Financial Economics and Actuarial Practice

Abstract

Starting in the United Kingdom and continuing through the U.S. and Canadian actuarial professions, proponents of financial economics have been forcefully promoting a review of traditional actuarial practices and training. In particular, the financial theories first proposed by Modigliani and Miller and subsequently developed by others have been used to highlight serious weaknesses in typical actuarial thinking. In summary, it is claimed that much actuarial advice wrongly specifies value, that guidelines and standards need radical revision, and that traditional actuarial intuition suffers in comparison to newer modes of thought adopted by other professions.

This paper examines concepts from both financial economics and actuarial science as applied to defined benefit schemes using a simple discounted cash-flow framework as a reference point. The general finding is that many standard modes of actuarial thought are, in fact, indefensible when examined with the tools and techniques of financial economics. The call for revision of actuarial training and practices is credible and necessary.

However, the paper also touches upon areas where a heavy-handed application of finance theory could be misguided due to limitations in the simple financial economic models presented. It concludes that financial economics should be carefully integrated into actuarial thought rather than appended to existing actuarial theory or inserted as a wholesale replacement.     

Actuarial Modeling with MCMC and BUGs

Abstract

In this paper, the author reviews some aspects of Bayesian data analysis and discusses how a variety of actuarial models can be implemented and analyzed in accordance with the Bayesian paradigm using Markov chain Monte Carlo techniques via the BUGS (Bayesian inference Using Gibbs Sampling) suite of software packages. The emphasis is placed on actuarial loss models, but other applications are referenced, and directions are given for obtaining documentation for additional worked examples on the World Wide Web.     

Pension Funding Regulations and Actuarial Gains and Losses

With pervasive pension funding deficits, Korean firms have been under pressure to improve their funding levels. We examine whether firms have incentives to set obligation‐decreasing pension assumptions when they have large pension deficits (pension obligations in excess of plan assets) and when they make insufficient contributions to external pension funds. We find that firms report larger actuarial gains (or smaller actuarial losses) associated with the remeasurement of pension liabilities when their pension funding ratio (the ratio of the fair value of plan assets to defined benefit obligations) is lower and when contributions to plan assets relative to pension service costs are smaller. Next, upon the introduction of a minimum pension funding guideline, we find that the effect of the funding ratio and contributions to pension funds on actuarial gains and losses is more pronounced for firms whose funding ratios are slightly below the minimum funding ratio than it is for firms whose funding ratios exceed or fall short of the minimum by a large margin. Our results indicate that firms opportunistically exercise discretion regarding corporate pension accounting under International Financial Reporting Standards to comply with pension funding regulations, thereby reducing perceived pension deficits.     

职业与职场

12种求职方式成功率排名；2006年财会专业毕业生就业形势；35岁以上的人如何求职？“四大”的职业路线图；一道外企面试题；     

逆抵押贷款的精算模拟与方案设计

逆抵押贷款作为一种补充养老保障服务提供模式,旨在通过“以房养老”的形式提高老年人生活水平。通过住房逆抵押贷款老年人可以将房产抵押,由相关运作机构根据房产价值定期给付年金,实现资产现金的转换,而申请人则可以继续保留房产的居住权。本文通过借助金融学和投资学的相关模型,综合运用精算分析方法,对逆抵押贷款进行了精算模拟,进一步提出了我国推行逆抵押贷款的可行方案。文章指出在我国应由政府作为政策引导者,充分发挥商业银行作为住房逆抵押贷款项目的主体作用,借助保险机构、房产中介机构及专业信托公司等第三方机构,共同支撑住房逆抵押贷款项目在我国的全面推行。     

Actuarial Science Summer Program for Women and Minorities

Drake University offered a 5‐day program focusing on the recruitment of women and minorities into actuarial science studies. A few universities offer actuarial science summer camps targeting high school students. Participants in this camp, however, came exclusively from community colleges. In this article, we provide an overview of the camp's activities, structure, and outcomes. We present a longitudinal analysis of student feedback, reflecting results from one survey administered before the camp began and another distributed very near the camp's end. Our results indicate the camp succeeded on many counts.     

逆抵押贷款的精算模拟与方案设计

逆抵押贷款作为一种补充养老保障服务提供模式,旨在通过"以房养老"的形式提高老年人生活水平.通过住房逆抵押贷款老年人可以将房产抵押,由相关运作机构根据房产价值定期给付年金,实现资产现金的转换,而申请人则可以继续保留房产的居住权.本文通过借助金融学和投资学的相关模型,综合运用精算分析方法,对逆抵押贷款进行了精算模拟,进一步提出了我国推行逆抵押贷款的可行方案.文章指出在我国应由政府作为政策引导者,充分发挥商业银行作为住房逆抵押贷款项目的主体作用,借助保险机构、房产中介机构及专业信托公司等第三方机构,共同支撑住房逆抵押贷款项目在我国的全面推行.     

