressed itself willing to organise seminars at the requestof local actuaries, and arrangements are already being put inhand to organise a week of general insurance lectures andseminars in Zimbabwe (open also to attendees from Zambiaand Malawi)

The meeting drew attention to the widespread needs of mostAfrican countries for more actuaries. In the final session,those attending also requested the representatives of the IAAand the IPEF present to take to the Advice & AssistanceCommittee their request that an Africa Sub-committee beestablished to pay special attention to the needs of theactuarially developing countries in Africa.

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A financial report will be submitted separately to the Advice& Assistance Committee. Initial indications are that themeeting will have cost the IPEF around USD 21,000. Thisrepresents a very favourable outcome relative to theprovisional budget of USD 40,000 which was set by theTrustees earlier this year. Gratitude should particularly beexpressed for the hard work and generous hospitality of theActuarial Society of Ghana, the enormous amount of workput in by Maria Perry of the Institute of Actuaries staff,including spending a full week in Ghana to organise themeeting, and the generosity of the Institute of Actuaries inproviding Maria Perry to work on this project for the lastfew months, at no cost to the IPEF.

Chris DaykinHonorary Trustee of the IPEF

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7. RESEARCH IN PROGRESS

UNITED KINGDOM

Faculty and Institute of ActuariesJoint Working Parties of the Faculty and Institute

This report gives details of research activities undertaken inthe years 1st January 1997 to

31st December 1998 by:

� The Faculty and Institute of Actuaries joint workingparties

� The Faculty of Actuaries Research Groups

1. FACULTY AND INSTITUTE JOINT WORKINGPARTIES

SECURITISATION AND CONSTRUCTION OF UKINSURANCE INDICES

Objectives: To cover US Indices, Exchanges, Indicesin Securitisation Deals, UK Index.

REINSURANCE PRICING

Objectives: Investigate pricing of marine insurance.

Produce some Market curves based on UKdata (cf. Ludwig First Loss curves).

Produce a �Pricing manual� of actuarialtechniques.

RIDING THE INSURANCE CYCLE

Objectives: What is the Insurance Cycle? What causesthe insurance cycle?

MEASURING COMPETITIVENESS SIMPLY

Objectives: To try to produce simple statistics thatencapsulate a lot of information regardingcompetitive position. To try to link theseto predicting business volumes.

UK HOUSEHOLD

Objectives: Investigate how consistent the differentsystems are - is there any agreementamongst the different providers?

DATA WAREHOUSING

Objectives: Address sponsor issues from business andIT perspectives.

YEAR 2000 INSURANCE EXPOSURE

Objectives: The insurance and reinsurance implicationsof the year 2000 problem.

RISK RATES OF RETURN

Objectives: To follow up earlier investigation with apaper aimed at translating the theory intopractical advice.

CLOSED FUND ALTERNATIVE

Objectives: To identify the circumstances in which theconsequences of closure of a with-profitfund should be evaluated, and to considerthe methodology and assumptions whichmay be appropriate for such an evaluation.

WITH PROFIT BONDS

Objectives: To review current practice, particularly inrelation to bonus guarantees and theapplication of MVAs and to identifywhether policyholders� expectations arebeing managed appropriately.

PRODUCT REVIEWS

Objectives: To establish how reviews are being handledin practice and to consider whetherassumptions regarding future experienceare reasonable especially for cash-basedfunds. To consider the reasonableness ofchanges to policy charges during the courseof a policy.

RESERVING FOR ANNUITY OPTIONS ONPENSIONS CONTRACTS

Objectives: To investigate the extent to whichguaranteed annuity options on pensioncontracts have become a costlyproblem as a result of improving mortalityand falling interest rates; consideration ofappropriate standards and methodology ofreserving.

RESERVING FOR EXPENSES

Objectives: To consider whether expenses should becovered at individual policy level or inaggregate, how expense reserves should becalculated in new companies with minimalin force business and how expenses shouldbe calculated in closed companies orcompanies with declining portfolios of IB.Reports to Life Supervision Committee.

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IMPLEMENTATION OF THE INSURANCEACCOUNTS DIRECTIVE

Objectives: To consider how deferred acquisition costsare calculated and reported in practice andto consider any refinement of ABI SORP.This WP reports to the Life AccountingCommittee.

LIFE OFFICE TAXATION

Objectives: The intention is to consider the impactof some of the more complex aspectsof UK life office taxation on productpricing, statutory values andembedded value calculations. Appraisalvalues and uncertainties over the phasingout of ACT were mentioned as possibletopics.

ASSET SHARES

Objectives: To consider what factors should be takeninto account in deciding whether aparticular change or series of changes toasset share methodology is acceptable andconsistent with policy-holders reasonableexpectations, and whether there is any needfor guidance or disclosure requirements inthis area.

DISTRIBUTION OF RETAIL FINANCIALSERVICES

Objectives: To collect and evaluate information ondifferent methods of distributing retailfinancial services products both in the UKand overseas and their cost-effectiveness.

UNIT PRICING

Objectives: To investigate current practice in the areaof unit pricing and to consider PRE issues,what constitutes �best practice� andwhether any formal guidance is desirable.

USE OF DERIVATIVES FOR SOLVENCYMANAGEMENT

Objectives: To consider whether derivatives have a partto play in the management of the solvencyof non-linked business and, if so, whattypes of derivatives are suitable for thispurpose.

COUNTERPARTY DEFAULT RISK

Objectives: To consider factors influencing default riskand appropriate method of reserving for

this risk, particularly in respect of bankdeposits, OT derivatives and financialreinsurance.

EFFECT OF THE EURO

Objectives: To consider the effect of the Euro and theeconomic environment includingguarantees on with profit business.

CENTRAL DISCONTINUANCE FUND

Objectives: The proposed approach of the workingparty is to attempt to define what a CentralDiscontinuance Fund is and what it isdesigned to cover. It will assess the riskscovered under the insolvency of thecompany sponsoring the pension scheme,and look at the impact of the Pensions Act1995. It will assess alternative ways offinancing the risks and give a technicalanalysis of the alternatives.

The working party will attempt to obtaininput from a variety of organisations,including NAPF, major employers,insurers, GAD and governmentdepartments.

NON-INSURED MONEY PURCHASE SCHEMES

Objectives: To determine the number, size and benefitsprovided by non-insured money purchaseoccupational pension schemes in the UK,whether or not there is any element ofdiscretion exercised in determining theamounts of members� benefits and, if so,whether actuarial advice is obtained.

To make any recommendations thoughtappropriate about actuarial involvement,actuarial guidance and/or regulation inrelation to such schemes.

WINDING UP PENSION SCHEMES

Objectives: The application of the current winding uprules and appropriate winding upprovisions in the light of Pensions Act1995. Consideration of the choice betweensecuring the benefits and running thescheme as a closed fund, including theinvestment strategies, the terms for buyingout benefits, member communications andthe use of futures and options.

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MFR CALCULATIONS

Objectives: This working party will consider how theMFR legislation and mandatoryprofessional guidance are working inpractice and will recommend changes tothe Guidance Note (GN27) and specimencalculations.

The identification of difficulties will bedone by means of a survey of firms.

MFR - COMMUNICATION OF SOLVENCY

Objectives: The general aim of this project is toconsider how best to communicate torelevant parties how solvency should beassessed including the role of the MFR in this process. The work will thereforeextend beyond the MFR to considerother aspects of communicating solvencyand other aspects of communication ingeneral.

MFR - CHANGES IN CONDITIONS

Objectives: 1. To investigate any events orcircumstance that should lead to a changein the MFR.

2. In particular to urgently consider theeffect of the ACT change and theimplications for assumptions. Incompleting this task to liaise with theWorking Party looking at Market Valuationmethods and to take note of the work ofthe Working Party on the ActuarialImplications of the changes in ACT Rulesand the Corporation Tax Rate.

3. To consider what transitionalarrangements should apply.

MFR - TRANSFER VALUES

Objectives: 1. The Working Party will review thecurrent practice regarding theimplementation of Guidance Note GN11.A questionnaire will be circulated withinthe profession, and the Working Party willanalyse the results with a view to:

a. establishing the range of transfer valuesquoted through current interpretation of theguidance notes;

b. analyse the returns to establish thereasons behind the variations.

If considered appropriate, the WorkingParty will suggest amendments to GN11.

2. When the possible changes to the MFRbasis are known, the Working Party is toanalyse and assess the likely implicationsof those changes on transfer values. It willconsider whether changes to GN11 aredesirable.

INCOME WITHDRAWAL

Objectives: To consider the following issues:

- the need for income withdrawal- mortality issues- investment issues- scope for income withdrawal concept- use of income withdrawal in long term

care- education- CIMPs.

THE MOVE FROM DB TO DC

Objectives: To consider the roles and responsibilitiesof actuaries in defined-benefit and defined-contribution schemes and to investigate theneed for statutory role of actuaries and forwider actuarial input in the defined-contribution environment.

MARKET BASED VALUATIONS

Objectives: To consider the merits of variousmethodologies for UK pension fundsfollowing the ACT change. In particularto consider how the assets should bebrought into the actuarial valuation balancesheet.

To assist the MFR Changes in Conditionsworking party in formulating any changesto MFR methodology.

To have regard to:

- work being carried out by theInternational Accounting StandardsBoard

- current practice

- the needs of users of valuations

- the importance of effectivecommunication by the profession.

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STOCHASTIC PROCESSES

Objectives: To investigate the use of StochasticProcesses in the provision of advice topension funds. To find common ground onthe approaches adopted and to disseminateinformation to a wider audience.

PROPERTY INVESTMENT COMMITTEE

Objectives: The Property Investment Committee is asub-committee of the InvestmentCommittee. It has a wide ranging brief tolook at all relevant aspects of propertyinvestment and to promote links with theproperty industry and related professions.Research forms one important aspect ofthis role.

INVESTMENT STRATEGY FOR DEFINEDCONTRIBUTION PENSION SCHEMES

Objectives: To examine investment strategies fordefined contribution pension schemes andto develop a methodology from whichadvice can be given to trustees andscheme members, taking due accountof the objectives of each and their attitudeto risk.

QUANT TECHNIQUES

Objectives: To investigate the quantitative techniquesused in investment today, with the aim oflooking behind the smokescreens ofcomplicated mathematics and jargon toassess whether the methods aretheoretically sound and appropriatelyapplied.

PORTFOLIO PERFORMANCE

Objectives: To investigate the factors which affect theperformance of investment portfolios andto devise improved methods of assessingand reporting such performance.

PORTFOLIO RISK/RETURN WORKING PARTY

Objectives: To produce research relevant to theactuarial profession that enhances theunderstanding of the risk and returncharacteristics of different portfolios.

To produce a paper for the 1999 InvestmentConference.

Health Services Group

Working Party 1: Hospital Episodes Statistics.

Objectives: To present an embryonic NHS-Actuariesmodel which has been built to helpactuaries to review the allocation of NHShospital services resources by geographicalregion and other risk factors.

Private Medical Insurance Group

Working Party 1: Adding Business Value.

Objective: complete production of model includingassumptions; get comments; test scenarios.

Working Party 2: Reserving.

Objective: How to adjust reserves for inventories andbacklog of claims.

Reserving for guarantees andpolicyholders� reasonable expectations.

Smoothing results using reserving.

Working Party 3: Practitioner�s Guide.

Objective: Collating references for an actuary new toPMI under four main headings:

Background to the market; The Role ofthe Actuary in PMI company; Technicalwork (pricing, reserving, reinsurance etc);Understanding how the rest of the businessworks in practice.

Working Party 4: Industry Data.

Objective: Working up a detaileddocument proposing an industry widesurvey to see what companies� reactionsare. Creating some work on a medicalinflation index using premium rates toillustrate the possible value of an industrywide survey.

Working Party 5: Relationship with the State.

Objective: To investigate �mutuality�and �solidarity� models and to investigatea number of different examples fromaround the world on how the public andprivate health markets interact.

Long Term Care

Working Party 1: Understanding Care.

Objective: To develop a better model ofcare needs and to investigate thedemographics of care requirements.

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Working Party 2: Modelling.

Objective: To develop a model forprojecting the number of people withdisabilities over the next 40 years.

PHI/CI

Working Party 1: Critical Illness.

Objective: To look into the reservingpractice for the UK business.

To investigate and analyse the UKexperience.

To develop a UK �Standard Tabled� forindividual Critical Illness business.

Working Party 2: PHI : Reserving.

Objective: To review the practicalaspects of PHI Reserving.

Working Party 3: PHI : Experience Trends.

Objective: To investigate whether anysignificant time trends can be identified inthe three fundamental transitions in themultiple state model.

Working Party 4: PHI : Internal Risk Factors.

Objective: To produce a ready referencedocument to assist actuaries new to PHI tounderstand the risk factors facing theportfolio.

To resource the effectiveness of differentcompanies� approach to controlling theserisks.

Working Party 5: PHI : Occupational Definitions.

Objective: To review the current use,and current and future interpretation, ofoccupational and related (ADW, FAT,ADL) definitions for PHI and TPDbenefits.

Cross Border

Working Party 1: Guarantees.

Objective: Healthcare insuranceswhich are, or can be, written on long termbasis are like to display significant volatilityin claims costs for a number of reasons.

Working Party 2: Medical Advances.

Objective: To identify the areas ofcurrent research and advances in clinical

practices which will have significantimplications for future experience of themajor health insurance products.

Working Party 3: Genetics.

Objective: To inform members of theprofession, in general terms, aboutdevelopments in genetic testing; to discussthe philosophical issues raised and toexamine the practical implications for thehealth insurance market (as opposed to thelife insurance market).

Working Party 4: Longitudinal Study.

Objective: To conduct a longitudinal study.

2. FACULTY RESEARCH GROUPS

BONUS AND VALUATION GROUP

Objectives: Examining applications of derivativecontracts and derivative mathematics to therisk/capital trade-off implicit in with-profitsbusiness. It is producing a paper on thissubject for a future Sessional Meeting.

INTERNATIONAL RESEARCH GROUP

Objectives: Considering the attractiveness of certainEuropean and Asian markets to UKinsurers in the context of a globalising andconsolidating financial servicesmarketplace.

INVESTMENT RESEARCH GROUP

Objectives: This group is being relaunched under newleadership. Initial work is being done in arelatively new area called �behaviouralfinance� which looks at how psychologicalfactors affect investment market activity.

MARKETING RESEARCH GROUP

Objectives: To look at both themarketing of the actuarial profession andmarketing issues of interest to actuaries.

MORTALITY STATISTICS

Past outputs: A paper on comparative mortality trendswas discussed at International Congressand has been published in BAJ. A paperon lapse rates has been submitted to BAJ.

33

PENSIONS RESEARCH GROUP

Objectives: This group is being relaunched under newleadership and will be considering whatareas of research it might undertake.

University Research

Heriot-WattDepartment of Actuarial Science and Statistics

The actuaries in the Department are actively engaged inresearch on behalf of the profession in the United Kingdomas members of the following committees:

The Faculty of Actuaries Mortality Statistics Research Group(A S Macdonald and A J G Cairns)

The FTSE Actuaries Bond Committee(A J G Cairns and A D Wilkie)

The Mortality Sub-Committee of the Continuous MortalityInvestigation Bureau(J J McCutcheon, Chairman, A S Macdonald)

The Permanent Health Insurance Sub-Committee of theContinuous Mortality Investigation Bureau(H R Waters and A D Wilkie)

The Market Valuation of Pension Funds Working Party(A J G Cairns)

The Genetics Working Party(A S Macdonald)

In addition, research within the Department is continuing inthe following areas, in some cases in collaboration withcolleagues in other countries:

Life insurance:

Stochastic evaluation of solvency valuations for life offices(A S Macdonald and N Katrakis)

Optimal Asset Allocation(A Berketi)

Value at Risk(A J G Cairns)

Stochastic models for asset shares(Mark Willder)

Permanent Health Insurance:

Development of a stochastic model for PHI separating outdifferent causes of sickness(I M F Cordeiro and H R Waters)

Analysis of the effect of policy duration and cause ofdisability on claim experience(C Gutierrez, A A Korabinski and H R Waters)

Mortality:

Survival analysis, particularly of HIV-infected individuals(W F Scott)

Survival analysis : statistical procedures and tests(W F Scott)

Genetic testing and insurance(A S Macdonald)

Graduation and forecasting of mortality rates(J J McCutcheon and A D Wilkie)

Derivation of retirement rates for self-employed retirementannuitants(A D Wilkie)

Pensions

Stochastic modelling and optimal control of defined benefitpension funds(A J G Cairns)

Stochastic modelling of the impact and consequences of theMinimum Funding Requirement(A J G Cairns)

Development of market related valuation methods forpension funds(A J G Cairns)

Asset strategies for defined contribution pensions(A J G Cairns)

Risk Theory

Within-model randomness parameter uncertainty and modeluncertainty(A J G Cairns)

Numerical algorithms for the calculation of the probabilityof ruin(H R Waters)

Investments

Stochastic models for bond prices and multiple asset classes(A J G Cairns)

Autoregressive stochastic investment models(A D Wilkie)

Stochastic models for bond yields(A D Wilkie)

Application of Markowitz methods(A D Wilkie)

Investments contd.

Continuous time analogues of the Wilkie investment model(T Chan)

Option pricing and reinsurance premia(F Avram)

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2. City UniversityDepartment of Actuarial Science and Statistics

The actuaries in the Department are actively involved inresearch work on behalf of the actuarial profession in theUK as members of the following committees:

Permanent Health Insurance Sub Committee of theContinuous Mortality Investigation Bureau (S Haberman).

Institute and Faculty of Actuaries Long Term Care WorkingParty (B Rickayzen).

Institute and Faculty of Actuaries Working Party on PremiumRating by Postcode Area (R Verrall).

Institute and Faculty of Actuaries Working Party on Volatilityof Claims Reserves (R Verrall).

Institute and Faculty of Actuaries Resilience Test WorkingParty (R Chadburn).

Institute and Faculty of Actuaries Central DiscontinuanceFund Working Party (D Cooper).

Overview of Research Activity

In addition, research within the Department continue activelyin the following areas, in some cases in collaboration withcolleagues in the UK and overseas:

Investment

Investment risk management for defined contribution pensionschemes and life insurance companies (P Booth, ZKhorasanee).

