This paper defines the ‘Case Deleted’ Deviance - a new objective function for evaluating Generalised Linear Models, and applies this to a number of practical examples in the pricing of general insurance. The paper details practical approximations to enable the efficient calculation of the objective, and derives modifications to the standard Generalised Linear Modelling algorithm to allow the derivation of scaled parameters from this measure to reduce potential over fitting to historical data. These scaled parameters improve the predictiveness of the model when applied to previously unseen data points, the most likely being related to future business written. The potential for over fitting has increased due to number of factors now used, particularly in pricing personal lines business and the advent of price comparison sites which has increased the penalties of mis-estimation. New material in this paper has been included in a UK patent application No. 1020091.3.

This paper focuses on Enterprise Risk Management (ERM) and strategic business management for health insurance companies in our world of ‘unknown unknowns’ and the emergence of unexpected risks over time. It illustrates how Chief Risk Officers (CROs) can focus on ‘risk and opportunity management’ through an ERM framework, and thereby balance risks against opportunities, whilst being resilient against ‘unknown unknowns’ and their emergence over time as ‘known unknowns’ and ‘known knowns’. The paper has been designed to meet the broad requirements of health insurers that would like to implement an ERM framework for the effective risk management of their health insurance lines of business. Risk management for health insurers in the context of Solvency II and broader European Commission regulatory requirements is also discussed. The authors discuss how insurers can develop and apply risk management to build resilience in the face of the storms and shocks that may lie ahead.

This abstract relates to the following paper:

OrrosG.C., and SmithJ.Enterprise risk management for health insurance from an actuarial perspective ‐ Abstract of the London discussion. British Actuarial Journal, doi:10.1017/S1357321712000062

This abstract relates to the following paper:

LovickA.C. and LeeP.K.W.Redefining the deviance objective for generalised linear models ‐ Abstract of the London discussionBritish Actuarial Journal, doi:10.1017/S1357321712000190

This abstract relates to the following paper:

LovickA.C. and LeeP.K.W.Redefining the deviance objective for generalised linear models ‐ Abstract of the Norwich discussionBritish Actuarial Journal, doi:10.1017/S1357321712000190

This paper explores the application of ERM-style techniques to pension funds. It uses the term ‘entity-wide risk management’ rather than ‘enterprise risk management’, even though both have the same acronym (‘ERM’), because many pension funds do not view themselves as business ‘enterprises’ as such. Some of the techniques that business enterprises have for managing risk (e.g. raising new capital from shareholders or branching into new business areas if existing ones have unattractive risk-reward characteristics) may not be open to many pension funds. The paper argues that the holistic approach to risk management (and governance) that is a hallmark of ERM is as appropriate to pension funds as it is to any other type of entity. This is the case whether the fund is defined benefit or defined contribution in nature, or a hybrid. It is also the case whether the ‘entity’ is deemed to be the fund itself, the sponsor or the two combined. Indeed, there are aspects of pension arrangements, such as the relationship between the fund and its sponsor, that lend added impetus to the use of ERM-style techniques in practical pension fund management.

The recent financial crisis has raised challenges to market-consistent valuation, both in its implementation and application. These include both commercial and technical challenges. The whole concept of mark-to-market accounting has been questioned in some quarters.

There have been commercial challenges in deciding how to assess business strategies given recent volatile market-consistent results, including the implications for ALM and new business pricing. Industry-wide, macroeconomic concerns have been raised regarding procyclicality.

This paper recognises these commercial challenges and highlights how a combination of different forms of management information covering both market-consistent and other measures can help in making decisions. This paper sets out some possible approaches to mitigate procyclicality.

There have been technical challenges in:

• – assessing how to value instruments in markets which are or have become illiquid

• – selecting an appropriate ‘risk-free’ or reference rate

• – deciding whether and how to make additional allowance for the liquidity premium or own credit risk

• – the calibration of stochastic models used to value embedded financial options and guarantees

• – assessing an appropriate allowance for non-hedgeable risk.

