The intention of the paper is to describe the benefits of measuring investment performance and to give methods of so doing.

Section 1 gives the background to the subject; it points to the use which an objective investment performance measurement has for both the investment manager and the investor.

Section 2 describes the methods of measuring performance using overall rates of return. An example is given of results by three possible methods.

Section 3 deals with comparisons of performance. The advantage of analysing results is given. Methods are suggested for comparisons of actual rates of return with those of indices, notional portfolios and other funds.

Section 4 introduces the idea of risk, suggesting that risk is something for future policy rather than past performance measurement.

Section 5 applies the principles of performance to various types of funds giving difficulties particular to each.

The paper ends with a plea for the use of a common objective performance measurement.

In his inaugural address the President, dealing with the subject of research in connection with climatic and occupational rates of mortality, suggested that the Faculty might consider the advisability of the question being remitted to a committee to consider and report. In consequence a Sub-Committee was appointed by the Faculty Mortality Committee on 21st November 1930 to consider the subject of extra premiums for occupational and climatic risks generally. The time therefore seems appropriate for the submission to the Faculty for discussion of a paper on this subject.

The paper falls naturally into two sections. Section I contains a summary of the work which has been done in the past, chiefly in this country and America : it is hoped that it will form a convenient source of information on the subject, and further, that it will be of use inasmuch as any new method should rest on the basis of a full study of what has been done in the past. It may be mentioned that no attempt has been made to criticise or in any way to indicate the value or otherwise of the studies summarised. Endeavour has been made to include all the more recent studies which have a bearing on the subject under discussion, but it is of course difficult to avoid overlooking some which should have been included.

In Section II consideration is given to the methods used in the past, particularly to those employed in connection with the Joint Occupation Study. This leads to the formulation of an object for the proposed statistical investigation, and attention is then given to the problems of attaining this object with particular reference to the needs and practice of assurance companies in this country. A brief description is given of how the proposed investigation might be undertaken, and the following subjects are dealt with :—

• (a) the hazardous groups to be investigated;

• (b) the methods of recording the data ;

• (c) the methods of collecting the data.

The relation of the proposed investigation to the Continuous Mortality Investigation now proceeding and to any medico-actuarial investigation which, may be contemplated is discussed ; the suggestion is made that a comprehensive system of collecting the data should be instituted and that the information necessary for a standard, an occupational and climatic, and a medico-actuarial mortality investigation should be embodied on one uniform mortality card.

It is a common experience in many fields of investigation to find that the standard methods which have been developed and used in a given field prove inadequate in a particular application. In these circumstances it is often found that no further progress can be made along lines hitherto considered conventional, because some fundamental question has not been explicitly posed and answered by the standard methods. In life assurance a feature of existing methods of approximate valuation, which has not received prominence, is their inability to measure satisfactorily the size of the possible error involved. A wide variety of approximate methods have been in use, and some have been found to give consistently ‘good’ results, but the question of what is meant by ‘good’ has been left unanswered. The background of this paper is that the authors, faced with this situation when tackling an essentially practical problem, were virtually forced to break away from traditional methods and seek a new tool.

This abstract relates to the following paper:

SweetingP. and FotiouF.Calculating and communicating tail association and the risk of extreme loss ‐ Abstract of the London DiscussionBritish Actuarial Journal, doi:10.1017/S1357321712000347

The paper deals with the mortality and sickness of merchant seamen and with certain other matters that were connected in one way or another with the main subject.

The work underlying the paper was undertaken for the Ministry of War Transport (now the Ministry of Transport) and a report differing little from the present paper was completed in March 1946. I am much indebted to the Minister of Transport for leave to publish the information and for his interest in the work. I should also like to put on record the encouragement I received at an earlier stage from his predecessor and throughout from Sir Cyril Hurcomb, the Secretary (Director General) of the Ministry. Though I am, of course, responsible for the statistical analysis, I have had much help and criticism from the Registrar-General of Shipping and Seamen, Mr W. J. Killingback, M.B.E. Both he and the office of the Registrar-General of Shipping and Seamen at Cardiff, especially Mr C. F. Knight, have given me valuable information and advice without which I should have been in still greater difficulty in understanding and interpreting the statistics. Mr E. A. J. Heath, F.I.A., who was an Assistant Statistical Adviser at the Ministry, made the analyses of the discharges on grounds of ill health which are given in paragraphs 15–18 and in Tables 6 and 7. His experience of permanent sickness insurance was a valuable asset; he also helped in other ways in connexion with the work.