Property investment and valuation techniques and valuationof implicit options (P Booth).

Banking

Pricing of bank lending (P Booth, I Allan, R Verrall).

Life Insurance

Stochastic modelling of life insurance companies (P Booth,R Chadburn).

Comparison of unitised and traditional with profit contactsusing stochastic modelling (R Chadburn)

Sensitivity of life insurance models to changes in underlyingstochastic investment model (R Chadburn, D Wright, PHuber).

Pensions

Sensitivity of pension funding to changes in underlyingstochastic investment model (D Wright).

Stochastic models of defined benefit pension schemes (SHaberman, I Owadally, D Wright).

Investment strategies in defined contribution pensionsschemes (S Haberman, Z Khorasanee).

Alternative investment strategies for defined benefit schemes(Z Khorasanee).

Applying defined benefit principles to defined contributionsschemes (Z Khorasanee).

Pension scheme design for members with non standard workhistories (D Cooper).

Taxation and pension scheme costs (P Booth, D Cooper).

Non Life Insurance

Stochastic basis of claims reserving in non-life insurance (ARenshaw, R Verrall, P England).

Premium rating methods in motor insurance (R Verrall).

Premium rating in competitive markets (S Haberman, ISavoulli).

Analysis of non-life claims data using Bayesian methods (RVerrall).

Mortality and Morbidity

Sensitivity analysis of a multiple state model for PermanentHealth Insurance (B Rickayzen).

Models of mortality trends and of select mortality (SHaberman, A Renshaw, R Verrall).

Trends in permanent health insurance transition intensities(S Haberman, A Renshaw).

Modelling long term care costs in UK (B Rickayzen).

Bayesian approach to graduation theory (R Verrall).

Research Funding

Members of the Department have been successful in gainingresearch support from the funds administered by the Instituteof Actuaries� Research Committee in respect of the followingprojects:

a) Solvency of Permanent Health Insurance Portfolios (RChadburn, B Rickayzen, Z Butt).

b) Frailty models of mortality and applications forforecasting (S Haberman, Z Butt).

The Department also continues to receive a grant from theContinuous Mortality Investigation Bureau to support itsresearch in the areas of mortality and morbidity.

The Department has been awarded a contract from theNational Association of Pension Funds and Royal SunAlliance to investigate the effect of taxation changes onpension fund costs.

35

The Department has been awarded a contract from ERCFrankona to investigate the reinsurance of annuity portfolios.

The Department has been awarded a grant from the Bank ofEngland to investigate the matching of the liabilities ofdefined benefit pension schemes, and from the Society ofActuaries to investigate optimal funding strategies in definedbenefit pension schemes.

The Department continues to receive grants from themembers of the Actuarial Research Club (AXA, CGU,Government Actuary�s Department, KPMG, HymansRobertson, Munich Re, Pricewaterhouse Coopers, Swiss Re,Watson Wyatt) which underpin the actuarial research activityof the Department.

Publications

Further information on the Department�s research activitieswhich can be obtained from Steven Haberman or RichardVerrall. The Department produces a series of researchworking papers and readers interested in joining thecirculation list should contact Steven Haberman. TheDepartment maintains a world wide web home page on http://www.city.ac.uk.actuarial where further information can befound.

UNITED STATES

CASUALTY ACTUARIAL SOCIETY

1100 North Glebe Road, Suite 600Arlington, VA 22201Phone: (703) 276-3100Fax: (703) 276-3108Web Site: http://www.casact.orgE-mail: [email protected]

Call Paper Programs. Annually the Casualty ActuarialSociety conducts four-five call paper programs on varioustopics. Both CAS members and non-members are invited tosubmit proposals. The papers accepted by these programsare presented at a Society meeting or seminar and arepublished in the Discussion Paper Program or Forum. Thesepapers are also available on the CAS Web Site. Currentprograms include:

2000 Discussion Program. Papers have been invitedon �Insurance in the Next Century.� Accepted paperswill be presented at the 2000 CAS Spring Meeting inLas Vegas, Nevada during May 7-10, 2000. TheMichelbacher Prize of $1,500 will be awarded to theauthor of the best paper.

2000 Dynamic Financial Analysis Call for Papers.Papers have been invited on the topic of �Evaluation

of Strategic Alternatives and Presentation ofConclusions of Dynamic Financial Analysis.�Authors may be invited to present their papers at the2000 CAS DFA Seminar in New York, New Yorkduring July 17-18, 2000. Prizes of up to $10,000will be awarded to the authors of the best papers.

2000 Committee on Reserves Call for Papers. Thetopic for this call paper program is � EstimatingLiabilities for Emerging Insurance Issues.� Severalauthors will be invited to present their work at the2000 Casualty Loss Reserve Seminar in Minneapolis,Minnesota during September 18-19, 2000. A prizeof $1,000 will be awarded to the author of the bestpaper.

2000 Ratemaking Call for Discussion Papers.Papers on all ratemaking topics are welcome, butpapers are preferred which focus on the considerationslisted in the CAS Statement of Principles RegardingProperty and Casualty Insurance Ratemaking (seeCAS Web Site). In addition, the following topics areof interest: New Technologies and Their Impact onRatemaking and Classifications, CompetitiveInformation, International Issues, and Reinsurance.A few authors will be asked to present their papers atthe 2000 Ratemaking Seminar in San Diego,California during March 9-10, 2000. A $1,000 prizewill be awarded to the author of the best paper.

2001 Ratemaking Call for Discussion Papers.Papers on all ratemaking topics are welcome, butpapers are preferred which focus on the considerationslisted in the CAS Statement of Principles RegardingProperty and Casualty Insurance Ratemaking. Inaddition, papers on the following topics are of interest:Model Development in Ratemaking, Legislative andMarket Considerations, Pricing Challenging Lines ofBusiness, and Data Issues. Authors may be invitedto present their papers at the Ratemaking Seminar,scheduled for March 12-13, 2001 in Las Vegas,Nevada. A $1,000 prize will be awarded to the authorof the best paper.

Actuarial Education and Research Fund. The CAS jointlysponsors the research work of the AERF with other NorthAmerican actuarial organizations.

Proceedings Papers. The CAS annually publishes refereedpapers in the CAS Proceedings which are accepted by theCommittee on Review of Papers. These papers may be onany property and casualty topic and accepted papers arepresented by the authors at the CAS Spring or AnnualMeetings. The 1998 Proceedings was published in October

36

1999 and the 16 research papers and five discussions ofprevious PCAS papers in this volume are on the CAS WebSite. A listing of these 1998 Proceedings papers is attached.A copy of the Proceedings may be ordered from the CASOffice (see address above) for $75 U.S. from locationsoutside of North America (including postage and handing).

CAS Web Site (http://www.casact.org). An online catalogof research paper citations is maintained in a searchabledatabase on the CAS Web Site. Additionally, a downloadlibrary is available whereby users can download full texts ofresearch papers.

SOCIETY OF ACTUARIES

RESEARCH HIGHLIGHTS

Listed below are current Research Department projects andtheir purposes.

Committee on Knowledge Extension Research (CKER)

Financial Markets Approach to Valuation: Modernfinancial theory provides practical methods of determiningmarket values of derivative securities such as options onstocks, options on bonds and mortgage backed securities.The long-term goal is to extend the application of thesemethods to life insurance products.

Empirical Likelihood in Insurance: The purpose of thisproject is to present empirical likelihood methods toactuaries. The final report will show how to test hypothesisand construct confidence intervals for various functionals,without any parametric assumption, when certain informationis known about the data, such as the mean. It will beillustrated with various insurance examples.

Interaction Between Asset Liability Management AndRisk Theory: This study will look at Asset LiabilityManagement with the asset fund containing both shares andfixed-income securities and with the liability process takinginto account discontinuities; and the use of ruin theory andportfolio theory.

Statistical Analysis of Small Size Insurance Data SamplesOn The Basis of The Sufficient Empirical Averaging(SEA) Method: The SEA-method makes possible to solvewith controlled accuracy problems, important for insuranceapplications, such as test of hypothesis, construction of pointand interval estimates in the case of data samples of smallsize, on the basis of intensive use of computer technologies.

Valuation of Credit Line Commitments Subject to CreditRisk: The purpose of this project is to find methods forvaluing bank credit line commitments related to actuarialreserving methods.

The Cost of Mismatch in Stochastic Interest Rate Models:The purpose of this project is to evaluate the cost of mismatchby a percentile of the cash flows distribution when interestrates follow a stochastic mode in contrast to the usual scenariotesting approach.

Generalized Cox, Ingersoll & Ross Model: Statistics andValuation of Interest Rate Derivatives: The purpose ofthis project is to obtain semi-closed formulas and computerprograms to valuate interest rate derivatives, includingstatistics of interest rate models in real and risk neutral worlds.This study is based on the theoretical approach.

Statistical Methods for Monitoring Health Care ProcessMeasurements: This project is a first step in thedevelopment of quality control to monitor health care data.The research will create a statistical monitor usingmeasurements generated from a logistic regression model,then use the monitor as supplement to the utilizationmanagement process to inexpensively track non-acceptablein-patient hospital claims.

Pricing Practices for Joint Last Survivor Insurance: Thepurpose of this project is to analyze joint last survivorinsurance experience data collected from insurancecompanies to establish a realistic and practical loadingmethod for pricing that is easy to implement.

Mathematical Models and Software for FinancialOrganizations at Risky Markets: The purpose of thisproject is to develop mathematical methods and softwarefor accumulation of capital and investment portfoliomanagement problems under specific conditions of theRussian financial markets.

Tight Approximation of Basic Characteristics of Classicaland non-Classical Surplus Processes: The purpose of thisproject is to evolve new constructive probabilistic methodsyielding two-sided bounds of ruin probabilities in thepresence of large claims and to generalize this study toinvestigate non-classical risk models and obtaincharacteristics other than ruin probability.

Application of Nonparametric (Model Free) Techniquefor Forecasting Big Jumps and Falls in Interest RateValues: The purpose of this project is to bring a significantimprovement in assessing investment risk pertaining tointerest rate volatility and to contribute to betterunderstanding of the statistical mechanism of interest ratefluctuations.

Inflation-Parameter Family of Discrete ProbabilityDistributions and Their Application in Analysis of Over-and Underdispersed Insurance Data: This project focuseson the development of a new family of discrete probability

37

distributions which appears as an extension to the family ofgeneralized power series distributions. The basic idea is toconstruct the new family, to study and establish its properties,and to apply some of its sub-classes in modeling andanalyzing heterogeneous insurance data and computerprograms which will demonstrate the advantages of usingthe proposed methodology.

Asymptotic Behavior of Non-Homogeneous RiskProcesses and Ruin: The project is aimed at theinvestigation of the asymptotic properties of generalized riskprocesses in which the process of insurance claims is not ahomogeneous Poisson process.

Modern Modeling Technologies for Pension Actuaries:The purpose of this project is to investigate the role ofmodern modeling technologies for the pension actuary.The topics to be addressed include: the essentialfeatures of these technologies, the relevance of thesetechnologies to the pension actuary, and an example of theapplication of each of these technologies to a pension relatedproblem.

Social Security System as a Part of Capital Markets: Thepurpose of this project is to make the case for acomprehensive analysis of Social Security within capitalmarkets, and to show the significance of this.

Application of Quasi-Monte Carlo Methods to ActuarialScience: The purpose of this project is to introduce Quasi-Monte Carlo Methods and describe how to implement themby providing concrete examples of applications to ActuarialScience.

Development of Study Materials for Courses 3 and 4:The purpose of this project is to identify and developmaterials and applications relevant to the new Courses 3and 4.

Actuarial Literature Index Update: The purpose of thisproject is to update the Society of Actuaries Library Indexof Actuarial Literature.

Practical Implementation of the Mixture of ExponentialsModel: The purpose of this project is to extend the resultsof the paper, �Modeling Losses with the Mixed ExponentialDistribution� written by Clive Keatinge and develop awindows based program to implement the algorithm and thegoodness-of-fits test.

Valuation of Equity-Indexed Annuities under StochasticInterest Rate: The purpose of this project is to developpricing and hedging techniques for equity-indexed annuities.

Actuarial Aspects of Dependencies in InsurancePortfolios: The purpose of this project is to study theconsequences of the introduction of dependency relationsin actuarial models and consider the problem at two differentlevels.

Finance

1986-97 Private Placement Study: The purpose of this studyis to continue the database started by the 1986-89 CreditRisk Study through 1997.

Fair Value Accounting II: The purpose of this project is toextend and update the body of knowledge from the firstconference; to highlight similarities in various theoreticaldevelopments; and to work towards resolution of differencesand implementation issues. A conference was held on March18-19, 1999 at New York University in New York City.Accepted papers from the conference are currently availablefrom New York University, Salomon Center, Stern Schoolof Business.

100-Year Term Structure of Interest Rates: The purposeof this project is to investigate the implications of the long-term nature of pensions and insurance on the estimation ofexpected returns. Two papers, �Long-Term Yield Rates forActuarial Valuations� by Jacques F. Carriere and �TermStructure Models: A Perspective from the Long Rate� byYong Yao, received in response to a Call for Papers, havebeen published in the July 1999 issue of the North AmericanActuarial Journal.

Study of the Use of Derivative Instruments by theInsurance Industry: The purpose of this project is todocument the extent and nature of the use of derivatives byinsurance companies and to analyze the financial implicationsof such use. A paper from the study titled �CorporateHedging in the Insurance Industry: The Use of FinancialDerivatives by U.S. Insurers� by J. David Cummins, RichardD. Philips, and Stephen D. Smith, appeared in the NorthAmerican Actuarial Journal, Vol. 1, No. 1, January 1997.

Actuarial Aspects of Currency Risks - Call for Papers:The purpose of this project is to develop an understandingof the nature and behavior of currency exchange fluctuationsand the attendant risk on financial results. Two papers,�Pricing with Stochastic Foreign Exchange and InterestRates� by Mike Davlin and Mark Tenney and �On MeasuringThe Risk of Foreign Exchange� by John Mange are availablein the research library on the SoA Web site (http://www.soa.org).

Expenses and Pricing: The prize winning paper, writtenby Sam Gutterman, is a comprehensive review of lifeinsurance company expenses as it relates to pricing and

38

financial reporting. It is being revised from commentsreceived from the review panel and feedback from attendeesat the Spring Meeting session. The Committee on FinanceResearch is working with the Financial Reporting andProduct Development Sections to publish the paper as amonograph.

Monograph on Stochastic Calculus and StochasticDifferential Equations: The purpose of this project is toproduce a monograph that concentrates on the fundamentalconceptual and computational aspects of stochastic calculus.

Interest Rate Models in Actuarial Practice: The purposeof this project is to produce a practical guide on the selectionand calibration of interest rate models.

Market Research for Actuarial Counseling: The purposeof the project is to conduct focus groups to obtain meaningfulfeedback regarding the viability of actuarial counseling as aprofession and report on findings. The researcher will alsoproduce an outline of the kind of marketing materials thatan actuary who wants to start a counseling practice wouldneed.

Risk Position Report Survey: The purpose of this researchproject is to increase awareness about the kind of riskmeasurement reports that are currently being used in theinsurance industry.

Health

Group Life 1990 - ?: The purpose of this study is to followup on the 1985-89 study as appropriate.

Individual Disability 1992 - ?: The purpose of this study isto study recent individual disability experience.

Group Long Term Disability Termination Study: Thepurpose of this study is to develop a group long-termdisability study covering recent years as appropriate.

Non-Insured/Non-Institutional Long Term CareExperience: The purpose of this study is to review the 1989LTC Survey from an actuarial perspective.

Long Term Care 1992-93: The purpose of this study is tocompile long-term care data from carriers into an inter-company study.

1994-96 Long Term Care Study: The purpose of this studyis to compile long-term care data from carriers into an inter-company study.

Continuing Care Retirement Communities: The purposeof this study is to develop a database of CCRC data and toperform certain analyses of this data.

Purchasing Practices for Health Benefits: The purposeof this project is to investigate how large employers bring

information on health care quality into the decision processfor purchasing health care benefits for their employees.

Health Care Data Bases: The purpose of this project is todevelop a single, reliable source of health care data foractuaries to use, including data on Medicaid, Medicare, andcurrently uninsured population segments. The NationalHealth Information Resources Center (NHIRC) website(www.nhirc.org) has been developed by the NationalAssociation of Health Data Organizations (NAHDO) toaddress this need. NAHDO continues to enhance the NHIRCwith funding from the SoA and the Robert Wood JohnsonFoundation.

Managed Care Symposium: A symposium that presentedthe state of the art in measuring effective managed care washeld May 4-5, 1998. Proceedings from the symposium,�Managed Care in a Time of Transition,� are available fromthe SoA Books Department (847-706-3526) for $35.

Definition of Managed Care Effectiveness: The purposeof this project is to define managed care effectiveness andpropose a model for evaluating the effectiveness of themanaged care system.

Integrative Medicine: The purpose of this project is toaccumulate, review, and evaluate both existing andpotentially new data studies directly related to integrativemedicine and health focused lifestyles in the U.S. TheNovember 11, 1998 issue of the JAMA (The Journal of theAmerican Medical Association) includes an article relatedto this study by David M. Eisenberg, et al, entitled, �Trendsin Alternative Medicine Use in the United States, 1990-1997�(David M. Eisenberg, JAMA, Nov. 11, 1998, vol. 280, No.18, pp. 1569-1575).

HEDIS 3.0 Measures Study: The purpose of this projectis to evaluate the reliability and validity of HEDIS 3.0measures and to assess their effectiveness in measuring healthplan performance. This study will use statistical modelingto analyze selected HEDIS 3.0 measures for their contentvalidity, criterion/predictive validity, and attributionalvalidity.

Credibility for Health Coverages: The purpose of thisproject is to develop concrete guidelines for establishing fulland partial credibility for experience under each type of healthcoverage. The Credibility Seminar for Health InsuranceActuaries was held November 2-3, 1998 in Rosemont,Illinois. Handouts from the seminar are available throughthe SoA Books Department (847-706-3526) for $20.

