IDEAS home Printed from https://ideas.repec.org/a/cup/bracjl/v10y2004i02p223-293_00.html
   My bibliography  Save this article

The Realistic Reporting of With-Profits Business. Reference Paper for the Discussion

Author

Listed:
  • Hare, D. J. P.
  • Craske, G.
  • Crispin, J. R.
  • Desai, A. J.
  • Dullaway, D. W.
  • Earnshaw, M. A.
  • Frankland, R.
  • Jordan, G. A.
  • Kerr, M. G.
  • Manley, G. M.
  • McKenzie, J. L.
  • Rae, R. A.
  • Saker, M. C.

Abstract

This paper was written at the request of the Life Research Committee of the United Kingdom Actuarial Profession's Life Board. It concerns the valuation of U.K. with-profits business, with particular attention to the market-consistent ‘realistic reporting’ basis currently being used in the U.K. by the regulator, the Financial Services Authority (FSA). The paper surveys recent regulatory activity concerning the development and introduction of the new valuation approach, and puts it into the context of a survey of alternative methodologies, both deterministic and stochastic. The particular issues arising when considering prudential solvency are discussed, and various approaches are reviewed and compared with market consistent methods. Numerical examples are given, which demonstrate potential issues (regarding comparability and consistency) with the FSA's proposed approach — in particular the sensitivity of results to model calibration. The authors support the FSA's move to a stochastically-based framework for solvency measurement, but highlight some issues which need to be taken into account.

Suggested Citation

  • Hare, D. J. P. & Craske, G. & Crispin, J. R. & Desai, A. J. & Dullaway, D. W. & Earnshaw, M. A. & Frankland, R. & Jordan, G. A. & Kerr, M. G. & Manley, G. M. & McKenzie, J. L. & Rae, R. A. & Saker, M., 2004. "The Realistic Reporting of With-Profits Business. Reference Paper for the Discussion," British Actuarial Journal, Cambridge University Press, vol. 10(2), pages 223-293, June.
    • Handle: RePEc:cup:bracjl:v:10:y:2004:i:02:p:223-293_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S1357321700002816/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:bracjl:v:10:y:2004:i:02:p:223-293_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/baj .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.