This paper discusses these technical challenges. The paper proposes a way forward in some areas, taking into account the recent dislocation of the financial markets and drawing on recent Solvency II, IASB, FASB and MCEV developments.

This abstract relates to the following paper:

KempM.H.D., and PatelC.C.Entity-wide risk management for pension funds ‐ Abstract of the Edinburgh discussion. British Actuarial Journal, doi:10.1017/S1357321712000086

This summary relates to the following paper:

ForoughiKMarket-consistent valuations and Solvency II: Implications of the recent financial crisis ‐ Summary of the London discussion. British Actuarial Journal, doi:10.1017/S1357321712000025

Insurance accounting has for many years proved a challenging topic for standard setters, preparers and users, often described as a “black box”. Will recent developments, in particular the July 2010 Insurance Contracts Exposure Draft, herald a new era?

This paper reviews these developments, setting out key issues and implications. It concentrates on issues relevant to life insurers, although much of the content is also relevant to non-life insurers.

The paper compares certain IFRS and Solvency II developments, recognising that UK insurers face challenges in implementing new financial and regulatory reporting requirements in similar timeframes. The paper considers resulting external disclosure requirements and a possible future role for supplementary information.

This abstract relates to the following paper:

KempM.H.D., and PatelC.C.Entity-wide risk management for pension funds ‐ Abstract of the London discussion. British Actuarial Journal, doi:10.1017/S1357321712000086

This abstract relates to the following paper:

ForoughiK., BarnardC. R., BennettR.W., ClayD. K., ConwayE.L., CorfieldS.R., CoughlanA.J., HarrisonJ.S., HibbettG.J., KendixI.V., Lanari-BoisclairM., O’ BrienC.D. and StrakerJ.S.K.Insurance accounting: a new era? ‐ Abstract of the London discussionBritish Actuarial Journal, doi:10.1017/S1357321712000189

The focus of this paper is the identification, and more importantly, sustainable management, of risks embedded in guarantees attaching to unit linked savings and retirement contracts (as commonly referred to as GMxBs). In developing customer centric guarantees that are not readily transferrable to the capital markets, insurance undertakings require the skills and resources to hedge the guarantees within their own balance sheet (or with a temporary use of packaged solutions such as reinsurance). In taking on the guarantee manufacture task insurers are departing from areas of historic competence and need to develop a comprehensive understanding of all elements of market risk replication. These include both first order market exposures as well as the material second order risks associated with market micro structure. The paper seeks to integrate this comprehensive analysis within a practitioner focused framework and concludes with a senior executive summary of “Seven key considerations in successful guarantee manufacture”.

This paper considers equity, or fairness, as being based on with-profits life insurers acting in accordance with their contracts. It uses the principles of with-profits business in conjunction with a legal approach to derive implied terms in with-profits contracts. The author examines certain situations of conflict between with-profits policyholders and shareholders. The paper does not regard all concerns put forward on behalf of policyholders’ interests as justified in practice: actuaries and regulators have been alert to issues and in many cases have taken appropriate action. However, it does suggest a number of practices that may be unfair. The paper also suggests that the current process for the reattribution of an inherited estate may favour shareholder interests over policyholder interests.

This abstract relates to the following paper:

ForoughiK., BarnardC.R., BennettR.W., ClayD.K., ConwayE.L., CorfieldS.R., CoughlanA.J., HarrisonJ.S., HibbettG.J., KendixI.V., Lanari-BoisclairM., O’BrienC.D. and StrakerJ.S.K.Insurance accounting: a new era? ‐ Abstract of the Edinburgh discussionBritish Actuarial Journal, doi:10.1017/S1357321712000189

This abstract relates to the following paper:

MaherJ., CorriganJ., BentleyA., and DiffeyW.An executive's handbook for understanding and risk managing unit linked guarantees ‐ Abstract of the London discussion. British Actuarial Journal, doi:10.1017/S1357321712000013