The Relationship Between HEDIS Measures and HealthPlan Choices: The purpose of this project is to analyze therelationship between the health plan choices of employees

39

of a Fortune 100 company who were offered a set of healthplans from which to choose and the HEDIS measures forthose health plans. Two articles by Dennis Scanlon andMichael Chernew resulted from this project. One waspublished in Medical Care Research and Review (�HEDISMeasures and Managed Care Enrollment,� MCRR, vol. 56,supplement 2 (1995), pp. 60-84) and the other has beensubmitted to the North American Actuarial Journal forpossible publication (�Managed Care and PerformanceMeasurement: Implications for Insurance Markets�). Thelatter report is also available on the SoA web site(www.soa.org).

Large Claims Experience Study: The purpose of thisproject is to examine the pattern of large health claims andto determine the rate of such claims.

Health Benefit Systems Principles Committee: Thepurpose of this committee is to identify and articulateactuarial principles related to health benefit systems.

Life Insurance

Reinsurance Mortality 1996: This report is currentlyavailable on the Society�s web site.

Large Amounts Study 1983-88: The purpose of this studyis to determine an approach that could be used to launchexperience studies of the mortality associated with preferredunderwriting classes and large amount policies.

Accidental Death Benefits: The purpose of this study is toreview accidental death benefit experience being collectedto establish a timetable for an updated experience study andfor ongoing regular studies.

Impairment Study Capture System: The purpose of thisstudy is to collect data at the Medical Information Bureau(MIB) from the regular Impairment Reporting and to usethis data for subsequent studies.

Medical Impairment Study Capture System SubstandardExperience: The purpose of this study is to bring currentinformation as to mortality experience for three categories:slightly substandard, moderately substandard and highlysubstandard.

Medical Impairment Study from Databases: The purposeof this study is to update the 1983 Medical Impairment Study,which covered experience from 1954-1975.

Medical Impairment Study from Application Files: Thepurpose of this study is to study experience associated withfour problems; adverse driving record, alcohol abuse,elevated liver enzymes and elevated GGT.

Medical Impairment Abstracts: The purpose of this studyis to promote mortality/morbidity abstract production andrelated activities.

Substandard Study: The purpose of this study is to reviewsubstandard experience being collected to establish atimetable for an updated experience study and for ongoingregular studies.

Laboratory Tests and Electronic Storage Study: Thepurpose of this study is to see how many companies storelaboratory test data electronically and tie it to the policynumber for future studies.

Individual Life 1990-91: The purpose of this study is tostudy mortality experience of standard life insurance of the1990-91 policy year.







Blood Pressure Study: The purpose of this study is to updatethe 1979 Blood Pressure Study.

Individual Annuity 1986-91: The purpose of this study isto review individual annuity experience being collected andthe potential for additional contributions to establish atimetable for an updated experience study and for ongoingregular studies.

Structured Settlements 1995: The purpose of this study isto extend the study of structured settlement annuitiesexperience through the end of 1995.

Structured Settlements 1997: The purpose of this study isto extend the study of structured settlement annuitiesexperience through the end of 1997.

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Mortality Guarantees in Variable Products ExperienceStudy: The purpose of this project is to develop a systemand to perform the first analysis of experience under deathbenefits on deferred variable annuities.

Actuarial Modeling: The purpose of this project is to studyrelationships of econometric series to life insurance companyoperations.

Gender Based Mortality Differences: The objective of theresearch is to prepare a statement reflecting current clinicaland insurance data regarding the mortalitydifferences associated with gender and to investigate ifthere is a biological basis for the observed differences inmortality.

Mortality and Lapse Rates: The purpose of this project isto investigate the relationship between lapse rates andsubsequent mortality results and to quantify the degree towhich higher lapse rates lead to higher mortality. Theresearch paper �Mortality Rates as a Function of Lapse Rates�by Faye S. Albert, David G. W. Bragg, and John M. Bragg isavailable in the research library on the SoA Web site (http://www.soa.org).

Long Term Bond Yields of Life Companies with JunkBond Portfolios: The purpose of this project is to developreturns on total bond investments for the years 1993 through1995 and develop statistical analyses of yield with respectto factors such as relative proportion of junk bonds,distributions of bonds by years to maturity, size of company,and growth rate.

Shape of Mortality Curve at the Higher Ages: The purposeof this project is to hold a symposium on the shape of themortality curve at the very high ages in order to encouragediscussion and writing of papers on the subject.

Variation in Life Insurance Company Expenses: Thepurpose of this project is to explain the widevariation in expense rates between companies in theGenerally Recognized Expense Table (GRET). In additionto identifying the variation in expense rates in the GRET,the study will formulate cost functions for lifecompanies that will account for cost drivers and differencesamong firms. This study will help the POG establish futureGRET.

Committee on Life Principles: The purpose of thiscommittee is to identify and articulate actuarial principlesrelative to life insurance.

Retirement

Group Annuity 1995-96: The purpose of this study is tocompile, analyze and report on 1995-96 intercompany group

annuity mortality experience and to track and monitoremerging trends for valuation standard, pricing and otherpurposes.

Macrodemographic Model Feasibility Study: The purposeof this project is to assess the usefulness and limitations ofexisting models and data sources for projecting the effect ofchanges in environment on the design and cost of retirementbenefit plans. Also, to estimate the costs and benefits ofvarious approaches the SoA might take to establish anadequate actuarial macrodemographic model for retirementbenefits.

1990-94 Retirement Plans Experience Study: The purposeof this project is to compile, analyze and report on the 1990-94 mortality experience of uninsured pension plans.

Pension Plan Mortality Study: The purpose of this projectis to construct a mortality table from the 1990-94 RetirementPlans Experience Study.

Multivariate Analysis of Pension Plan Mortality Data:The purpose of this project is to specify a multivariate modelof mortality that is practical and fits the 1990-94 RetirementPlans Experience Study data optimally. A practical modelwill include an explanation of how a practicing pensionactuary would adjust the general mortality table to reflectthe characteristics of the plan being valued.

Extended Analysis of Pension Plan Mortality Data: Thepurpose of this project is to investigate the relationshipbetween mortality and a variety of co-factors evident in the1990-94 Retirement Plans Experience Study data.

Canadian Pensioners Mortality Experience, 1983-1992:The purpose of this project is to construct a mortality tablefor Canadian pensioners based on CPP/QPP data from 1983to 1992

Safest Annuity Rule: The purpose of this project is to assessthe impact of DOL Interpretive Bulletin No. 95-1 on theannuity market. The final report will be published in the1997-98 TSA Reports. The report is also available throughthe SoA Books Department (847-706-3526) for $10.

Asset Valuation Methods: The purpose of this project is toimprove actuarial practice in determination of actuarial valueof assets in pension plan valuations for funding andaccounting purposes. Advanced photocopies of the finalreport are available through the SoA Books Department (847-706-3526) for $10.

Asset Valuation Methods - Phase 2: The purpose of thisproject is to assess the effectiveness of various asset valuationmethods for achieving various plan sponsor goals.

41

Pension Plan Turnover Rate Table Construction: Thepurpose of this project is to produce tables of retirementrates and employee termination rates. The final report isavailable through the SoA Books Department (847-706-3526) for $20. The report has been submitted to the TSAReports for publication.

Turnover and Retirement Rates - Phase 3: The purposeof this project is to collect and analyze pension planparticipant decrement data. This study will improve andbuild upon the Pension Plan Turnover Rate TableConstruction project.

Comparative Effects of Turnover: The purpose of thisproject is to compare the relative distribution of benefits froma cash balance retirement plan verses a final average paydefined benefit pension plan. The final report was publishedin the October 1998 issue of the Pension Forum as an articleentitled �A Benefit Value Comparison of a Cash BalancePlan with a Traditional Final Average Pay Plan� by S. Koppand L. Sher.

Actuarial Aspects of Cash Balance Plans: The purpose ofthis project is to provide practicing pension actuaries withcomments and analysis on the design and valuation of cashbalance retirement plans.

Mortality Projections: The purpose of this project is toinform practicing pension actuaries about scientifictechniques and actuarial methods for projecting futuremortality rates.

Impact of Mortality Improvement on Social Security: TheUnited States, Canada and Mexico: The purpose of thisproject is to perform a rigorous study of the impact ofmortality improvement on the Social Security systems ofthe United States, Canada and Mexico. To accomplish that,the project has been divided into 3 phases: Phase 1 - Studyof past experience and analysis of current literature; Phase 2- Formulation of mortality improvement assumptions; andPhase 3 - Stochastic analysis of the impact of mortalityimprovement on Social Security. A seminar was held onOctober 30, 1997, and eight of the papers from that seminarwere published in the October 1998 issue of the NorthAmerican Actuarial Journal. A final product of fifteenpapers from that seminar is available through the SoA BooksDepartment (847-706-3576) for $75.

Retirement Needs Framework Working Group: Thepurpose of this project is to bring together and illustrate thechanging needs and risks faced in retirement, differencesbetween demographic subgroups, statistics available tomeasure and evaluate the financial impact of thesedevelopments, methods that could be used to determine theamount of capital sufficient to protect against these risks,

and approaches that could be used to manage or insure thesefinancial risks. Thirteen papers on these topics werepresented at a conference held December 10-11, 1998. Theproceedings of this conference will be published as amonograph.

Modeling Education and Academic Relations Area

Actuarial Research Conference (SO108): More than 100persons registered for the 34th conference, jointly sponsoredby Drake University and The Principal Financial Group fromAugust 8-11 in Des Moines, Iowa. The conference themewas building bridges between theory and practice. The 35thconference is scheduled to be at Université Laval in QuebecCity from August 10 - 12, 2000. The conference theme isactuarial research at the threshold of the new millenniumThe Education and Research Section Council accepted thepreliminary statement from the organizers. The Council isseeking a host for the conference in 2001.

Ph.D. Grants Task Force: For the 1999-2000 academicyear, the Ph.D. Grants Task Force agreed to fund the fourapplicants requesting grant renewals, and one new grantfunded by the CAS.

Joint CAS/SoA Statement of Principles (SO109): Checkthe SoA web site (www.soa.org) for the Exposure Draft ofPrinciples Underlying Actuarial Science. Commentsregarding the draft are welcome.

Joint CAS, CIA, SoA Task Force on Academic Relations:The Task Force drafted a White Paper for distribution thememberships of all three organizations for review andcomment. The Task Force plans to make finalrecommendations later in 2000. Information regarding thework of the Joint Task Force is located on the AcademicRelations page of the SoA web site.

Committee on Professionalism: The Committeerecommended revisions to Article IX (Amendments) andArticle X (Public Expression of Professional Opinion) ofthe SoA Constitution.

Course 7: The Course 7 Working Group Report and a sampleCourse 7 pretest are available on the SoA web site.

Actuarial Education and Research Fund: The ActuarialEducation and Research Fund awards for 1999 are:

- The Halmstad Prize was awarded to a paper writtenby E. W. Frees, Y. Kung, M. Rosenberg, V. Youngand S. Lai. The paper, �Forecasting Social SecurityActuarial Assumptions,� was published in the NorthAmerican Actuarial Journal, vol. 1, no. 4 (1997).

- The Board ratified the Conference of ConsultingActuaries� recommendation to award the Hanson

42

Prize to Robert Rietz for his paper entitled �EarlyRetirement Subsidies - A Plan Design Whose TimeHas Passed.�

- The Huntington Prize was awarded to DorothyAndrews for the paper entitled �Simplified CashFlow Testing of Traditional Participating Whole LifeInsurance.

- Wooddy Scholarships were awarded to the followingapplicants:

Michael Hanley, University of North Carolina at Chapel HillChen Hul, Zhongshan UniversityMay-Yee Ng, University of IowaPeter Shelley, Elizabethtown College

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8. REPORTS FROM MEMBERORGANIZATIONS

AUSTRIAAktuarvereinigung Österreichs (AVÖ)

The Annual General Meeting of the Austrian Association ofActuaries was held on September 8, 1999. The ExecutiveCommittee consists of thefollowing members and 6 othermembers:

President Mr. Helmut HolzerVice-President Mr. Heinz JaindlVice-President Mr. Dr. Walter SchachermayerGeneral Secretary Mr. DI Peter PrielerSecretary Ms. DI Beatrix GriesmeierTreasurer Mr. DI Karl Metzger

The Annual Meeting of the Groupe Consultatif desAssociations d´Actuaires des Pays des CommunautésEuropéennes will be held in Vienna on October 7 and 8,1999.

CANADACanadian Institute of Actuaries

Membership and enrolment in the Institute as of June 1999stands at

Member/Fellows 2,198Students 1,201Correspondents 49

As a result of the election conducted by mail during Apriland May, Council for the 1998-1999 year consists of thefollowing members:

Officers:

President Stuart F. WasonPresident Elect David J. OakdenImmediate Past President Peter F. MorseVice-President William F. ChineryVice-President James K. ChristieVice-President J. Helmut EngelsVice-President Luc FarmerVice-President Patrick F. FlanaganVice-President A. David Pelletier

Councillors:

John F. Brierley Josephine A. RobinsonGeoffrey I Guy Pierre SaddikMike Lombardi Frederick J. ThompsonIan C. Markham Monique TremblayJosephine C. Marks François VachonMichael D. Mills Nancy A. Yake

Two seminars and a general meeting are scheduled throughDecember 1999

� Appointed Actuary Seminar (incorporating both life andproperty/casualty practice) - Montréal, September 23-24,1999

� Investment Seminar - Montréal, November 24, 1999

� General Meeting of the Institute - Montréal, November24-25, 1999

The next Annual General Meeting of the Institute will beheld in Vancouver, June 22-23, 2000. The annual PensionSeminar is expected to be held in April, 2000 in Montréal.A Symposium on Aging will be convened in Toronto onMay 1-2, 2000.

The CIA Council has approved changes to the educationrequirements for enrollment in the Institute, effective January1, 2000. The changes are made in response to changes beingmade to the examination syllabi of the Casualty ActuarialSociety and the Society of Actuaries on that date. To effectthe changes, some By-law amendments were implementedand were ratified by members on June 17, 1999. In addition,other changes to the By-laws, and revisions to the Rules ofProfessional Conduct and to the Rules of Practice andProcedure of a Disciplinary Tribunal were implemented inNovember, 1998.

Several task force reports were prepared and distributed overthe period, including

� October 1998 - Preliminary Reports by the Task Forceon Transfer Values: The Philosophy Underlying theDetermination of Lump-Sum Transfer Values fromPension Plans; Recommendations on MortalityAssumptions for Transfer Values; Economic Assumptionsfor Pension Benefit and Marriage BreakdownTransfer Values

� October 1998 - Discussion Paper by the Task Force onPension Plan Funding: Pension Plan Funding: A FreshApproach

� November 1998 - Task Force on the Division of PensionBenefits upon Marriage Breakdown: Draft Paper onthe Division of Pension Benefits upon MarriageBreakdown

� March 1999 - Report of the Task Force on CIAQualifications

44

� April 1999 - Task Force on Transfer Values: StatusReport on CIA Task Force on Transfer Values

� April 1999 - Task Force on Transfer Values: ThePension Transfer Value Basis: The Key Issue o nwhich Consensus is Needed

� May 1999 - Report of the Task Force on Restructuring

The Institute continues to devote time and effort to itsstandards of practice and related matters. The followingrecent documents are available from the CIA Secretariat,

� December 1998 - Dynamic Capital Adequacy Testing(Final)

� February 1999 - Valuation Technique Paper on Wind-Up and Solvency Valuations of Registered PensionPlans (Third Exposure Draft)

� June 1999 - Consolidated Standards of Practice forthe Valuation of Policy Liabilities of Life Insurers(Discussion Draft)

� August 1999 - Consolidated Standards of Practice(Discussion Draft)

In addition, two Education Notes have been distributed,

� April 1999 - Discounting

� June 1999 - Dynamic Capital Adequacy Testing: Lifeand Property and Casualty

The Canadian Institute has, over the past 12 months,submitted advice or comment on actuarial matters to severalgovernmental or professional entities as follows,

� September 1998 - Alberta: Draft Revision to the AlbertaInsurance Act

� October 1998 - Department of Finance, Canada:Consultation Paper on Demutualization Regime forCanadian Life Insurance Companies

� October 1998 - La Régie des rentes du Québec: DraftRegulation re Multi-Employer Plans � Division VI ofthe Regulation respecting plans exempted from theapplication of certain provisions of the SupplementalPension Plans Act

� November 4, 1998 - Standing Senate Committee onBanking, Trade and Commerce: Report of the TaskForce on the Future of the Canadian Financial ServicesSector

� December 1998 - Office of the Superintendent ofFinancial Institutions: Draft Paper on OSFI�s Risk-Based Supervision of Pension Plans

� January 1999 - Superintendent of Pensions, Alberta:Discussion Paper on Review of Employment PensionPlans Act and Regulation

� January 1999 - Office of the Superintendent of FinancialInstitutions: Guideline for the Development ofInvestment Policies and Procedures for FederallyRegulated Pension Plans

� January 1999 - Department of Finance, Nova Scotia:Discussion Paper on the Pension Benefits Act andRegulations

� March 1999 - Ministry of Finance, Ontario:Consultation Paper on Harmonization andStreamlining of Pension Administration andRegulation

� May 1999 - Financial Sector Review WorkingGroup, Department of Finance: Financial SectorReview

� June 1999 - Conference of Atlantic Premiers:Communiqué on Atlantic Insurance LegislationHarmonization Project

� July 1999 - Office of the Superintendent ofFinancial Institutions: OSFI�s April 9, 1999Memorandum on Negotiated Contribution DefinedBenefit (NCDB) Plans

� July 1999 - Office of the Superintendent of FinancialInstitutions: Draft Paper on Risk-Based Supervision ofPension Plans

� August 1999 - Canadian Institute of CharteredAccountants: Draft EIC-96: �Accounting forGuaranteed Funds�

Copies of any of these documents may be obtained bycontacting the CIA Secretariat, Suite 820, 360 Albert St.,Ottawa, ON, K1R 7X7, Canada. As well, many of themare available directly from the CIA website at<www.actuaries.ca>

CZECH REPUBLICCzech Society of Actuaries

With effect from 1 July 1999, the Czech Society of Actuarieswas admitted as an Associate Member of the GroupeConsultatif. Since its reestablishment in 1992 the Societyhas appreciated the significance of the Groupe for Europeanactuarial profession and has adopted the Code of Conductand the Recommended Practice of the Groupe as bylaws tothe Statutes. It has obtained a valuable support from severalmembers of the Groupe when restoring the insurancemathematics in Czech Republic to its former standard. Atpresent an increasing number of the Society membersperform professional activities for insurance companies andconsulting firms in the European union.

