The following paper sets out the actuarial basis for the Cologne Re model projecting the spread of AIDS. We project new infections, new AIDS cases, and deaths for the sexually active population and demonstrate the effect on the German life assurance industry.

The Actuarial Profession is currently undertaking a review of its research strategy, and has decided to focus more resources on researching mortality developments. It is important that the profession is involved in partnerships with researchers from outside of the profession, bringing actuarial expertise into closer contact with other disciplines. We believe that collaboration between these different areas of expertise will provide important new insights in understanding mortality trends. This report represents the first step by the Mortality Developments Scoping Project Steering Group to map current research into mortality developments across a wide range of disciplines. The steering group is aware that the themes and literature discussed in this report are not exhaustive; however it does include areas of research not normally covered by the Actuarial Profession. The steering group welcomes comments on the report and suggestions for any areas which may not yet have been covered.

The main aim of this report is to provide an overview of the key areas of research into mortality developments across a wide range of disciplines, as well as areas of overlap and gaps in the research. The literature described is compiled from recommendations received by the Mortality Developments Scoping Project Steering Group from experts from different disciplines working in the area of mortality.

Key themes identified from recommended literature:

— the role of medicine in mortality reduction;

— the role of lifestyle and environment in mortality reduction, including smoking, socio-economic conditions and obesity;

— causes of death contributing to mortality reduction, in particular coronary heart disease;

— mortality reduction attributable to differing age groups;

— the relationship of active life expectancy to total gains in life expectancy;

— evidence of cohort effects on mortality improvement; and

— future trends in mortality developments.

Areas of overlap identified from recommended literature are:

— the overlap between literature examining the role of medicine in mortality decline and the influences on the decline in mortality from coronary heart disease; and

— the areas of overlap between various disciplines working in the field of mortality developments.

Gaps identified in recommended literature are:

— a lack of recommendations from social policy;

— few papers recommended on the role of lifestyle and behavioural factors on mortality;

— few papers recommended on causes of death other than coronary heart disease; and

— few papers recommended on potential threats to future mortality improvement.

All members of the Institute are more or less conversant with the “field” work of American Life Insurance Companies, but comparatively few have had the opportunity of becoming acquainted with the “inside” methods of these Institutions, which, as might be supposed, differ in many respects from the methods of British Companies. One of these differences is that Valuation Tables are much more extensively used there than in Britain, and it is not surprising, therefore, that various Valuation Tables have, from time to time, been published in America. No notice seems to have been taken of them in the Journal, so I propose, in the first place, to indicate briefly the contents of these publications, and then to refer to some of the American methods which necessitate the existence of these various Tables.

The history of the United Provinces, and of Holland especially, from the close of the Spanish rule down to the establishment of the modern monarchy of the Netherlands, is distinguished for its manifestation of a permanent struggle between different opposite principles. Liberty and authority, municipal principle and state principle, republic and monarchy, the spirit of federal isolation and that of centralization, appear to give battle to each other upon a territory itself with difficulty defended from the waves of the ocean by the watchful industry of its inhabitants.

Most of the published actuarial literature in the U.K. on immunization has been applied to the valuation of a life office. The authors have shown how the immunization techniques first introduced by Redington (3) in 1952 can be used to match the liability outgo of the office, to a greater or lesser extent.

The purpose of this paper is to introduce the student to the underlying concept of immunization and to show how it can be utilized to produce a guaranteed rate of return with a high degree of probability, irrespective of the future course of interest rate levels.

The term to maturity and duration (mean term) of a bond are discussed in §2. The maturity is only of limited help in characterizing a specific bond. The duration—a measure of the average time until the bond payments are received—is an easily determined figure which is more informative about a bond than maturity. The price sensitivity of a bond (i.e. volatility) is linearly related to the duration.

The text of this paper, together with the abstract of the discussion held by the Faculty of Actuaries on 15 November 1999, are printed in British Actuarial Journal, 6, I, 143-213.

The present effort does not profess to be complete. It deals with the main problems that come before the Consulting Actuary in connection with Staff Pension Funds, but does not go into the details of what may be called the fancy benefits which are occasionally met with. The solutions of the general problems here given will, however, indicate the methods to be applied in attacking other, and sometimes more complex, questions, which, when the principles have been grasped, will not present serious difficulty.

The Friendly Societies, which are sometimes called Benefit Clubs, have for many hundred years been highly popular in England; not merely because they supplied one of the principal wants of the working classes—namely, relief in sickness or accidents which disable them from obtaining their usual wages—but because, by mutual association, they afforded some scope for the talents and sagacity of some of the members to be recognised and appreciated by others. But by the very nature of their composition they were deficient in the element of stability ; and notwithstanding the best intentions of the members, the Societies have been constantly broken up and reformed.

Actuaries have become increasingly involved in general insurance, and in particular, in the London Market. This paper examines the management of the pricing process in the context of the London Market, and deals with concepts such as profit testing, risk and reward, and setting underwriting targets. The key area covered is the communication of a strategy in a meaningful way that can be controlled at the operating level.

The vitality displayed by the English Friendly Societies in face of the competition of the compulsory system of National Health Insurance is such as to justify the allocation to the societies of a reasonable part of the time which the Institute devotes to the study of problems of professional interest; and their claim for a share of our attention is strengthened by the fact that the day of the unqualified “valuer” has nearly passed, and that the work of advising the societies on the actuarial aspects of their relatively complex undertakings is now almost everywhere entrusted to Fellows of the Institute or of the Faculty.

As there is a prospect of the Scottish Insurance Companies again collecting the statistics of their mortality experience, it is desirable to consider anew the mode in which the facts should be tabulated, in order to ascertain the rate of mortality experienced among assured lives. The previous collection was drawn from theexperience of 10 offices, and consisted of the total lives assured from the beginning of the several offices, brought down to 31 December 1863. Thirty years having elapsed, it is proposed to begin with the facts then existing—tabulating the deaths arising among these; and also to tabulate new assurances, dealing with them separately. It is proposed also to discuss whole-life assurances and endowment assurances. It is also proposed to collect the experience of male and female annuitants. With so large an undertaking in prospect, it is expedient to re-consider the modes previously adopted, and in some detail to state the manner in which these experiences should be now collected.

Before proceeding to describe the mortality experiences made use of in this investigation, I will first of all discuss the various materials that have been used in investigations into the mortality among assured lives, the methods of arranging those materials in order to deduce the rate of mortality, and the method of graduation best adapted for the adjustment of the rate of mortality among recently-selected lives, pointing out the advantages and disadvantages of each, and stating which I have adopted. This will necessarily partake more or less of the nature of an historical sketch; but I think it will conduce to clearness, and will, I trust, prove interesting as well as instructive. I have also thought it desirable to state somewhat fully the information on which I have based my conclusions, in order that my readers may be in a position to exercise an independent judgment.