A History of British Actuarial Thought (eBook)

Craig Turnbull (Autor)

eBook Download: PDF

2016 | 1st ed. 2017
XIII, 345 Seiten
Springer International Publishing (Verlag)
978-3-319-33183-6 (ISBN)

Infos

In the first book of its kind, Turnbull traces the development and implementation of actuarial ideas, from the conception of Equitable Life in the mid-18^th century to the start of the 21^st century. This book analyses the historical development of British actuarial thought in each of its three main practice areas of life assurance, pensions and general insurance. It discusses how new actuarial approaches were developed within each practice area, and how these emerging ideas interacted with each other and were often driven by common external factors such as shocks in the economic environment, new intellectual ideas from academia and developments in technology.

A broad range of historically important actuarial topics are discussed such as the development of the blueprint for the actuarial management of with-profit business; historical developments in mortality modelling methods; changes in actuarial thinking on investment strategy for life and pensions business; changing perspectives on the objectives and methods for funding Defined Benefit pensions; the application of risk theory in general insurance reserving; the adoption of risk-based reserving and the Guaranteed Annuity Option crisis at the end of the 20^th century.

This book also provides an historical overview of some of the most important external contributions to actuarial thinking: in particular, the first century or so of modern thinking on probability and statistics, starting in the 1650s with Pascal and Fermat; and the developments in the field of financial economics over the third quarter of the twentieth century. This book identifies where historical actuarial thought heuristically anticipated some of the fundamental ideas of modern finance, and the challenges that the profession wrestled with in reconciling these ideas with traditional actuarial methods.

Actuaries have played a profoundly influential role in the management of the United Kingdom's most important long-term financial institutions over the last two hundred years. This book will be the first to chart the influence of the actuarial profession to modern day. It will prove a valuable resource for actuaries, actuarial trainees and students of actuarial science. It will also be of interest to academics and professionals in related financial fields such as accountants, statisticians, economists and investment managers.

Craig Turnbull is an Edinburgh-based Fellow of the Institute and Faculty of Actuaries. He has published research papers in leading actuarial journals in the fields of life and pensions and was the recipient of the Institute's Peter Clark prize for best research paper in 2013. He has served as a member of actuarial working parties at both the Institute and the Actuarial Association of Europe. He is a regular speaker at actuarial conferences around Europe, and occasionally further afield, most frequently on the topics of investment, capital modelling and asset-liability management. Craig was a Managing Director at Barrie & Hibbert, the leading financial risk modelling firm. In his role there he was based for several years in New York as well as in the UK. He is now an Investment Director at a major global asset management house. In his free time, he (clearly) likes reading history.

Inhalt

Introduction 6
Acknowledgements 8
Contents 9
Author Biography 10
1: Probability and Life Contingencies, 1650–1750: The First One Hundred Years 11
Probability and Life Contingencies in the Mid-­seventeenth Century 12
Pascal and Fermat (1654) 15
John Graunt, Johan de Witt and Their Prototypical Mortality Tables (1662–1671) 19
Edmond Halley’s Breslau Table (1693) 23
Life Contingencies at the End of the Seventeenth Century 26
Jacob Bernoulli and the First Law of Large Numbers (1692/1713) 30
De Moivre’s Contributions to Probability and Life Contingencies (1718–1724) 32
Life Contingencies in the First Half of the Eighteenth Century (1700–1750) 37
Daniel Bernoulli: The Beginnings of Utility Theory and Risk-Adjusted Valuation (1713/1738) 41
Concluding Thoughts 44
2: Revolutionary Developments Between 1750 and 1810 46
From Probability to Statistics, 1764–1810 47
Bayes and His Application of His Theorem (1764) 47
Laplace’s Bayesian Analysis (1774–1781) 52
Least Squares, Errors and the Central Limit Theorem (1805–1810) 55
The Emergence of with-Profits, 1756–1782 58
James Dodson and Whole-of-Life Assurance (1756–1772) 58
The Beginnings of the Equitable (1757–1772) 64
Richard Price and His Observations (1772) 66
William Morgan and the Actuarial Management of with-Profit Business (1775–82) 73
3: Life from the Napoleonic Wars to the Second World War 80
Developments in Mortality Modelling, 1808–1881 81
John Finlaison and the British Government’s Life Annuity Issuance (1808–1829) 84
Life Office Experience Tables and Selection (1829–1881) 89
Graduation of Mortality Tables (1825–1867) 96
Actuarial Thought on Investment Strategy, 1858–1952 104
Actuaries and Investment Liquidity (1862–1933) 107
Actuaries and Interest Rate Risk (1858–1952) 110
Actuaries and Equities (1912–1948) 120
Valuation and Surplus, 1800–1952 130
Liability Valuation (1800–1952) 131
Asset Valuation (1829–1952) 140
The Equitable Distribution of Surplus (1800–1944) 144
4: A Brief History of Financial Economics for Actuaries 153
Modigliani and Miller’s Irrelevancy Propositions 154
Modern Portfolio Theory and the Capital Asset Pricing Model 160
Option Pricing Theory 166
Yield Curve Modelling 177
Market Efficiency 185
5: Life Offices After the Second World War: The Underwriting and Management of Financial Market Risk (1952–2004) 194
Equities and With-Profits: Smoothing and Guarantees (1952–1976) 195
Equity-Linked Maturity Guarantees: Towards Risk-Based Solvency (1971–1982) 201
The Wilkie Model (1984–1995) 211
With-Profits: Reserving and Financial Economics (1987–2004) 215
Guaranteed Annuity Options (1997–2003) 229
6: British Actuarial Thought in Defined Benefit Pensions (1905–1997) 239
Early Thought on Defined Benefit Pension Funds (1905–1921) 240
Consistent Asset and Liability Valuation (1948–1963) 246
Actuarial Thought on Pension Fund Investment Strategy (1957–1985) 254
Funding for What? (1972–1997) 260
Modern Thought on Pension Scheme Valuation and Investing (1990–1997) 271
Final Thoughts on the Pensions Story 278
7: British Actuarial Thought in General Insurance (1851–1994) 281
Fire Insurance (1851–1880) 283
Employers’ Liability Insurance (1882–1931) 286
Risk Theory (1954–1971) 292
Claim Reserving (1974–1996) 298
Actuaries and the Financial Management of General Insurers (1981–1994) 310
Conclusions: Looking Back, Looking Forward 316
Bibliography 328
Index 342

Produkt-Details

• Erscheint lt. Verlag: 7.12.2016
• Zusatzinfo: XIII, 345 p. 20 illus.
• Verlagsort: Cham
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik
• Themenwelt: Technik
• Themenwelt: Wirtschaft ► Allgemeines / Lexika
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: actuarial history • actuarial science • Bankers • Banking • Financial Management • History of Finance • history of financial economics • history of probability • insurance • insurance reserving • Investment • Investment Strategy • life assurance • mortality modelling • Pension • Quantitative Finance • Risk
• ISBN-10: 3-319-33183-3 / 3319331833
• ISBN-13: 978-3-319-33183-6 / 9783319331836