45

The Plenary Assembly of the Society convened in June hasapproved a formal process for the adoption of recommendedstandards of practice and has elected for the next term theAccreditation Commission which bestows the full memberstatus. The Practice Standards are classified as Directivesand Recommendations. The compliance with a Directive isobligatory. A Society member departing from it because ofhis/her professional responsibility has to provide grounds inthe actuarial report. The Practice Standards are authorizedby the Committee as a rule on the proposal of theAccreditation Commission.

Two legislative acts of importance to the actuaries werepassed. The amendment to the Supplementary Pensions Billamplifies the scope of the facultative pension insurance andintroduces tax deductions. At the Plenary Meeting of theSociety Dr. J. Nohejlová (Ministry of Finance) gave a detailedexplanation of the bill. The Vehicle Third Party LiabilityBill transforms the ex lege insurance administered by onecompany to the mandatory contractual form. The Ministryof Finance invited in March the Society members toparticipate in a Workshop on Auto Liability of which Mr. J.S. H. Mc Laren (DSC, Ltd. London) was the principallecturer.

The Seminar on Actuarial Sciences, the main CPD activityof the Society, had 12 sessions in the summer term at theCharles University. By June 30 the Society had 112 membersamong whom 21 were full members.

GERMANYDeutsche Aktuarvereinigung

(German Association of Actuaries)

Komödienstr. 4450667 KölnGermany

Managing Director: Barbara Schneider

Phone: 49 221 912 554 0Fax: 49 221 912 554 44E-mail: [email protected]

Editorial office of Blätter der DGVM:

Prof. Dr. Edgar NeuburgerSchneeglöckchenstr. 10380995 MünchenGermany

The journal Der Aktuar is published quarterly. Pleasecontact the publishing house for information on subscriptionor single copies:

Verlag Versicherungswirtschaft GmbHPostfach 646976044 KarlsruheGermany

Phone: 49 721 35 09 0Fax: 49 721 3 18 33

Editorial office is the bureau of the DeutscheAktuarvereinigung e. V.

1. Membership

DAV:1414 full members

DGVM:1447 full members144 corporate members843 students

2. Annual Convention

The Annual Convention took place in Berlin on April 29and 30 with about 800 participants. The meetingsof the following groups were held on the first day: Life,ASTIN, AFIR, Pension and Health. On the secondday the convention of the DAV and DGVM tookplace. A new board has been elected for a period of fouryears.

Board of DAV:

President: Martin Balleer

Vice-Presidents: Klaus HeubeckKurt Wolfsdorf

Members: Klaus AllerdissenClaus-Jürgen BeyeManfred FeilmeierReiner FürhaupterNorbert HeinenAxel HolzwarthEckhardt HütterDieter KöhnleinHeinz-Werner RichterMichael RosenbergJürgen StraußHanne Wolff

Board of DGVM:

President: Martin Balleer

Vice-Presidents: Elmar HeltenEdgar Neuburger

46

Members: Peter AlbrechtEberhard BertschChristian HippClaudia KlüppelbergJohannes LörperUlrich OrbanzGünther Segerer

Furthermore the convention decided on a revised and updatededition of the statutes of the DAV/DGVM and theestablishment of a procedure for development, promulgationand disciplinary control of professional standards of practicewithin the DAV.

A special highlight of the convention was the presentationof the annual award of the DAV/DGVM for the best articleon insurance mathematics. The award went to Mr. Kreer andMr. Herr for their article �Zur Bewertung von Optionen undGarantien bei Lebensversicherungen�. A summary of thearticle has been published in the journal �Der Aktuar�,volume 5, n° 2, June 1999.

The next convention will be held in Hamburg on 27 and 28April 2000.

INDIAActuarial Society of India

At the Annual General Meeting held on 7th August 1999,the following members were elected as office-bearers forthe year 1999-2000:

1. Mr. K.P. Narasimhan President

2. Mr. V. Rajagopalan Vice-President

3. Ms. R. Padmaja Hon. Secretary

4. Mr. Arpan N. Thanawala Hon. Jt. Secretary &Treasurer

The other members of the Executive Committee are:

1. Mr. Debabrata Basu

2. Mr. D.C. Chakraborty

3. Mr. K.S. Gopalakrishnan

4. Ms. A.G. Rema Maljni

5. Mr. Liyaquat Khan

6. Mr. K.P. Sarma

7. Ms. Meena Sidhwani

8. Mr. S.F. Subhedar

2. Our membership strength as on 31st March 1999 was asunder:

Fellows: 146 (Active Fellows 91)Associates: 87Students: 442

3. Guidance Note on Actuarial Investigations of RetirementBenefit Schemes was finalised and became effective from1st January 1999.

4. During the year 1998-99, fourteen student membersqualified as Associates and one Associate member qualifiedas Fellow.

5. A global conference of Actuaries was held for the firsttime in India on 12th and 13th February 1999. About 200delegates including about 25 delegates from overseascountries such as UK, USA, Canada, Australia, etc.participated in the conference. Over 20 papers connectedvarious fields of life, pension, health insurance, etc. werepresented at the conference.

6. At a sessional meeting held in October 1998, a papertitled �Sharing the Life Assurance Cake� was prepared by amember.

ITALYIstituto Italiano degli Attuari (IIA)

The Istituto Italiano degli Attuari was founded in 1929.

ANNUAL REPORT

1. MEMBERS OF THE BOARD

The Board of Directors elects from its members thePresident, the Vice Presidents, the General Secretary and aTreasurer.

President: Carla Angela MorminoVice Presidents: Mario Alberto Coppini

Antonio LongoGeneral Secretary: Nino SavelliTreasurer: Giuseppe Di TriaAuditors: Roberto Laganà

Angelo Torri

2. ADDRESS

Istituto Italiano degli AttuariVia del Corea, 300186 RomaITALY

Tel. 39 06 3226051 fax 39 06 3226056E-mail: [email protected]

3. MEMBERSHIP

At the end of January 1999 the IIA had the following classesof Members:

47

a) 167 Effective Members

b) 59 Aspirant for Effective Members

c) 40 Affiliate Members

d) 2 Honorary Members

e) 56 Corporate Members

f) 10 Correspondent Members. The number of IAA membersamounts to 167, of which 16 are members of ASTIN, 16members of AFIR and 37 members of ASTIN and AFIR.

4. MEETINGS

First semester 1999: the IIA held the following OrdinaryGeneral Meetings:

January: �La sismicità in Italia: un modello statistico� byprof. Augusto Freddi

February: �Profili di vigilanza delle polizze-unit linked eindex-linked�* by dott. Alberto Corinti

March: �Nuovi contributi circa la valutazione annuadel rischio attuariale nei fondi pensione, scisso anche nellacomponente finanziaria e demografica. Applicazioni.�*By prof. A. Tomassetti, dott.ssa G. Bruno e dott.ssa E.Camerini

April: �La teoria del rischio ed i requisiti patrimoniali minimidelle compagnie di assicurazione� by prof. T. Pentikainen edott. J. Rantala

May: �Il rischio in portafogli polizze sulla vita; il caso delladipendenza dei tassi degli investimenti dalla distribuzionedell�ammontare delle riserve matematiche. Applicazioni.�*by prof. A. Tomassetti, dott.ssa G. Bruno, dott.ssa E.Camerini

May: �Valutazione di alcune opzioni finanziarie asiatiche. Imetodi di calcolo con particolare riferimento al metodoQuasi-MonteCarlo nel procedimento Sobol generalizzato,Van der Corput ed Halton. Applicazioni.�* by prof. A.Tomassetti, dott.ssa G. Bruno, dott.ssa E. Camerini, dott. A.Manna

June: �Contratti assicurativi e pensionistici con minimigarantiti. Calcoli di premi e riserve�* by prof. Massimo DeFelice

June: �DFC, IRR, ROE, EVAR, RAROC ... in assicurazionivita�* by dott.ssa Annamaria Olivieri

July: �Alcune riflessioni sulla didattica della matematicagenerale�* by prof. Lorenzo Peccati

* Copies of these lectures may be obtained by contacting theIIA Secretariat.

5. PROFESSIONAL DEVELOPEMENT COURSES(PDC)

During the first six months of 1999, the IIA, along withConsiglio Nazionale degli Attuari e Consiglio dell�Ordinedegli Attuari, has organized the following PDC:

February, April, May �Assicurazioni sulla durata di vita conprestazioni flessibili. Prodotti unit-linked e index-linked� by:G. Bosser, R. Bratina, A. Olivieri, E. Pitacco.

6. PUBLICATIONS

The Giornale dell�Istituto Italiano degli Attuari (GIIA) ispublished once a year, each issue consisting of about 120-140 pages.

Chief Editor: Luciano DaboniEditorial Committee: C. Angela, M. Angrisani, A. Bellieri,M.A. Coppini, L. Daboni A. Longo, G. Orrù, R. Ottaviani,M. Pagliacci, L. Peccati, E. Pitacco, V. Urciuoli

Secretary: Fabio Grasso

The editor of the GIIA can be reached via the followingaddress:

Giornale dell�Istituto Italiano degli AttuariVia del Corea, 300186 ROMA, ITALY

JAPANThe Institute of Actuaries of Japan

1. The Main Topics of This Year

The Institute of Actuaries of Japan celebrated its centennialanniversary, in Tokyo August 1999.

As one of the commemorative events, the InternationalActuarial Association (IAA), Council and committeemeetings were held in Tokyo. ASTIN/AFIR colloquia andour Centenary Convention were also held during the sameperiod.

ASTIN and AFIR drew over 200 participants to each from30 countries. Our Centenary Convention attracted some 950participants with over 100 international guests.

We received wonderful gifts from Overseas ActuarialAssociations and these will afford a commemorativereminiscence.

At the Centenary Convention, 55 complimentarypersons were awarded for their contributions towardthe IAJ.

From the Vision Committee, key note report titled �Pave theway to the 21st century� and �Action Program� wereintroduced and received many comments from delegates,

48

including overseas guests, and discussed afterwards. We willdevelop a final report based on these comments anddiscussions.

Our Action Program also references the matter of educationscheme. At no time in the past has the level of specializationrequired of the Actuary been as high as it is now. To thisend, our Institute not only wants to encourage our membersto research and study more actively as together withexpressing opinions beneficial to society, but also to bolsterstature and ability of our members as the foundation for suchactivities. For example, we plan to revise our qualifyingexamination from the year 2000 and introduce a morerigorous system of continuing education for our fellowprofessionals.

2. Schedule of Events for 1999

(1) Centenary convention of IAJ

ASTIN Colloquium: from August 22 to 25AFIR Colloquium: from August 24 to 27IAA Meetings: from August 28 to 29IAJ�s Centenary Convention: from August 30 to 31

(2) Students Study Programs to Prepare for QualifyingExamination

Basic course from May 6 to December 7Intermediate course from June 7 to August 23

(3) Qualifying Examination from December 20 to 22

(4) Actuarial Seminar of East Asia from August 5 toSeptember 3

(5) Summer Seminar from September 16 to 17

(6) System Committee�s Annual Meeting fromOctober 27 to 28

3. Introduction of Publications

We issued the following proceedings in 1998 and 1999.

All of them are written in Japanese.

(1) The Exercise for Qualifying Examination 1997 extraproceeding No. 179

(2) Report from the Insurance Actuarial and AccountingResearch Group-Surrender Value extra proceedingNo. 180

(3) Problems in the Management of Corporate Pension Planin Japan extra proceeding No. 181

(4) Report from the Research Group Concerning to theRisks of Life Insurance Industry extra proceedingNo. 182

(5) Report from the Life insurance Business in ForeignCountries Research Group extra proceeding No. 183

(6) The 16th Summer Seminar extra proceeding No. 184

(7) The 38th System Committee�s Annual Meeting extraproceeding No. 185

(8) Report from the Management Accounting Committeeextra proceeding No. 186

(9) The Exercise for Qualifying Examination 1998 extraproceeding No. 187

4. Breakdown of Membership by type of Employmentas of March 31,1999

Fellows Associates Students Total

Life Ins. Co. 404 403 756 1,563Trust Banks 138 79 126 343Non-Life Ins. Co. 133 129 306 568Government 28 19 59 106Co-operatives 10 33 74 117Others 173 160 330 663

Total 886 823 1,651 3,360

5. The Board of Director�s Meeting and GeneralAssembly were held on May 26th, 1999, and newOfficers of I.A.J. were elected.

The officers, including newly elected ones, are as follows;

President Masakatsu NishibeVice-President Junzo TanakaVice-President Norimichi NonoguchiVice-President Satoru YonetaniVice-President Isao HayashiVice-President Hideji Okumura

PORTUGALInstituto dos Actuários Portugueses

Program of Non-Life Science

The second program on non-life science had three disciplinesin the first semester of 1999:

- Regression Models by Luís Portugal;- A Priori Tarification, by Richard Verral;- and Claims Reserving by Luís Portugal.

Appointed Actuaries in Pension Funds

After the implementation of Appointed Actuaries in Life andNon-Life companies the portuguese legislation will oblige

49

the pension funds societies and the insurance companiesmanaging pension funds of defined benefits to have anAppointed Actuary.

Seminars

During the second semester of 1998 the following eventstook place:

- The Social Security Reform Carlos Pereira da Silva,Miguel Gouveia and Eugénio Rosa;

- Asset Liability Management by Julio Koch and ErnestoCosta;

- and The DC-19 Accounting Directive and Pension Funds,by Filomena Oliveira, Gabriel Bernardino and MárioRibeiro.

SOUTH AFRICAActuarial Society of South Africa

P O Box 4464Cape Town8000South Africa

Tel +27 21 509 5242Fax +27 21 509 0160http://www.assa.org.za

1. Office bearers and membership

At the close of the 1999 Annual General Meeting (AGM),to be held on 3 November, Blignault Gouws will assume theoffice of Immediate Past President and Paul Truyens willbecome the new President. The other office-bearers will beelected at the AGM.

Having broken through the 1 000 level for the first time inits fifty years of existence, the membership figures of theActuarial Society reached another milestone when the levelof 400 Fellow members resident in the Republic was brokenearlier this year. At the same time, the Actuarial Society�sstudent numbers broke through the 600 barrier for the firsttime. On 30 June 1999, the Actuarial Society had 1 164members. In total, it had 457 Fellow members, 45 of whomare resident outside South Africa, and 652 Student members,16 of whom do not reside in South Africa. The balance ismade up by Associate (38) and Library (17) members.

2. Meetings: Review

In an important development, the Council of the ActuarialSociety decided that non-members, e.g. the media and generalpublic, are welcome to attend the Society�s meetings,provided that the right is reserved to discuss in-house mattersat closed meetings.

Various sessional meetings were held during the year. Issuesregarding professional conduct and continuing professionaldevelopment were discussed at meetings held in Cape Townand Johannesburg in February. The Actuarial Society�sStrategic Plan, which was developed in 1998 and presentedat the 1998 Convention, was discussed and approved atmeetings held in March. A panel discussion, also involvingpension lawyers and pension practitioners, consideredpossible discrimination in retirement fund rules. Arepresentative of the Department of Health took part indiscussions on the regulations under the new MedicalSchemes Act.

Rather unfavourable comments in the media gave rise tomeetings on �Actuaries: The Public Image and the PublicInterest�, held in August. Possible and perceived �sins ofthe past� were discussed. These discussions will be taken astep further during a plenary session at the 1999 Convention.

A general insurance mini-convention was held inJohannesburg and a life assurance seminar in Cape Town.

3. Meetings: Preview

The 1999 Convention will be held on 2 and 3 November, atthe Eskom Conference Centre in Midrand. The AnnualGeneral Meeting will be held on 3 November.

Apart from the �Public Image and Public Interest� discussion,the question of continuing professional development willbe discussed further during the presentation of a paper byPeter Withey, ASSA CPD Scheme - The Next Chapter. Otherpapers will deal with actuarial education in South Africa,the impact of HIV/Aids on medical scheme solvency, socialsecurity, the 1996 census, actuarial salary surveys, financialmanagement, retirement matters, international developmentsand healthcare.

4. Other business

The previous report referred to the Actuarial Society�s liaisonwith the Department of Finance on the possible introductionof index-linked bonds in South Africa. The matter alsoreceived some attention in the media. Representatives fromthe Asset Management desk of the Department of Financeaddressed sessional meetings of the Actuarial Society on theissue. There appears to be significant support in thedepartment for this initiative.

In a recent determination, the Pension Funds Adjudicatorrequested the Actuarial Society to provide him with guidelineson best practice on certain ethical issues, such as when there isa significant shift in value during conversions from one fundto another. This, as well as earlier determinations by theAdjudicator, indicates a closer working relationship betweenthe Adjudicator and the Actuarial Society.

50

The Financial Services Board has undertaken a fundamentalredrafting of the Pensions Act. The intention is that a workingparty will provide a plain language version. Wide consensuswill be sought on this draft before it is cast into legalese.The working party is advised by a �Wise PersonsCommittee�, on which the Actuarial Society is represented.

The Road Accidents Fund Commission is looking into anequitable, affordable and sustainable system of providingcompensation or benefits in the event of the injury or deathof people in road accidents in the Republic. A task groupunder ASSA President Blignault Gouws submitted amemorandum to and gave oral evidence before theCommission, while Immediate Past President Reg Munroassisted the Law Society with their submission to theCommission.

UNITED KINGDOMThe Faculty and Institute of Actuaries

SESSIONAL MEETINGS

SESSION 1998/99

Bulletin 27 contained information on papers submitted tothe Faculty and Institute of Actuaries in the last six monthsof 1997 and first six months of 1998. This report covers thelast six months of 1998 and the first six months of 1999.