天气衍生品的运作机制与精算定价

天气衍生品是为了规避天气风险给天气敏感行业带来收入的不稳定性而兴起的创新型风险管理工具,其实质是通过衍生合约对天气风险进行分割、重组和交易的证券化产品。不同于传统金融衍生品,天气衍生品的价值取决于温度、湿度或降雨量等天气指数。本文在分析天气衍生品市场发展的基础上,重点探讨了最常见的天气期货和天气期权的运作机制及其精算定价。     

试论财政国库支持系统的发展与创新

随着金融和财税体制改革的深入，我国逐步建立和完善以国库单一账户体系为基础、资金缴拨以国库集中收付为主要形式的财政国库管理体制，但是，由于新体制刚刚建立，还存在着影响建立国库支持系统的诸多因素。因此，要坚持发展与创新，建立与新体制相适应的财政国库支持系统。     

加强行业自律监管 规范执业行为——关于《资产评估执业行为自律惩戒办法》有关问题的说明

2005年12月,中国资产评估协会下发了《资产评估执业行为自律惩戒办法(》以下简称“惩戒办法”,中评协[2005]183号)这个办法是资产评估行业第一个专门的自律惩戒文件,分为总则、自律惩戒的种类和实施、对注册资产评估师的自律惩戒、对资产评估机构的自律惩戒、自律惩戒程序、附则,共6章37条。惩戒办法对于加强资产评估行业自律监管,规范注册资产评估师和资产评估机构的执业行为,提高资产评估执业质量,提升行业公信力具有重要意义。一、惩戒办法出台的重要意义(一)完善了行业自律管理体系,促进协会功能有效发挥随着市场经济的发展,包括资产评…     

国内外高校精算教育的比较研究

2010年12月14日,国际精算协会（IAA）接纳中国精算师协会（CAA）成为其第63位正式单位会员。2011年3月17日,中国精算师协会（CAA）与英国精算师协会（I＆FA）签署了精算考试相互认可备忘录。这标志着中国精算师资格考试在通往国际化的道路上迈出了实质性的步伐,中国的精算教育正在逐步获得国际标准的认可。随着市场经济的发展,对精算教育的要求也会越来越高。高校教育只是精算教育的一个方面,只有与职业教育相配合,与业界共同努力,才能培养出优秀的精算专业人才。     

Accounting: The Structure of a Growing Profession

Complete membership records of the Institute of Certified Public Accountants in Israel are analysed to determine the level of concentration and growth of the accounting profession. This study differs from previous studies in that it concentrates on the supply side of the market. Previously, because of the unique characteristics of auditing services, they were assumed to have no substitute. An analysis of firm switching by CPAs in Israel indicates the existence of substitutes in production. Low levels of overall concentration were found, although large clients are generally audited by large public accounting firms. The profession appears to be competitive as entry is quite easy and switching between firms by CPAs is common.     

资本市场与资产评估

一、资产评估对我国资本市场持续健康发展的作用 资产评估作为一种专业化中介服务行业,服务于诸多重要经济领域和经济活动．在规范交易行为、降低交易成本、维护经济秩序、保障金融安全、促进经济发展等方面发挥着十分重要的作用。     

Pareto-Optimal Insurance Policies in the Models with a Premium Based on the Actuarial Value

This article analyzes the problem of designing Pareto‐optimal insurance policies when both the insurer and the insured are risk averse and the premium is calculated as a function of the actuarial value of the insurer's risk. Two models are considered: in the first, the set of admissible policies is constrained by a given size of the premium; in the second, the premium size is not constrained so that it varies with the actuarial value of a policy chosen by the agents. For both cases a characterization of the Pareto‐optimal policies is derived. The corresponding optimality equations for the Pareto‐optimal policies are obtained and compared with the results on the classical risk exchange model.     

金融创新与资产评估

一、我国经济发展与金融制度创新 经过三十多年的经济体制改革,中国经济发展速度很快．2008年,中国GDP已经超过30万亿元人民币（约4．4万亿美元）,位居全球第三。在中国的经济发展中,金融市场始终发挥了十分重要的作用。随着我国经济的进一步深入发展,同时伴随着我国经济结构的调整和升级,我国金融市场的制度创新问题日见迫切地显现出来。