The various Pension Funds which have been established in the Presidencies of India in the Military, Medical, and Civil Services of the late Honourable East India Company have afforded the means of bringing together a great variety of interesting facts relating to the rates of mortality and marriage amongst Europeans in India. They were originally founded as mutual charitable schemes, giving assistance or pensions to the widows or children of such Members of the services as had not left sufficient pecuniary means for the support of their families or for putting them forward in life. The Company saw fit to encourage these laudable designs by allowing high rates of interest on their invested Funds, and making favourable arrangements in the exchanges for payments to be made in England.

This paper must be forward-looking. To dwell on the past, and even the present, would fill many pages to little purpose. The author is convinced after reviewing many files of documents that the European Common Market would not have gone forward if its founders had allowed themselves to be sidetracked by narrow interests. This perhaps sounds ominous to experts in particular fields, such as actuaries, for it is not always a happy position when political motives may overrule, or cut short, technical considerations. But the concept of the Common Market is a political one and this is becoming more apparent as the years roll on. The collective European interest will prevail but that does not mean that British philosophy and practice cannot make a distinguished contribution to European thought in the field of insurance, particularly life assurance. In practical terms, it is clearly not possible to argue for the adoption of British practice in its entirety. But I do believe that unless the profession takes every opportunity to argue the merits of our own ways of providing life assurance in the private sector, we may well live to regret the omission.

The theory surrounding sickness rates has received little attention in the United Kingdom during the past two decades. This may be a consequence of the assumption by the British Government of the role of principal insurer against sickness, and the resulting reduction in numbers of those who otherwise might have turned to the traditional friendly society for sickness insurance. It is unfortunate that the decline in interest in sickness rates should have coincided with the burgeoning of the theory of stochastic processes, for sickness is a stochastic process.

Next to England, Germany is the country in which the principles of life assurance have had the most successful development. It is true the more recent French Companies, La Caisse Paternelle, L'Equitable, La Caisse des Ecoles et des Families, which also call the assurances granted by them assurances sur la vie, show a greater extension in a shorter time; but what they guarantee to the public are not life assurances in our sense of the word. They are neither assurances granted for previously specified sums, nor is the payment of the claim dependent on the death of the assured. The more modern French life assurances are rather indefinite reversions obtained by paying in any sum the assured pleases, the interest of which (as in the Tontines), according to the mortality found to prevail in the different classes, may prove sometimes greater, sometimes less, and is only divided amongst those who attain the term of life which may have been previously agreed on. The contributions of those who die early, together with the interests thereon, go to augment the dividends to the surviving members. Whilst life assurance amongst the English and Germans is therefore calculated to be on the death of the assured a source of provision for their families, the more recent mode of life assurance amongst the French principally aims at granting to the assured himself, in his lifetime, an annuity or sum of money, which, increasing according as the computations are made for an earlier or later period, affords him the means of extending his business, of completing his education, of securing a dowry on marriage, or a provision in old age. In consequence, partly of the prospect of selfenjoyment of the reserve thus made, partly the possibility of obtaining a high profit for a small investment through a greater mortality in the classes than the tables assumed, this kind of assurance became very much in vogue amongst the French. Recently, however, a clearer understanding of the matter, and the exposure of some deceptions which a few of the Companies or their managers have been guilty of, have in some degree cooled the public favour.

The existing theory and practice of Annuities and Assurances, and the tables ordinarily constructed for the purpose of expediting the various computations relating to the same, are radically founded on annual payments, or upon a series of mathematical values which appertain to certain annual periods that are specifically defined. Indeed, the methods employed are not strictly applicable unless the prescribed condition of annual periodicity is realized or assumed; and this, in fact, is the reason why assurances, as well as annuities, are necessarily supposed to be payable on the exact completion of one of the recurring periods, viz., at the end of the year of age in which the death takes place.