The Institute of Actuaries held eight Sessional Meetings:

18 September 1998�A Crisis of Longer Life - Reforming Pension Systems� byChris D. Daykin and David Lewis

26 October 1998�The Methodology of Actuarial Science� byJohn M. Pemberton

23 November 1998�International Measures of Profit for Life AssuranceCompanies� by P.J.L. O�Keeffe, A.C. Sharpe with aSupplementary Paper by Bill Abbott

25 January 1999Discussion of Vision and Values Project as put forward bythe Faculty and Institute Presidents.

22 February 1999The Regulatory Role Of The Actuary by C. D. Daykin

22 March 1999Report of the Working Party on �The Closed FundAlternative�

26 April 1999Report of the Working Party on �The Role andResponsibilities of Actuaries in the Defined ContributionEnvironment in the United Kingdom�

24 May 1999Report of the Working Party on �Financial Services andInvestment Markets in a Low Inflationary Environment�

The Faculty of Actuaries held five sessional meetings:

5 October 1998Presidential Address

16 November 1998Continuing Care Communities - Attractive to members butwhat what about Sponsors - a paper by R A Humble andD G Ryan

18 January 1999A Crisis of Longer Life: Reforming Pension Systems - apaper byC D Daykin and D Lewis

15 February 1999Discussion on Vision and Values

15 March 1999Developing an Accounting Standard for Life AssuranceBusiness - a paper by D O Forfar and N B Masters

In addition to the Sessional Meetings, a programme ofresidential and non-residential conferences on the followingsubjects of importance to actuaries were organized jointlyby the Faculty and Institute of Actuaries.

The Lloyd�s Actuary

Investment Conference

8th International AFIR Colloquium

Pension Scheme Wind-Ups

Stochastic Modelling for Life Offices

General Insurance Convention

29th International ASTIN Colloquium

The Role of the Pension Scheme Actuary

Selling Skills for Actuaries

1999 Actuarial Life Convention

Continuing Care Retirement Communities seminar

Risk Analysis and Management for Projects (RAMP)seminar

Asset Liability Modelling

Life After Birmingham - Follow up to the Life Convention

Investment Strategies for Pensions Actuaries

Current Issues in Life Assurance

Capital or Risk, Allocation or Return, Chicken or Egg

Non-Traditional Reinsurance

51

1999 Investment Conference

Products and Pricing

CILA Revisited

Planning Personal Finance Professionally

Customer Lifetime Value

1999 Pensions Convention

Joint seminar with the Casualty Actuarial Society

The Faculty and Institute published the British ActuarialJournal Volume 4, Parts II, III, IV and V and Volume 5 Part1. These contain the papers and reports of the discussions atSessional Meetings of the Institute and the Faculty from June1998 to June 1999.

Copies of the British Actuarial Journal can be obtained fromthe Institute of Actuaries, Napier House, 4 Worcester Street,Oxford OX1 2AW, UK price £95 per volume plus postageand packing, or £25 per part plus postage and packing.

The officers elected to the Institute of Actuaries and theFaculty of Actuaries for 1999/00 are:

INSTITUTE

President P N Thornton

Vice-Presidents J GofordA S Fishman

Honorary Secretaries N B MastersP D Needleman

Treasurer D R Linnell

FACULTY

President C W F Low

Vice-Presidents T D KingstonM J LevettM D RossW W Stewart

Honorary Secretaries N M BrysonP J F Taylor

Honorary Treasurer R M Budge

Membership Statistics

Institute as at Faculty as at Total28.2.99 31.12.98

FellowsHome 3632 726 4358Overseas 1263 259 1522

Total 4895 985 5880Note: �Home� encompasses Fellows resident in Europe.

UNITED STATESCASUALTY ACTUARIAL SOCIETY

1100 North Glebe RoadSuite 600Arlington, VA 22201

Phone: (703) 276-3100Fax: (703) 276-3108

Web Site: http://www.casact.org

E-mail: [email protected]

1. AFFILIATE MEMBERSHIP

The Casualty Actuarial Society in 1998 adopted a class ofmembership, Affiliate, to serve qualified actuaries whopractice in the general insurance field and wish to be activein the CAS, but do not meet the qualifications to become anAssociate or Fellow of the CAS. Affiliate Membershiprecognizes that the Affiliate Member has been grantedprofessional status as an actuary by another actuarialorganization and practices in the property/casualty field. Todate eight actuaries have been approved as CAS AffiliateMembers.

Affiliates are governed by the CAS Constitution, Bylawsand Code of Professional Conduct, and are subject to CASdisciplinary procedures (documents may be viewed on theCAS Web Site). Practice rights are not granted to AffiliateMembers; rather they must adhere to U.S., Canadian, or othernation specific qualification standards to determine eligibilityto practice.

Affiliates are entitled to attend meetings and seminarsof the CAS by paying the fees specified for members,participate at Society functions, and serve on CAScommittees (except for Admissions and Board committees).Affiliates are assessed the same dues as Associates andFellows.

Affiliates may submit papers to the Proceedings and theForum. The Proceedings is the annual refereed publicationof the CAS, while the Forum is a non-refereed journal whichprovides a means of immediate circulation of research papers.Affiliates receive all CAS publications including theProceedings, Discussion Papers, Forum, Actuarial Review(a quarterly newsletter), Syllabus and Yearbook. They alsoare granted access to the Members Only section of the CASWeb Site (upon application for a password).

Additional information and an application form for AffiliateMembership are posted on the CAS Web Site (in the �AboutCAS� section at http://www.casact.org/aboutcas/about.htm)or are available from the CAS Office.

52

2. NEW EXAMINATION STRUCTURE

The CAS examination structure will be revisedbeginning with the Spring 2000 exams. A CAS specialtask force in 1997 had assessed the current CASeducation system to determine if any changes to thesystem were needed to educate the actuary of the future.The Board of Directors has adopted the taskforce restructuring recommendations for a syllabusof seven Associate level exams and two additionalexams for Fellowship. The first four exams will be jointlyadministered with the Society of Actuaries. A descriptionof the new examination structure, CAS transitionrules, and other details are available on the CAS WebSite (Students� Corner section) or by contacting the CASOffice.

3. FUTURE MEETINGS AND SEMINARS OF THECASUALTY ACTUARIAL SOCIETY

SOCIETY MEETINGS

1999 Annual Meeting 2000 Spring MeetingNovember 14, 15, 16, 17 May 7, 8, 9, 10San Francisco Marriott The MirageSan Francisco, California Las Vegas, Nevada

2000 Annual Meeting 2001 Spring MeetingNovember 12, 13, 14, 15 May 6, 7, 8, 9J. W. Marriott Fontainebleau HiltonWashington, D.C Miami, Florida

2001 Annual Meeting 2002 Spring MeetingNovember 11, 12, 13, 14 May 19, 20, 21, 22Marriott Marquis Hotel del CoronadoAtlanta, Georgia Coronado, California

2002 Annual Meeting 2003 Spring MeetingNovember 10, 11, 12, 13 May 18, 19, 20, 21Marriott Copley Place Marriott�s Marco IslandBoston, Massachusetts Resort

Marco Island, Florida

2003 Annual Meeting 2004 Spring MeetingNovember 9, 10, 11, 12 May 16, 17, 18, 19New Orleans Marriott The BroadmoorNew Orleans, Louisiana Colorado Springs,

Colorado

2004 Annual MeetingNovember 14, 15, 16, 17The Queen Elizabeth HotelMontreal, Quebec, Canada

CASUALTY LOSS RESERVE SEMINAR

Jointly sponsored with the American Academy ofActuaries

2000 2001September 11, 12 September 10, 11Hilton and Towers Fairmont HotelMinneapolis, New Orleans,Minnesota Louisiana

2002 2003September 23, 24 September 8, 9Crystal Gateway Chicago MarriottMarriott DowntownArlington, Virginia Chicago, Illinois

SEMINAR ON RATEMAKING

2000 2001March 9,10 March 12, 13Hotel del Coronado The MirageSan Diego, California Las Vegas, Nevada

2002 2003March 7, 8 March 27, 28Tampa Marriott San Antonio MarriottWaterside RivercenterTampa, Florida San Antonio, Texas

SEMINAR ON REINSURANCE

2000 2001June 15, 16 July 11, 12, 13Boston Marriott Sonesta Beach ResortCopley Place BermudaBoston, Massachusetts

SEMINAR ON VALUATION OF INSURANCEOPERATIONS

2000April 10, 11Regal Riverfront HotelSt. Louis, Missouri

SEMINAR ON DYNAMIC FINANCIAL ANALYSIS

2000July 17, 18Marriott MarquisNew York,New York

53

4. 1999-2000 OFFICERS

Alice H. Gannon PresidentPatrick J. Grannan President-ElectSteven G. Lehmann Immediate Past PresidentCurtis Gary Dean VP-AdministrationMary Frances Miller VP-AdmissionsAbbe S. Bensimon VP-Continuing EducationDavid R. Chernick VP-Programs and CommunicationsGary R. Josephson VP-Research and Development

5. MEMBERSHIP STATISTICS (AS OFSEPTEMBER 1, 1999)

Associates 1350

Fellows 1926

Affiliates 8

Total 3,284

THE CONFERENCE OFCONSULTING ACTUARIES

History and Mission of the Conference

The roots of the Conference of Consulting Actuaries can betraced to the fall of 1949, when six consulting actuaries metfor lunch in Chicago to discuss the need for an organizationto set standards and exchange information among consultingactuaries.

In January 1950, five of these actuaries and two others,obtained a certificate of incorporation (dated December 1949)for the Conference of Actuaries in Public Practice (CAPP)and established the Conference�s Bylaws. Later, the Guidesto Professional Conduct and Interpretive Opinions wereadded. The Conference held its first membership meeting atthe Edgewater Beach Hotel in Chicago on October 3, 1950.Thirty-five Conference members attended. Today,membership in the Conference surpasses 1,000.

In October of 1991, the membership of the Conference votedto change its name to the Conference of Consulting Actuaries(CCA). This inserts into the title of the organization the wordthat best describes what Conference members provide:Consulting.

Recently, the Conference leadership developed a MissionStatement and General Objectives to put into clearer focusthe purpose and future direction of the organization. Theyare as follows:

Mission Statement

The Conference of Consulting Actuaries advances thepractice of actuarial consulting by serving the professional

needs of consulting actuaries and by promoting members�views within the actuarial profession.

General Objectives

1. Provide educational forums for consulting actuaries toexpand their knowledge of key issues, to discuss and fosterpractical applications of actuarial science and to enhancetheir consulting skills.

2. Ensure that members are effectively represented on issuesaffecting their practices, their clients and their ability toserve the public interest.

3. Promote and enforce professional standards ofqualification, conduct and practice.

4. Ensure that CCA�s structure, processes and resourcesenable the accomplishment of its Mission in an efficientmanner.

The Conference strives to meet the changing needs andinterests of its members in a number of ways. Its programfor Recognition of Continuing Professional Educationencourages members to further their knowledge and expertisein actuarial science. The Conference�s newsletter, TheConsulting Actuary, provides members with information onCCA activities and issues affecting the profession, while itsAnnual Meetings encourage open exchanges of ideas amongactuaries. The Conference�s yearly journal, The Proceedings,contains research papers and transcripts of sessions held atthe Annual Meetings.

Organizational Update

The Conference�s recent activities are as follows:

Meetings and Seminars

The CCA�s 1999 Annual Meeting is being held in BocaRaton, Florida, October 10-13, at the Boca Raton Resortand Club. In addition to our solid program content, Monday�sgeneral session �ABCD Mock Hearing - The Case of HanSolo� should be lively yet educational. Facts from actualcases will be presented. The audience will get a closerlook at the ABCD process and how the case is resolved.Following a full day of sessions, meeting registrants andtheir registered guests will join us for an enjoyable eveningon the shores of the ocean for food, drink, and entertainmentunder the stars.

The year 2000 offers additional interestingeducational opportunities to the actuarial profession. TheCCA is hosting three different one-day seminars.The first is �Overview of Legal Applications in theHealth and Welfare Actuarial Field,� the other two are

54

pension topics. They are titled as follows: �An Overview ofLegal Applications in the Actuarial Field,� and �Overviewof ERISA - The Non-tax Provisions.� We are seekingapproval of the aforementioned seminars from theSociety of Actuaries to ensure they qualify as ApprovedProfessional Development activities. We are looking intooffering additional seminars on other topics of interest toconsultants.

The 2000 Enrolled Actuaries Meeting Committee ismeeting this month to set the meeting session topics.The meeting is being held at the WashingtonMarriott Wardman Park Hotel in Washington, DC,March 26-29.

Web Page

Stop by and visit our revised site. CCA members have avaluable additional

resource in our web site. Members may viewrecently approved minutes from Board and ExecutiveCommittee meetings, review our Recognition forContinuing Professional Education program, viewmeeting and seminar brochures as they becomeavailable, and participate in our Work ProductReview Program. If you would like to visit our site, we areat http://www.ccactuaries.org.

The Proceedings and The Proceedings Index

The Proceedings from the 1998 Annual Meeting isexpected to be available in November. Our printedversion has been changed to a lexitone cover. This year,in addition to the printed volume, all full dues payingmembers will receive three years (1996-1998 volumes)of Proceedings on CD-ROM. The books sell for$95* each and the CD-ROMs sell for $125* each.Please contact the CCA office if you would like to place anorder.

*Illinois state tax is additional

THE SOCIETY OF ACTUARIES

Howard J. BolnickPresident, Society of Actuaries

Mailing address:

Radix Health Connection LLC435 N. LaSalle, Suite 400Chicago, IL 60610-4556

Telephone: (312) 396-1010Facsimile: (312) 396-1040


A. Norman Crowder, IIIPresident-Elect, Society of Actuaries

October-May

708 Woodhaven LaneNaples, FL 34108

Telephone: (941) 514-3921Facsimile: (941) 514-2784

May-October

159 East AvenueNew Canaan, CT 06840

1. ELECTION RESULTS

The results of the election, as tallied on August 10, 1999,for the 1999-2000 are as follows:

President-Elect Robert L. BrownVice-Presidents David N. Becker

Morris W. ChambersStephen G. Kellison

Board of Governors Vincent AmorosoWilliam J. Bugg, Jr.Thomas R. CorcoranEdward L. RobbinsShirley Hwei-Chung ShaoJudy L. Strachan

The newly-elected officials assumed their newresponsibilities at the Society�s 1999 Annual Meeting in SanFrancisco, CA, October 1999.

2. NORTH AMERICAN ACTUARIAL JOURNAL

The Society of Actuaries is looking for authors to submitpapers and articles on a wide-range of topics. The NAAJpublishes papers from new and developing areas of actuarialpractice, including:

� Research on emerging public policy debates� Technology improvements� Demographic trends.� Globalization issues� Multi-disciplinary topics providing useful insight to

practicing actuaries.

The submission process is simple: submit two (2) copies ofyour paper along with a one-page abstract which outlinesthe scope and objectives of your paper, including author andpaper information and the names (and how to contact them)of up to three potential reviewers for the refereeing process.For a copy of the �Submission Guidelines for Authors,�

55

please contact Cheryl Enderlein, CommunicationsCoordinator, at 847/706-3563, or via e-mail([email protected]).

Subscription Information

The North American Actuarial Journal is published quarterlyat the following rates: 1 year (4 issues) for $95.00, 2 years(8 issues) for $165, and 3 years (12 issues) for $250.00 (pricesin U.S. dollars). Send your name, company name, fullmailing address, and either a check or credit card information(MasterCard and Visa are accepted; include card number,expiration date, telephone number, and signature) to theBooks and Publications Department at the following address:

Society of ActuariesBooks and Publications Department475 North Martingale Road, Suite 800Schaumburg, IL 60173-2226

Remittance must accompany orders. For Canadian orders,please add 7% GST tax. For overseas orders, please add20% postage charge. U.S. funds drawn on U.S. currency onU.S. banks are preferred. If you have questions, pleasecontact the Books and Publications Department by phone(847/706-2526), fax (847/706-3599), or e-mail([email protected]).

3. FUTURE SOCIETY OF ACTUARIES MEETINGS

For details on the above seminars and those underdevelopment, watch for future SOA mailings or call theContinuing Education Department at 847/706-3545 or 847/706-3540. The following additional seminar topics are inthe planning stages for 1998-99. All dates/locations aretentative.

- Corporate and Chief Actuaries Open ForumTBA

- Retirement 2000February 23-24Washington, DC

- Asset Liability SeminarFebruary 22New York, NY

- Annuity Conference- March 30-31- Atlanta, GA

- SOA Spring Meeting- (Financial Report/Product Development)- June 22-23- San Diego, CA

- SOA Spring Meeting- (Health & Pension)- May 22-24- Las Vegas, NV

- Valuation Actuary Symposium- September 14-15- Washington, DC

- SOA Annual MeetingOctober 15-18Chicago, IL

For details on the above seminars and those underdevelopment, watch for future SOA mailings visit the websiteat http://www.soa.org or call the Continuing EducationDepartment at 847-706-3545 or 847-7063540. Thefollowing additional seminar topics are in the planningstages for 1999-2000. All dates/locations are tentative.

4. RECENT PUBLICATIONS

Actuarial Mathematics, Second Edition

Since the publication of the first edition of ActuarialMathematics in 1986, actuarial science has absorbedadditional ideas from economics and the mathematicalsciences. Although it would be impossible to capture thefull effect of all these changes in the revision of a basictextbook, this second edition is a step in an ongoing processof adaptation designed to keep the fundamentals of actuarialscience current with changing realities. At the same time,this second edition continues the philosophy of the firstedition in its presentation of what has come to be identifiedas the modern mathematical foundation of actuarial science.

Among the book�s key features is the probability approach,and the discussions build on the development of themathematics of probability and the entry of risk into decisiontheory. Another key feature is the integration of lifecontingency concepts with risk theory. The textbook is usedin SOA Courses 150 and 151 and is on the recommendedreading list for Seminar 152.

�We�re in a technological revolution, and we have to keepmoving ahead with new ideas. Time marches on,�said JamesC. Hickman, one of the book�s five original authors and oneof the three who revised the text.

