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The Actuary The magazine of the Institute & Faculty of Actuaries

British Actuarial Journal (BAJ) Vol 8 Part III

Part III of BAJ Volume 8, now available, contains an interesting mix of sessional meeting material and submitted papers. Demographics and stochastic modelling dominate the agenda.

Part III opens with a guest editorial from Baroness Greengross, an Institute honorary fellow. She discusses the need for society and the profession to engage more actively in debate on what she sees as an impending revolution in society resulting from the twin effects of increasing longevity and lower fertility. As if in answer to this plea, the next item is a report on the Faculty discussion meeting held in association with the Ageing Population Conference of January 2002. The topic for the evening was ‘Can the UK afford its ageing population?’

There are then two items on stochastic modelling. The first of these is the paper and discussion from the Institute sessional meeting on stochastic claims reserving in general insurance. This considers different scenarios for the way claims experience might develop over the years. The authors draw on their extensive experience and research to produce a valuable review paper with some new ideas as well. The second stochastic item is a submitted paper, ‘Stochastic investment modelling: a multiple time-series approach’. This reviews the Wilkie model, which will be familiar to most readers, and other approaches and discusses the relative merits of the different models. The present writer admits to not having sufficient prior knowledge to follow all the mathematical development in this paper, but this will be an interesting paper for active practitioners in this field.

The second of the submitted papers is ‘Guaranteed annuity options: five issues for resolution’. The five issues are investment strategy, bonus strategy, solvency measurement, accounting, and government policy on compulsory annuitisation. This paper was written before publication of the recent green paper on pensions provision and before publication of the January 2003 Faculty sessional meeting paper on GAOs, but is nevertheless a very useful review and discussion of the issues involved.

Part III concludes with a collection of abstracts from papers from actuarial journals worldwide. It is interesting to see many of the topics covered in the main texts in this part reflected in the topics being covered in related journals. The serious enquirer is offered a resource for further study.