Among the notable differences in the revised text are a newchapter on stochastic models of interest rates and theomission of commutation functions, no longer a staple ofactuarial calculations. In the new text, readers are insteadasked to use current software to complete exercises thatillustrate actuarial calculations. To this end, this secondedition takes advantage of the general availability of powerful

56

personal computers. The resulting freedom means that thereis no longer a single preferred method for computing resultsfrom actuarial models and also that more complex modelsare feasible. As a consequence, suggestions for computingare in Act Math and it is recognized that it is no longernecessary to be constrained to traditional computing methods.

Also, said Hickman, �The whole approach to regulation isentirely different in the second edition. Specific insuranceregulations and practices in Canada and the U.S. are relegatedto examples and exercises. The basic issues that motivateregulation and practice survive.� He added, �We�re goinginternational-this text has an audience in Mexico, Asia, andperhaps elsewhere. There are new ideas, new commercialpractices. One of them is the pension area: the decline ofdefined-benefit plans and the rise of defined contributionplans. But we didn�t change it; the world did. But we mustacknowledge these types of changes in our work.�

In general, �we attempted to eliminate some of the productspeople have lost interest in and include current products,�saidNewton L. Bowers, another of the revised text�s authors.�Retirement income policies, also known as incomeendowment policies, have been virtually unknown for 15years. Those and others may have historic interest, but thatisn�t the focus of Act Math.� New products includeaccelerated benefits for terminal illness and long-term care.

Donald A. Jones, another of the revised text�s authors,observed, �A lot of teaching is done by professors doingresearch because you can�t get cutting-edge developmentsinto print very quickly. We know that the publication processkeeps us from being as current as everyone would like, butwe believe the new edition of Act Math will be useful forteachers and students. It offers much of the latest thinkingin actuarial science.�

A textbook at the foundation of a profession also must bereadable. This one is. It contains a wealth of charts, graphs,tables, examples, and exercises clarifying the theory. ActMath is well suited to self-study and the immediateapplication of its tools.

The cost is $75.00 and the book can be ordered through theSOA Books Department (phone: 947/706-3526; fax: 847/706-3599; e-mail: [email protected]).

Transactions, Society of Actuaries, 1995-96 Reports

The TSA 1995-96 Reports varies slightly from previousvolumes. Volume XLVII (1995) of the Transactions wasthe last in that series. The TSA Reports will continue topresent mortality and experience studies, task force reports,and industry studies. Beginning with this volume, the TSAReports will also include the Presidential Address, Financial

Reports, Obituaries, and any other studies deemed suitable.

The first two research papers to be published in the TSAReports appear in this volume:

� �Specifications for Calculating Life Insurance PolicyReserves under Sections 5 and 8 of the NAIC StandardValuation Law as Amplified by the Valuation of LifeInsurance Policies Model Regulation�by Peter G. Hendee

� �Continuing Care Retirement Community ResidentMortality and Life Expectancies�by Harold L. Barney.

Included in the 1995-96 TSA Reports are the followingreports of the Society of Actuaries experience committees:

� 1988-89 Individual Life Mortality Experience

� 1989-90 Individual Life Mortality Experience

� 1983-88 Mortality by Cause of Death

� 1991-92 Group Annuity Mortality Experience.

The following reports generated by various Society ofActuaries research activities are also included:

� �Dynamic Solvency Testing: Boundaries of RiskDefinition Phase�by Donna R. Claire

� �Annuity 2000 Mortality Tables�by Robert J. Johansen

� �Plan Terminations in Ontario from 1988 to 1993�sponsored jointly by the Retirement Systems ResearchCommittee of the Society of Actuaries and the Task Forceon Pension Plan Coverage of the Canadian Institute ofActuaries

� Report of the Society of Actuaries Task Force on PreferredUnderwriting

� �Mortality under Structured Settlement Annuities for1990-93� by the Structured Settlements Valuation TaskForce.

In addition, the following reports of experience studies ofinterest to actuaries, prepared by the Canadian Institute ofActuaries, are included:

� Report on the Canadian Institute of Actuaries GroupMortality Study for the 1989 Experience Year

� �Mortality under Canadian Standard Ordinary InsuranceIssues Studied between the 1991 and 1992 Anniversaries�Report of the Individual Life Section of the Committeeon Expected Experience.

We express our thanks to LIMRA, International forpermitting us to reproduce the following studies of interestto actuaries, prepared by that organization:

57

� United States Lapses by Duration and Product Line: Long-Term Ordinary Lapse Survey

� Canadian Lapses by Duration and Product Line: Long-Term Ordinary Lapse Survey

� Universal Life Persistency Study (jointly sponsored byLIMRA and SOA)

� Annuity Persistency Study (jointly sponsored by LIMRAand SOA).

� Group Medical Insurance Large Claims DatabaseCollection and Analysis

($35.00-U.S. Dollars SOA member)($75.00-U.S. Dollars Non SOA member)

Group Medical Insurance Large Claims Database Collectionand Analysis

The purpose of this research project, which was jointlyfunded by the Health Section and the Society of Actuaries,was �To assemble and analyze a limited database whichmay serve as a model for expanded intercompany studiesof health care benefits in the future.� The focus of theproject was on the types and incidence of large claims,defined as claims totaling $25,000 or more for any oneyear.

SOA Monograph M-HB97-1 ($ 35.00-U.S. Dollars)

Securitization of Insurance Risk: The 1995 BowlesSymposium

During the late 1980s and early 1990s, we have seeninsurance and financial markets interact more closely thanever before. New tools for managing insurance risk emergefrequently, usually with roots in financial markets. A strongmotivating factor has been the record number of naturalcatastrophes and their impact on insured losses. The potentialfor earthquake and storm losses in the U.S. exceeds insurancemarket capacity. Reinsurers, banks, security exchanges, andothers are developing products, sometimes involving thecreation of new organizations or joint ventures, to profitablymeet this demand. The 1995 Bowles Symposium provideda forum for exploring some of these products and discussingnew possibilities.

The Chicago Board of Trade futures on catastrophic lossindices provided an early example of these products, perhapsthe first exchange-traded insurance derivative securities.Over-the-counter products such as bonds with coupons orprincipal payments tied to an insurance portfolio loss ratioare examples of privately placed insurance securities. There

is more information available on the publicly tradedexamples, and naturally, the majority of the symposiumpapers treat these products. The symposium was organizedin three sessions, as follows:

� Interplay between Capital Markets and Insurance� Insurance Futures� Actuarial Bridge between Insurance and Finance.

The symposium was above all intended to promote anunderstanding of the basic ideas of securitization and todiscuss the fundamentals of new emerging products. Theinteraction between innovations in the financial markets andthe needs of the insurance sector has been a excellent topicfor bringing financial specialists and actuaries closer togetherso that they can learn from each other.

SOA Monograph M-F197-1 ($35.00-U.S. Dollars)

New Actuaries Office to serve students andmembers in East Asia

Patrick Cichy, the coordinator of Asian services, set up theSociety of Actuaries representative office in HongKong in November 1997. The office has been reorganizedas a joint representative office as of 1 July 1999 to pursuethe common interests of the Society of Actuaries, the Facultyand Institute of Actuaries, the Actuarial Society of HongKong, and the Institute of Actuaries of Australia. Hostedby the ASHK, the joint representative office known as theActuaries Office in Hong Kong will serve the membersand students of the participating organizations in East Asia.The Office will help to promote the actuarial profession andactuarial education through the combined and co-ordinatedefforts of the organizations. The joint office is administeredby Patricia Kum as Patrick has returned to the UnitedStates.

The office�s responsibilities will include coordinatingcontinuing education seminars for members, furnishinginformation on the actuarial profession to the public inEast Asia, providing staff support to the organizations�volunteer committees, and liaising with national actuarialassociations.

Correspondence for the office should be addressed to: PatriciaKum, Actuaries Office in Hong Kong, Units 2207-2212, 22/F Miramar Tower, 1-23 Kimberley Road, Tsim Sha Tsui,Kowloon, Hong Kong. Patricia can also be contacted bytelephone at (852) 2199 1110, by fax at (852) 2730 5356 orby e-mail at [email protected].

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9. REPORTS FROM OTHERORGANIZATIONS

INTERNATIONAL SOCIAL SECURITYASSOCIATION

The 26th General Assembly of the ISSA took place inMarrakech, Morocco from 25-31 October 1998. As part ofa number of constitutional changes, Executive Committeeswere established to replace the former Permanent Committeestructure, so there is no longer a Permanent Committee forStatistical, Actuarial and Financial Studies. The ExecutiveCommittee for Social Security Actuaries and Statisticians,which had been formed several years ago on the initiative ofmembers of the Permanent Committee, was confirmed aspart of the new structure. The Chairman of the ExecutiveCommittee (Chris Daykin, who also represents the ISSA onthe Council of the IAA) has been co-opted to the Bureau ofthe ISSA.

At the General Assembly, a half-day meeting was presentedby the Executive Committee for Social Security Actuariesand Statisticians on the topic �Standards of Practice for SocialSecurity Actuaries�. The concept of developing aninternational standard had widespread support and it wasagreed to refer the matter to the Council of the IAA, with aview to the IAA developing the standard and recommendingit to the ISSA for adoption and promulgation to membersocial security institutions.

An Interregional Training Seminar on Actuarial andStatistical Techniques was held for the countries ofFrench-speaking Africa in Marrakech, Morocco from 26-30April 1999. The Third Seminar for Social SecurityActuaries and Statisticians will be held in Berlin,Germany on 25-26 October 1999. The 13thInternational Conference of Social Security Actuaries andStatisticians will be held in Quebec, Canada on 10-12October 1999. It is hoped that many actuaries who areinterested in social security matters will attend on thisoccasion.

ISSA has supported the production of a text-book onActuarial Mathematics of Social Security by the former ChiefActuary of the ILO Social Security Department, Mani Iyer.It is hoped that this will be published shortly in English andthat a translation into Spanish will be made available in duecourse.

The ISSA web-site (http://www.aiss.org) is a useful sourceof information about social security, and a number of theISSA technical papers can be found there, as well as listingsof publications.

GROUPE CONSULTATIF DES ASSOCIATIONS -D�ACTUAIRES DES PAYS DES COMMUNAUTÉSEUROPÉENNES

Napier House4 Worcester StreetOxford OX1 2AW, UK

Secretary: John Henty

Telephone: (44 1865) 268218Telefax (44 1865) 268233)


1. The 22nd Annual Meeting of the Groupe Consultatif washeld in Vienna in October 1999.

The officers elected for 1999/2000 were:

Chairman Manuel Peraita (Spain)Vice Chairmen Peter Clark (UK)

Alf Guldberg (Sweden)

2. During the year, the actuarial associations in Cyprus andthe Czech Republic were admitted as Associate Members,having met the criteria for full membership but not beingsituated in a Member State of the European Union.

At the Annual Meeting, the Association des Actuaires deBretagne was admitted a Full Member of the Groupe andthe actuarial associations in Croatia, Estonia, Latvia,Lithuania and Slovenia were admitted as ObserverMembers.

There are currently 31 member associations in the Groupefrom 25 countries.

3. In furtherance of its core activity of commenting onexisting and proposed EU legislation, where issues ofinterest to the actuarial profession are concerned, theGroupe has:

� Contributed to the discussions leading to publicationin May 1999 of the European Commission�s ActionPlan for Implementing the Framework for FinancialMarkets, an aspirational programme for rapid progresstowards a single financial market. The Groupe will berepresented at regular meetings of interestedorganizations monitoring implementation of the actionsoutlined in the plan;

� Considered and commented on technical proposalsfrom the Commission to update and improve the currentEU solvency margin rules;

59

� Commented to the Commission on the results ofconsultations on proposals relating to the single marketfor supplementary pensions;

� Discussed with the Commission issues in insuranceaccounting, with particular reference to proposals beingdeveloped by the International Accounting StandardsCommittee for an international accounting standard forinsurance.

4. The 12th Colloquium of the Groupe Consultatif was heldin Brussels on 15 October 1999, on the theme �TheActuary faced with the Introduction of the Euro andfluctuations in interest rates�. The Groupe�s 13thColloquium will be held in Oxford on 15 September 2000.

5. The Groupe�s Summer School was organized by the SwissAssociation of Actuaries in Lausanne from 9-13 August1999, jointly with the 15th International Summer Schoolof the Association. The subject was �Modelling extremalevents for insurance and finance�.

6. Meetings were held in Brussels on 7 and 8 May 1999with the Pensions and Insurance Supervisory Authoritiesin the European Union. The two subjects discussed withthe Pensions Supervisors were asset liability managementand the supervision of pension funds and definedcontribution arrangements. The theme of the meetingwith the Insurance Supervisors was the impact of lowEMU interest rates on EU insurance undertakings.

60

10. TABLE OF CONTENTS OFACTUARIAL JOURNALS

German Association of Actuaries (DAV)Der Aktuar

Volume 5, n° 1, March 1999

Jörg Fillers: Invaliditätsversicherung in denUSA ................................................................................. 2

Sebastian Solbach: Modelluntersuchungen zurBerücksichtigung von Selektionseffekten bei derBeitragskalkulation in der deutschen privatenKrankenversicherung ....................................................... 8

Johannes Leinert, Gert Wagner: Ergebnisse einerUmfrage zur Nachreservierung bei Umstellung derRechnungsgrundlagen für private Renten auf dieSterbetafeln DAV 1994 R .............................................. 16

Der Zeitwert eines Lebensversicherungsvertragsmit natürlichem Überschußsystem ................................ 18

Kurt-Wolfgang Kunkel: Schlußüberschußanteil undnatürliches Überschußsystem ........................................ 20

Prof. Dr. Manfred Helbig: Leserbrief ............................ 23

Dr. Bernhard Schmidt: Zur aktuariellen Entwicklungangemessener Stornoabzüge in derLebensversicherung ....................................................... 24

Olaf John: Der Kapitalanlageprozeß (III) ...................... 27

Bericht von der 15. Tagung der deutschen AFIR-Gruppe am 29. April 1998 in Ulm ................................ 30

Bericht über die Herbsttagung der ASTIN-Gruppe ........................................................................... 30

Verschiedenes ................................................................ 32

Volume 5, n° 2, June 1999

Protokoll der Mitgliederversammlung 1999 ................. 42

Hans-Otto Herr, Markus Kreer: Zur Bewertungvon Optionen und Garantien beiLebensversicherungen ................................................... 52

Prof. Dr. Raimund Rhiel: Die Berechnung vonversicherungstechnischen Rückstellungen undZeitwerten von Versicherungsverträgen ........................ 56

Verfahren zur Feststellung von Fachgrundsätzen .......... 61

W. Deichl, D. Reichelt: Berichte von der Frühjahrstagungder LEBENS-Gruppe der DAV ..................................... 63

Verschiedenes ................................................................ 66

ITALY

Giornale dell�Istituto Italiano degli Attuari

Table of contents Vol. LXI 1998, n. 1-2, of the GIIA.

�Valori medi e simulazione per la proiezione degli oneri di un fondo pensioni a prestazionepredeterminata� by P. De Angelis, F. Gismondi ..... pag. 1

�Metodi Stocastici per la Gestione Finanziariadi un Fondo Pensione� by M. Micocci ................ pag. 17

�The Linear Relationship Between ExpectedReturns and Price of Risk: A note on APT�by A. Sbuelz ......................................................... pag. 33

�Sull�andamento della minima riserva disicurezza al variare della priorità in riassicurazioneeccesso sinistri� by R. Daris ................................. pag. 43

�Moment Generating Function and AssetPricing: A Note� by A. Sbuelz ............................. pag. 55

�Sulla valutazione dei rischi finanziari edemografici di un portafoglio polizze sullavita con tassi di interesse stocastici: metodidi calcolo ed applicazioni� by G. Bruno,A. Camerini, A. Tomassetti .................................. pag. 65

Attività scientifica svolta nell�anno 1998 ............. pag. 77

Elenco dei Soci ..................................................... pag. 85

Copies of this volume may be obtained by contacting theIIA Secretariat.

Other pubblications: Transaction of National Congress ofInsurance Science - Torino, 1996

UNITED KINGDOM

British Actuarial Journal

Volume 4, Part II, No. 17

SESSIONAL MEETINGS: PAPERS ANDABSTRACTS OF DISCUSSIONS

� Future Financial Regulation: an Actuary�s View. By A.S. Fishman, J. J. Daldorph, A. K. Gupta, T. W. Hewitson,M. R. Kipling, D. R. Linnell and S. R. Nuttall

� Abstract of the Discussion on the preceding held by theInstitute of Actuaries

61

� Human Genetics and Financial Services. A DiscussionMeeting with Supporting Papers. Abstract of theDiscussion on the four papers held by the Faculty ofActuaries

� Report of the Fixed-Interest Working Group. By K. S.Feldman, B. Bergman, A. J. G. Carins, G. B. Chaplin, G.D. Gwilt, P. R. Lockyer and F. B. Turley


� Abstract of the Discussion on the preceding held by theFaculty of Actuaries

SUBMITTED PAPER

� Notes on the FTSE Actuaries Share Indices (UnitedKindgom Series) in 1997. By J. C. H. Brumwell

OTHER MATTERS

� Articles, Papers and Publications of Actuarial Interest

REVIEWS

� Advanced Risk Theory - a Self-Contained Introduction.By F. Etienne de Vylder

� Money and Capital Markets (Second Edition) by MichaelSherris

Volume 4, Part III, no. 18

� Presentation of an Institute Gold Medal to Mr ChristopherDavid Daykin


� Aspects of Pricing in the London Market. By D. E. A.Sanders, A. N. Hitchcox and R. Manjrekar

� Abstract of the Discussion on the preceding

� Traded Endowments. By P. McGurk


� Continuing Care Communities - Attractive to Members,but what about Sponsors? By R. A. Humble and D. G.Ryan


SUBMITTED PAPERS

� A note on the Jump-Equilibrium Model. By P. P. Huber

� The Wilkie Model for Retail Price Inflation Revisited. ByW. S. Chan and S. Wang

� Notes on the FT/S&P Actuaries World Indices in 1997.By J. C. H. Brumwell

Volume 4, Part IV, No. 19

� Presentation of an Institute Finlaison Medal to Mr DavidHepburn Craighead


� Future Financial Regulation : An Actuary�s View. By A.S. Fishman, J. J. Daldorph, A. K. Gupta, T. W. Hewitson,M. R. Kipling, D. R. Linnell and S. R. Nuttall

� The Management of Risks in Banking. By J. N. Allan, P.M. Booth, R. J. Verrall and D. E. P. Walsh


� A Review of the Statutory Valuation of Long-TermInsurance Business in the United Kingdom. By P. W.Wright, S. J. Burgess, R. G. Chadburn, A. J. M.Chamberlain, R. Frankland, J. E. Gill, D. J. Lechmere andS. F. Margutti

� Abstract of the Discussion on the preceding held at theFaculty of Actuaries

SUBMITTED PAPERS

� Traditional Pension Fund Valuation in a Stochastic Assetand Liability Environment. By I. D. Wright

� A Stochastic Model underlying the Chain-LadderTechnique. By A. E. Renshaw and R. J. Verrall

REVIEWS

� Mixed Poisson Processes. By J. Grandell

� Martingale Methods in Financial Modelling. By M.Musiela and M. Rutkowski

Volume 4, Part V, no. 20

� Loyal Address presented to Her Majesty Queen ElizabethII. Celebrating 150 years of the Actuarial Profession.


� The Role of the State in Pension Provision. Abstract ofthe Debate.

� Effective and Ethical Institutional Investment. By A. Asher


62

� A Review of the Statutory Valuation of Long-TermInsurance Business in the United Kingdom. By P. W.Wright, S. J. Burgess, R. G. Chadburn, A. J. M.Chamberlain, R. Frankland, J. E. Gill, D. J. Lechmere andS. F. Margutti

� Abstract of the Discussion held by the Institute ofActuaries

STAPLE INN READING

� The Fayrest Inne. By C Sparrow

REPORTS OF CONVENTIONS, CONFERENCESSEMINARS, ETC

� Risk - a Survival Course for the Pensions Actuary.Pensions Convention, 16-18 March 1998

OTHER MATTERS

� Papers presented to the Staple Inn Actuarial Society, tothe Faculty of Actuaries Students� Society and to RegionalActuarial Societies; 1997-98

� Notes on the Transactions of the Faculty of Actuaries

REVIEWS

� Life, Death and Money - Actuaries and the Creation ofFinancial Security. Edited by Derek Renn

� Medical Aspects of Personal Injury Litigation. Edited byMichael Barnes, Bill Braithwaite and Anthony B Ward

� Pension Fund Excellence: Creating Value for Stakeholders.By Keith Ambachtsheer and Don Ezra

THE INSTITUTE OF ACTUARIES AND THEFACULTY OF ACTUARIES

� The Institute of Actuaries, General Information, 1997-1998

� The Faculty of Actuaries, General Information, 1997-1998

OTHER MATTERS


UNITED STATESCasualty Actuarial Society

1998 Proceedings of the Casualty Actuarial Society(Volume LXXXV)

New Papers

�Personal Automobile: Cost Drivers, Pricing, and PublicPolicy�

John B. Conners and Sholom Feldblum

�A Comparison of Property-Liability Insurance FinancialPricing Models�

Stephen P.D�Arcy and Richard W. Gorvett

�Smoothing Weather Losses: A Two-Sided PercentileModel�

Curtis Gary Dean, David N. Hafling, and WilliamF. Wilson

�The Mechanics of a Stochastic Corporate FinancialModel�

Gerald S. Kirschner and William C. Scheel

�Investment-Equivalent Reinsurance Pricing�Rodney E. Kreps

�A Graphical Illustration of Experience RatingCredibilities�

Howard C. Mahler

�Credibility With Shifting Risk Parameters, RiskHeterogeneity and Parameter Uncertainty�

Howard C. Mahler

�Workers Compensation Excess Ratios�Howard C. Mahler

�The Myers-Cohn Profit Model, A Practical Application�Howard C. Mahler

�An Application of Game Theory: Property CatastropheRisk Load�

Donald F. Mango

�Studying Policy Retention Using Markov Chains�Joseph O. Marker

�A Buyer�s Guide for Options on a Catastrophe Index�Glenn G. Meyers

�The Impact of Investment Strategy on the MarketValue and Pricing Decisions of a Property-LiabilityInsurer�

Trent R. Vaughn

�Testing the Assumption of Age-To-Age Factors�Gary G. Venter

�Aggregation of Correlated Risk Portfolio: Models andAlgorithms�

Shaun Wang

�Implementation of PH-Transforms in Ratemaking�Shaun Wang

Discussion of PCAS Papers

�Retrospective Rating: 1997 Excess Loss Factors� (PCASLXXXIV)

William R. Gillam and Jose CouretDiscussion by Howard C. Mahler

63

�Reinsurer Risk Loads From Marginal SurplusRequirements� (PCAS LXXVII)

Rodney E. KrepsDiscussion by Paul J. Kneuer

�Estimating the Premium Asset on Retrospectively RatedPolicies� (PCAS LXXVII)

Miriam Perkins and Michael T. S. TengDiscussion by Sholom Feldblum

�Implementation of PH-Transforms in Ratemaking�(PCAS LXXXV)

Shaun WangDiscussion by Gary Venter

SOCIETY OF ACTUARIESNORTH AMERICAN ACTUARIAL JOURNAL

Contents of the April 1999, Volume 3Number 2 Issue by the Society of Actuaries

Feature Articles

Credibility Theory: The Cornerstoneof Actuarial Science ......................................................... 1James C. Hickman and Linda Heacox

Bounds for Ruin Probabilities in the Presenceof Large Claims and Their Comparison ...................... 116Vladimir Kalashnikov

A Bayesian Approach to UnderstandingTime Series Date .......................................................... 130Marjorie A. Rosenberg and Virginia R. Young

SOA Seminar: �Integrated Approaches to RiskMeasurement in the Financial Services Industry�Overview: An Actuary�s Perspective onDevelopment in Risk Measurement ................................ 9Harry Panjer

Application of Coherent Risk Measures to CapitalRequirements in Insurance ............................................ 11Philippe Artzner

Cash-Flow Valuation and Value at Risk ........................ 26Allan Brender

Extreme Value Theory as a Risk ManagementTool ................................................................................ 30Paul Embrechts, Sidney I. Resnick, and GennadySamorodnitsky

Evaluating the Risks of Modeling AssumptionsUsed in Risk Measurement ............................................ 42Teri L. Geske

Enterprise Risk and Return Management forFinancial Institutions ..................................................... 48Mark Griffin and Rick Boomgaardt

A VaR Model of an Investment Cycle: AttributingReturns and Performance .............................................. 57Thomas S. Y. Ho

A Bridge Too VaR ......................................................... 66Colin McKee

A Value-at-Risk Calculation of RequiredReserves for Credit Risk in Corporate LendingPortfolios ....................................................................... 72Roman O�Connor, M. Comm, James F. Golden,and Robert Reck

The Strategic Uses of Value at Risk: Long-Term Capital Management for Property/Casualty Insurers ........................................................... 84William H. Panning

Raising Value at Risk .................................................. 106Julia Lynn Wirch

DepartmentsPerspectives

�Social Security, Productivity, andDemographics� ............................................................ 144Committee on Social Security-Retirement and Disability Income

Book Reviews

Investment Science, reviewed by ................................. 150Elias S.W. ShiuLoss Models: From Data to Decisions, reviewedby X. Sheldon Lin

CONTENTS OF THE JULY 1999, VOLUME 3,NUMBER 3 ISSUE BY THE SOCIETY OFACTUARIES.

The State of Medicine in the Next 50 Years ................... ivGeorge D. Lundberg

Featured Articles

Actuaries at the Dawn of the Computer Age ................... 1James C. Hickman and Linda Heacox

Long-Term Yield Rates for Actuarial Valuations .......... 13Jacques F. Carriere

Combining Life Table Data ........................................... 25Gilbert W. Fellingham and H. Dennis Tolley

64

The Financial Modeling of Property-CasualtyInsurance Companies ..................................................... 41Douglas M. Hodes, Sholom Feldblum, and Antoine A.Neghaiwi

Bounds for Actuarial Present Values under theFractional Independence Assumption ........................... 70Werner Hürlimann

Critique of Mexico�s New Social Security Act ............. 85Octavio Maupomé-Carvantes

Pension Fund Dynamics and Gains/Losses Due toRandom Rates of Investment Return ........................... 105M. Iqbal Owadally and Steven Haberman

12-Year Experience Following Bone MarrowTransplantation with Emphasis ................................... 118on Acute and Chronic LeukemiaRobert J. Pokorski

Term Structure Models: A Perspective fromthe Long Rate .............................................................. 122Yong Yao

Departments

Discussions of Papers Already Published ................... 139�An Actuarial Index of the Right-Tail Risk�Discussion by Benjamin W. Wurzburger�Economic Valuation Models for Insurers�Discussion by Irwin T. VanderhoofDiscussion by Kim Balls and David Sandberg�A Logical, Simple Method for Solving the Problem ofProperly Indexing Social Security Benefits�Discussion by Martin Lunnon�Forecasting Changes in Mortality�Discussion by John Pemberton�Summary of Results of Survey of Seminar Attendees�Discussion by Bradley P. Carlin

Books Reviews ............................................................ 158Life, Death and Money, reviewed by Barnet N. BerinPurchasing Population Health-Paying for Results,reviewed by Barnet N. Berin

Obituary ..................................................................... 160Walter Klem

THE ACTUARY

List of Contents: March, April, May, June, 1999

The Actuary, Vol. 33, No. 3, March 1999

Editorial: U.S. president�s Social Security plan ............. 2SOA Spring Meetings ..................................................... 9Disciplinary code updated ............................................... 9

SOA�s 50th anniversary

Celebration starts; first sponsors sign on ................. 10by Cecilia Green

Tony Bennett to star .................................................. 11

Dear editor ..................................................................... 12

The Actuary, Volume 33, No. 4, April 1999

Editorial: Managed care ................................................. 2by Janet Carstens

Mandatory continuing ed? ............................................... 5by Warren Luckner

Cross-border practice ...................................................... 7by William J. Falk

Book review: Erdos� biography ...................................... 9by Jim Toole

Minority recruiting ........................................................ 10by Kelly Mayo

Update on 50th celebration ........................................... 11by Cecilia Green

Canadian diplomat is keynoter ...................................... 13Research corner ............................................................. 14

Dear editor ..................................................................... 15

Puzzle ............................................................................ 16

The Actuary, Volume 33, No. 3, May 1999

Editorial: Aren�t we lucky? ............................................ 2By William C. Cutlip

Big Tent: members respond ............................................ 6by Jacqueline Bitowt

SOA�s 50th anniversary

Looking back: The Actuary ............................................ 9

New 50th sponsors ........................................................ 10by Cecilia Green

Card contest update ....................................................... 11

SOA president-elect slate .............................................. 13

On the lighter side: Lawn Rangers ............................... 14by Kelly Mayo

Dear editor ..................................................................... 15

Puzzle: Actusortment .................................................... 16

The Actuary, Volume 33, No. 6, June 1999

Untangling distribution

Editorial-Missing: vision ................................................ 2by Robert D. Shapiro

65

Wanted: added value ....................................................... 6by Christopher G. Greis

The push-button agent ..................................................... 7by Jay M. Jaffe

Service or commodity? .................................................... 8by Sam Turner

Academic task force report ............................................ 10by Steve Radcliffe

Past presidents discuss Big Tent .................................... 11by Jacqueline Bitowt

Mutual recognition task force ........................................ 15

50th anniversary update ................................................. 16by Cecilia Green

Research corner ............................................................. 20

Dear Editor .................................................................... 21

Puzzle ............................................................................ 24

Actuarial Research Clearing House1999.1

Proceedings33rd Actuarial Research Conference

Editor�s Comments ........................................................ vii

Conference Announcement ............................................ ix

Program .......................................................................... xi

List of Participants ........................................................ xiii

The Variance Premium Principle: A BayesianRobustness Analysis ........................................................ 1E. Gómez-Déniz, F.J. Vázquez-Polo, and A. Hernández-Bastida

A Longitudinal Data Analysis Interpretation ofCredibility Models (abstract) ......................................... 13Edward W. Frees, Virginia R. Young, and Yu (Jack) Luo

Regulatory Solvency Prediction in Property-Liability Insurance: Risk-Based Capital, AuditRatios, and Cash Flow Simulation ................................ 15J. David Cummins, Martin F. Grace, and Richard D.Phillips

Mortality Rates as a Function of Lapse Rates ............... 69Faye S. Albert, David G.W. Bragg, and John M. Bragg

A Bayesian Approach in Calculating CommunityMortality Rates (abstract) .............................................. 85Margie Rosenberg and Dennis G. Fryback

Robust Bayesian Credibility Using SemiparametricModels (abstract) ........................................................... 87Virginia R. Young

Sequential Credibility Evaluation via StochasticApproximation ............................................................... 89Zinoviy Landsman and Udi E. Makov

Equity and Credibility (abstract) ................................... 99S. David Promislow and Virginia R. Young

The Actuarial Profession and the AcademicCommunity .................................................................. 101Warren R. Luckner

Open Forum on the Actuarial Syllabus for theNew Millennium (abstract) ...........................................111Elias Shiu

A Class of Asymmetric Distributions .......................... 113Tomasz J. Kozubowski and Krzysztof Podgorski

Optimization of the Ultimate Ruin Probabilitiesin Risk Theory ............................................................. 135Etienne Marceau

Laplace Transform and Barrier Hitting TimeDistribution .................................................................. 165X. Sheldon Lin

Managing Your Life as an Actuary: Developmentswithin the SOA ............................................................ 179Anna M. Rappaport

Efficient Estimation of Ultimate RuinProbability ................................................................... 195M. A. Usábel

On the Confidence Interval of Black-ScholesModel (abstract) .......................................................... 213Phelim Boyle and Hailiang Yang

The Principal-Agent Relationship Between theActuary and the Pension Administrator ...................... 215Jennjung Wu

Currency Risk Models in Insurance: A MathematicalPerspective (abstract) ................................................... 233Samual H. Cox and H. W. Pedersen

Social Security: Adequacy, Equity andProgressiveness; A Review of Criteria Based onExperience in Canada and the United States ............... 235Robert L. Brown

Distribution and Quantile Estimates forParametric and Non-parametric Models onValue at Risk ................................................................ 285Beda Chan

66

Portfolio Optimization in Corporate Models .............. 297William Babcock and Steve Craighead

Performance of Publicly Mandated Private PensionFunds in Mexico: Simulations with TransactionsCost (or, My Pension Fund is Better than Yours:Lies, Damn Lies and Statistics) ................................... 323Tapen Sinha, Felípe Martínez, and ConstanzaBarrios-Muñoz

Retirement Plans: Questions as We Near theYear 2000 ..................................................................... 355Anna M. Rappaport

Coefficient of Rarity and its Variance (abstract) ......... 363Rajesh K. Barnwal and J. C. Hankins

A Contingent Claim Approach for the AggregateClaim Analysis ............................................................ 365Lijia Guo and John Beekman

Risk Management in Developing Countries: A CaseStudy of the Beverage Industry in Nigeria .................. 377Adeleye A. Atanda

An Economic Forecasting for the Social SecurityTrust Funds .................................................................. 385H. Shawn Lin

The Inner Workings of Neural Networks andGenetic Algorithms ...................................................... 415Arnold F. Shapiro, J. Scott Pflumm, and Thomas A.DeFilippo

A Family of Fractional Age Assumptions (abstract) ... 427Bruce L. Jones

Educating Adaptive Actuaries ..................................... 429John A. Shepherd

Insurance and Annuity Calculations in the Presentsof Stochastic Interest Rates ......................................... 445Dale Borowiak

Section Newsletters

A Special Interest Section is a group of Societymembers organized to study and discuss their commonfunction and professional interests and to contributeinformation to the actuarial profession. Sections aresuccessful because their members get involved. Theyare structured but flexible so as to be responsive both to theneeds of the profession and to the specific needs oftheir members. Society members can discuss their specialinterests at the Section level with other members andstill be served professionally through the Societystructure.

Sections publish newsletters and special reports, plan Societymeetings and seminars, hold breakfasts and luncheons withguest speakers at Society meetings and support actuarialresearch efforts. Section members are eligible to vote inCouncil elections and to hold office in the Section to whichthey belong.

People in the actuarial profession and related fields in theUnited States, Canada, and other countries who are notmembers of the Society of Actuaries have the opportunity totake advantage of these special interest groups. Nonmemberscan subscribe to one or more special interest Sections inorder to receive their mailings and to be invited to participatein seminars and other Section-sponsored programs. It is agood opportunity to keep abreast to actuarial advancementsand activities in North America.

Section Dues Subscription$ $

Actuary of the Future Section $10.00 $10.00Computer Science Section 10.00 10.00Education & Research Section 15.00 15.00Futurism Section 10.00 15.00Health Section 20.00 20.00Individual Life Insurance and Annuity Product Development Section 15.00 20.00International Section 15.00 15.00Investment Section 15.00 15.00Life Insurance Company FinancialReporting Section 10.00 15.00Management & Personal Development 10.00Nontraditional Marketing Section 12.00 15.00Pension Section 25.00 25.00Reinsurance Section 10.00 15.00Smaller Insurance Company Section 10.00 10.00

ACTUARY OF THE FUTURE SECTION

Actuary of the Future, June 1999-Issue 8

Editor�s Voiceby Kristie K. Sayre .......................................................... 1

The Actuary & the Future of U.S. Health Insuranceby John A. MacBain ........................................................ 1

A Nontraditional Profile�Neil A. Farmerby Kristie K. Sayre .......................................................... 4

Chairperson�s Columnby Dorn Swerdlin ............................................................ 6

SOA 50th News Flashby Cecilia Green .............................................................. 7

67

50th Anniversary Meeting San Francisco�October 1999by Paul V. Bruce .............................................................. 8

Values, Ethics, and the Lone Rangerby Jim Lichtman .............................................................. 9

Get Your Offers Acceptedby Brian Benton & David Retford ................................ 10

New Research Project Underwayby Teresa Russ Winer .................................................... 11

EDUCATION AND RESEARCH SECTIONExpanding Horizons, June 1999 -Issue #20

And Now...A Word from the Editorby Patricia Pruitt .............................................................. 1

Update: Work of the Joint CAS, CIA, SOA Task Force onAcademic Relationsby Judy Yore .................................................................... 1

1999 Actuarial Research Conferenceby Sarah Christiansen ...................................................... 4

Chairmain�s Reportby Irwin T. Vanderhoof .................................................... 5

Academic Initiatives, Actuarial Education, the Big Tent,and the Revised Listing of Colleges and Universitiesby Sarah Christiansen ...................................................... 6

Eight More Reasons to Attend The Annual Meetingby Tom Herzog ................................................................ 7

Cast Your Ballots in the Section Elections ...................... 8

Speakers and Fees Announced for 50thAnniversary Celebrationby Cecilia Green .............................................................. 8

FUTURISM SECTIONActuarial Futures, March 1999-Issue 20

Chair�s Corner: Delphi Study 2000(See insert inside of newsletter)by Albert E. Easton .......................................................... 1

The Millenium Projectby Robert G. Utter ........................................................... 1

2025: A Practical Exercise in Scenario Buildingby Albert E. Easton .......................................................... 3

Futurism in Actionby Mark Rowley & Robert G. Utter ................................ 4

Spring into the Future: Futurism Sessions at theSpring meetingsby Kathleen S. Elder ........................................................ 4

World Future Society Sets Ninth General Assemblyby Robert G. Utter

INTERNATIONAL SECTION

International Section News, June 1999 -Issue #19Questions from Hong Kong Abound on New PD Systemsby Patrick Cichy .............................................................. 1

A Social Security System for the 21st Century, Part Oneby Chiu-Chang & Geraldine Chen .................................. 1

Editor�s Notesby Kevin Law .................................................................. 2

Ambassador Program Update: Country WebPages Take Shapeby Jim Toole .................................................................... 7

Valuation of Cross Border Insurance Venturesby Ken Mungan ............................................................... 8

The Euro Will Eventually Lead to Global Instabilityby Nino Boezio .............................................................. 11

The Clearinghouse Scholarship Programby Angelica Michail ...................................................... 12

�Wing Walking� in Russiaby Mark D. Mariska ...................................................... 13

New SOA Professional Development (PD) Requirementfor Candidates Working Toward Fellowship in 2000by August Chow ............................................................ 16

Impressions of a U.S. Health Actuary Working inBrazilby Ronald Poon-Affat .................................................... 18

Buenos Aires Seminar a Rousing Successby Ed Robbins ............................................................... 20

Promoting Actuarial Education Across Asiaby Patrick Cichy ............................................................ 22

Cairo University Actuarial Graduationby Michael Hubbart ....................................................... 23Announcement of Actuarial Meeting in Bogota,Colombia ....................................................................... 24

China Region Committee Is Right on Trackby Patrick Cichy ............................................................ 25

April 5 ISC Meeting Minutes ........................................ 27

INVESTMENT SECTIONRisks and Rewards, August 1999-Issue #33

50th Anniversary Updateby Cecilia Green .............................................................. 1

Revisiting the Portfolio Efficiency ofInvestment in High-Return Bank Loansby Paul Donahue ............................................................. 1

68

Editor�s Columnby Tony Dardis ................................................................ 2

Scenario Generation: Valuation versus StrategyDevelopmentby Mark Tenney & Luke Girard ...................................... 8

What Your Manager Won�t Tell You AboutInvestment Benchmarksby Alton Coger .............................................................. 10

Financial Engineeringby Mark Bursinger ......................................................... 12

The Use of Transfer Pricing in Asset LiabilityManagementby Nancy Bennet & Mike Murphy ................................ 13

All That Glitters Has Not Been Goldby Nino Boezio .............................................................. 17

Stochastic Modeling for Segregated Fund/VariableAnnuity Productsby Craig Fowler ............................................................. 18

The Investment Models of a Finnish Pension Companyby Antero Ranne ............................................................ 19

Letter to the Editor: Inspect Those Asset/LiabiltyOptimizer Projectionsfrom Douglas C. Doll .................................................... 24

Review of Financial Risk Management of InsuranceEnterprises Courseby Scott Martin .............................................................. 25

1999 Market Triathlon Updateby Frank Grossman ........................................................ 26

Conference on �Strategies on Investing,� April 29-30,1999by Tony Dardis .............................................................. 29

Investment Section Council Memoby Peter Tilley ................................................................ 30

Review of Finance Journalsby E. Martin & W. Babcock .......................................... 31

Bowles Chair at Georgia State University to HostSymposiumby Anne Chamberlain Shaw .......................................... 32

Risks & Rewards, March 1999-Issue #32

Chairperson�s Cornerby Joseph Tan .................................................................. 1

Is the New CPI Different? Implications for Pension Plansby Todd Rutley ................................................................ 1

Letter to the Editor:by Eric P. Lofgren ............................................................ 2

Editor�s Columnby Richard Q. Wendt ....................................................... 3

An Actuary Looks at Financial Insuranceby Richard Q. Wendt ....................................................... 4

Psychology and Financial Markets: Richard H. ThalerAddresses the Investment Sectionby Luke N. Girard ............................................................ 9

Report from the Society of Actuaries AnnualMeeting in New Yorkby Victor Modugno ....................................................... 11

Commentary: Social Security Income: Go Refigureby Aaron Bernstein ........................................................ 12

Patenting In Insurance Starts Shaping Up as RobustDisciplineby B. Foudre & P. Tryzna .............................................. 13

National Economic Trends�The Long and Short (Runs)of Investing in Equitiesby Peter Yoo .................................................................. 15

Learning Curve�Credit Default Optionsby Geoff Chaplin ........................................................... 16

Investment Section Council Meeting in New York ....... 17

The Euro Will Eventually Lead to Global Instabilityby Nino Boezio .............................................................. 18

Announcement of Finance Research Funds Available 19

Photos from the Investment Section Breakfast ............. 20

Redington Prize Nominationsby Luke N. Girard .......................................................... 22

Entry Form for the 1999 Market Triathlon Contestby Frank Grossman ........................................................ 23

LIFE INSURANCE COMPANY FINANCIALREPORTING SECTIONFinancial Reporter, May 1999 -Issue #39

AICPA Nontraditional Long�Durations ContractsTask Force�A Status Reportby Thomas A. Campbell .................................................. 1

Editor�s Notesby G. Thomas Mitchell .................................................... 1

A Framework for Managing Surplusby David N. Becker ......................................................... 4

Value At Risk�An Overview (Part II)by Glyn Holton ................................................................ 8

69

How�s Your Management Quotient?by Steven N. Patzman .................................................... 12

News Flash!by Cecilia Green ............................................................ 15

�X� Factor�Modified Select Factor AdjustedMortality Ratesby Larry M. Gorski ........................................................ 15

Letters to the Editorby Hans Wagner ............................................................. 18

COLIFR Cornerby Harold Forbes ........................................................... 19

Education & Examination Redesign�An Updateby Larry M. Gorski ........................................................ 21

Buenos Aires Seminar A Rousing Successby Edward L. Robbins ................................................... 22

LONG-TERM CARE INSURANCE SECTIONLong-Term Care, September 1999 -Issue #1

Chairperson�s Corner ....................................................... 1by James M. Glickman

Editor�s Column .............................................................. 2by Bartley L. Munson

NAIC Summary of LTC Issues ........................................ 3by Bill Weller

Informal & Formal Caregiving Among PrivatelyInsured & Non-Privately Insured Disabled Elders .......... 4by Don Charsky

LTC Section Meeting in Seattle ....................................... 6

LTC Meeting Minutes ..................................................... 7

LTC Product Pricing Discussion ..................................... 8by Andrew Herman

President Clinton�s Long-Term CareInitative Presentation ..................................................... 11by Gerald Elsea

Treatment for Alzheimer�s Disease: Good Newsor Bad News? ................................................................ 12by Philip J. Barackman

Mission Statement/Upcoming 1999 Sessions ............... 16

MANAGEMENT & PERSONAL DEVELOPMENTSECTION

The Stepping Stone, April 1999-Issue #1

Message from the Chairpersonby Gregory R. Childs ....................................................... 2

Congratulations in Order ................................................. 3

Mission and Objectives ................................................... 3

Upcoming 1999 Sessions ................................................ 3

Food, Food, Food ............................................................ 4

Values, Ethics, and The Lone Ranger .............................. 5

Understanding Your Management Styleby Cindy Forbes .............................................................. 6

NewsFlash! Keynote Speakers for 50th Meetingby Cecilia Green .............................................................. 8

NONTRADTIONAL MARKETING SECTIONNewsDirect, Summer 1999-Issue #32

Direct Marketing: The Mathematics of Tests .................. 1by H. Neil Lund

Chairperson�s Corner ....................................................... 1by Edward F. McKernan

Life Insurers Seek to Capitalize on Middle-MarketOpportunitiesby Mark L. Trencher ........................................................ 4

Journal of Actuarial Practice Art & ScienceEducation Contest ............................................................ 6

NTM Sessions at Annual SOA Meeting OfferSomething for Everyone .................................................. 7by Carl E. Meier

The Product/Channel Directory ....................................... 9by James B. Smith, Jr.

Bowles Chair at Georgia State University toHost Symposium on Financial Services Integration ....... 9by Anne Chamberlain

Your Book Purchase Can Help the Profession .............. 10

Volunteer for the New Course 7 Advisory Group ......... 10

Actuaries Respond ......................................................... 11

50th Anniversary Update ............................................... 11by Cecilia Green

Election Results ............................................................. 12

NewsDirect, Spring 1999 -Issue #31

Multiple Distribution Channels within Banksby James B. Smith, Jr. ..................................................... 1

Chairperson�s Cornerby Edward F. McKernan .................................................. 1

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New Credit Disability Tableby Robert J. Butler ........................................................... 5

Long-Term Customer Value Not Just Policyholdersby Jay M. Jaffe ................................................................. 7

Direct Marketing: Part I�Analysis of Solicitationsby Neil Lund .................................................................... 8

50th Anniversary News Flashby Cecilia Green ............................................................ 11

PENSION SECTIONPension Section News, June 1999-Issue #40

Chairperson�s Cornerby Amy S. Timmons ........................................................ 1

Excerpts from the PBGC Actuarial Valuation Report�1998 Fiscal Year .......................................................... 1

IACA Meeting in Year 2000 Slated for Hershey, PA ...... 2

Social Security Notice ..................................................... 5

Pension Section Council Meeting MinutesOctober 5, 1998 ............................................................... 6

Conference Awards .......................................................... 7

Retirement Plans Experience Committee Minutes�November 12, 1998 Meeting in Washington D.C. .......... 8

Pension Section Council Meeting Minutes�January 29, 1999 in New York ........................................ 9

IACA Meets, Reduces Dues .......................................... 11

Papers to Noteby Judy Anderson .......................................................... 11

Pension Reform in Chinaby Yves Guerard, Shu Yen Liu and Bruce Moore ......... 12

Is the New CPI Different? Implications forPension Plansby Todd Rutley .............................................................. 15

SOA Valuation Method Survey Resultsby J. Paterson & L. Pinzur ............................................. 17

A Paper to Noteby Marilyn Oliver .......................................................... 18

Web Discussions ............................................................ 19

Articles Needed for the News ........................................ 19

May 1 Announcements .................................................. 20

Academy of Actuary Release ......................................... 21

SOA Continuing Educationby Barb Choyke ............................................................. 22

SOA 50th News Flashby Cecilia Green ............................................................ 24

PRODUCT DEVELOPMENT SECTIONProduct Development News, March 1999-Issue #48

Chairperson�s Cornerby Phillip J.T. Cernanec .................................................. 1

Long-Term Care Topics, Part I of IIby Michael S. Ambroe ..................................................... 1

Part II: Segregated Funds: �No Loss� Propositionby Boris Brizeli ................................................................ 7Ten Years Ago ............................................................... 11

Underwriter�s Cornerby Jim Maher ................................................................. 13

Multiple Medical Impairment Study Available ............. 15

Spring Meeting in Atlanta ............................................. 15

Product Development Photos ........................................ 16

REINSURANCE SECTIONReinsurance Section News, March 1999-Issue #45

Enterprise Risk and Capital Managementby Joan Lamm-Tennant ................................................... 1

LOMA Collaborates on New Reinsurance Designationby Edward T. Burns Jr. & Jennifer W. Herrod ................ 1

The Coming Movement in Life InsuranceSecuritizationby Ed Betteto ................................................................... 1

SMALLER INSURANCE COMPANY SECTIONSmall Talk, May 1999-Issue #13

The Year 2000 Clock is Tickingby Mike Lombardi ........................................................... 1

From the Editorby James R. Thompson .................................................... 1

Reinsurance Codificationby Richard H. Browne ..................................................... 4

Actuarial Guideline XXXIVby Cherri R. Divin ........................................................... 5

Headlines from NALC Groupby Scott Cipinko .............................................................. 6

Experts Debate Minus-28 Fix for Y2Kby Ara C. Trembly ........................................................... 8

Budget Proposals Bode Well for Annuitiesby Thomas Streiff ............................................................ 9

71

The Unified Valuation System: A Small CompanyPerspectiveby James R. Thompson .................................................. 10

Reflections on the Supermergers of 1998by Jacqueline Bitowt ..................................................... 11

SOA News Flashby Cecilia Green ............................................................ 12

Update on Selected NAIC Mattersby Norman E. Hill ......................................................... 13

INTERNATIONAL SOCIAL SECURITYASSOCIATION

International Social Security Review

Issue 3/99: special issue for the International Year of OlderPersons

� Introduction: �A social security for all ages�

� Motivation, purpose and processes in pension reform, byGiovanni Tamburi (ISSA)

� Fundamental decisions for the reform of pensions systems,by Winfried Schmähl (Germany)

� Pension provision for specific risk groups: The Japanesecase, by Noriyuki Takayama (Japan)

� Equity and redistribution between generations: Achallenge for the future of pensions and all socialprotection schemes, by Anne-Marie Guillemard(France)

� Work, family, State and market: Income packaging forolder households, by Martin Rein and John Turner (US)

� Adequacy and poverty among retired people, by RichardHauser (Germany)

� Book notes for the International Year of Older Persons

Issue 4/99:

� Structural pressures, social policy and poverty, by TiinaMäkinen (Finland)

� The development of some characteristics for equitablenational retirement income systems, by David Knox andRoslyn Cornish (Australia)

� Squaring the welfare circle and government ideology:Greece and Spain in the 1990s, by Vic George (UK), PeterStathopoulos (Greece) and Jorge Garcés (Spain)

� �Work for those that can, security for those that cannot�.The United Kingdom�s new social security reform agenda,by Mark Hyde, John Dixon and Melanie Joyner (UK)

� Notional defined-contribution schemes: Old wine in newbottles? by Michael Cichon (ILO)

Issue 1/2000:

� International institutions� approaches to pension reform(contributions from Robert Holzmann of the World Bankand Colin Gillion of the ILO)

� Self-help groups and disability: Rehabilitation initiatives,by Bernd Steinke (Germany)

Some other ISSA publications of interest to actuariesinclude:

Social security financing: Issues and perspectivesISBN 92-843-1112-8 1996 345pp. E,F,S,G CHF30.-(International Conference of Social Security Actuaries andStatisticians, Athens, June 1995)

Replacement ratios: Comparability and trendsISSN 0251-1339 1996 44pp. E, F, S, GReports II and III: 1 volume (CH15.-)(Report II of the 25th General Assembly, Nusa Dua,November 1995)

The importance of statistics in social security: Acomparative evaluation of the efficiency of benefitsISSN 0251-1339 1996 38pp. E, F, S, GReports II and III: 1 volume (CHF 15.-)(Report III of the 25th General Assembly, Nusa Dua,November 1995)

Methods of financing social security in a context ofdeclining contribution revenues - Investment of socialsecurity funds - Actuarial applications of health carecost statistics - Standards of practice for social securityactuaries1997 64pp. E, F, S, G CHF 25.-(International Conference of Social Security Actuaries andStatisticians, Prague, June 1997)

Pension reform and the funding alternative - Healthcare schemes: Statistical and actuarial considerations -Methods of financing work injury schemes - Methodsof financing unemployment insurance)

1998 217pp. E, F, G CHF 25.-(Seminar for social security actuaries and statisticians fromindustrialized countries Tokyo, May 1998)

Developments and trends in social security 1996-1998 -Social security at the close of the 20th century: Topicalissues and new approaches

1998 274pp. E, F, S, G CHF 30.-(26th General Assembly, Marrakech, October 19998)

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The social security reform debate: In search of a newconsensus - A summaryISBN 92-843-2132-8 1998 52pp E, F, SAvailable on request from ISSA[E = English; F = French; S = Spanish; G = German]

The following books are planned for publication in late 1999in co-operation with Transaction Publishers:

Targeting social benefits, edited by Neil Gilbert (USA);

Social Security at the close of the 20th century; Topical issuesand new approaches, edited by Dalmer Hoskins, DonateDobbernack and Christiane Kuptsch (ISSA)

Future titles in this series will include:

Work, poverty and the Welfare State: Policies of socialinclusion (provisional title), edited by Béa Cantillon(Belgium) with Richard Levinsky (SSA);

Evaluation of welfare-to-work policies, edited by Neil Gilbert(USA).

ISSA publications may be obtained from:

ISSACase postale 1CH-1211 Geneva 22Switzerland

Fax: + 41 22 799 8509

A book published by the Urban Institute is based ondiscussion papers prepared for the Stockholm Initiative ofthe ISSA, to improve the quality of public debate on socialsecurity reform issues:

Older and Wiser: The Economics of Public Pensions

ISBN 0-87766 679-2 1998 175pp. E USD 23.95(paperback)

ISBN 0-87766-678-4 1998 175pp. E USD 59.50(HARDCOVER)

Order from:

The Urban Institute Press Fax: +1-202 467 57 75P.O. Box 7273, Dept. C. E-mail: [email protected], D.C. 20044(United States)

BULLETIN - International Actuarial Association

Documents

Transcript of BULLETIN - International Actuarial Association