The new graduated tables of self-administered pension schemes' mortality are now out for consultation.

Members of the Continuous Mortality Investigation (CMI) Self-Administered Pension Schemes (SAPS) Committee will present the graduated tables consultation document — Working Paper 32 (WP32) — at these Sessional Meetings, and will lead the discussions on the production and the use of these mortality tables. The discussions will concentrate on: how the tables will be used; which ones to use, and how to scale them for particular schemes; the different categories of pensioners for whom the tables have been produced; the treatment of younger and older ages; and the table names to be used.

It is stressed that the mortality tables contained in WP32 are issued as part of a consultation process, and that they might be changed before final publication.

The text of this paper, together with the abstract of the discussion held by the Faculty of Actuaries on 19 March 2007, are printed in British Actuarial Journal, 13, III, 479-555.

The authors have reviewed over 60 texts on the subject of Enterprise Risk Management (ERM). In this paper they set out a summary of ERM based on three of those sources, selected for their relevance and breadth of view. The paper observes that the approaches described vary widely in nature. A separate ‘on-line” source is provided, which summarises key readings from the 60 texts. Combining findings from these texts with the authors' own experiences, the paper suggests some best practice checklists, designed to enable organisations to take stock of their current ERM frameworks. It discusses other aspects of ERM for practitioners, including extreme events, opportunity management and the link with corporate strategy. The paper looks at immediate and longer-term implications for actuaries in the United Kingdom, and then poses questions about future professional development and education. It suggests an emerging role for the ‘ERM actuary’, and, finally, it suggests future work to progress the development of ERM and the actuaries' role.

The third Lecturer to the Faculty of Actuaries is Mr Karel Van Hulle. He is a lawyer by training, and is Head of Unit at the European Commission (Directorate-General ‘Internal Market and Services’), which he joined in 1984, after having served for eight years with the Belgian Banking Commission.

He was subsequently Head of Unit for Accounting Standards, Head of Unit for Financial Reporting and Company Law and Head of Unit for Accounting and Auditing. In that capacity he was closely involved with harmonisation in the fields of accounting, auditing and company law, both at European Union level and internationally, and served as the Commission's observer with the International Accounting Standards Committee. He was Secretary of the High Level Group of Experts on Company Law, which prepared the Commission's 2003 Action Plan on Company Law.

Since November 2004 he has been Head of the Insurance and Pensions Unit. In this function, his main responsibility is the preparation of the new solvency regime for insurance and reinsurance companies (Solvency II).

Although equity release market sales have been flat since 2003, the market has seen significant developments in terms of product flexibility, with greater levels of guarantees and drawdown schemes, in particular, leading to the reduction in average case sizes. All things being equal, products should have become more expensive for consumers, but the competitive environment which has driven product innovation has also resulted in lower product margins. This is all good for the consumer, but it is increasingly difficult for providers to reach target returns on capital, and this is deterring some prospective new entrants. One of the purposes of this paper is to investigate the profitability of typical schemes in the market at present, and so to address the question of whether competition has forced the market to function at non-profitable levels. In doing this, the paper also provides a benchmark for existing providers and potential new entrants, against which they can check the reasonableness of their own assumptions. We will aim to provide a rational pricing methodology, which can be adopted by any organisation active in the market, and we hope that this can support the market as it expands over the coming years. In order to produce a set of cohesive results, we have modelled a range of potential outcomes using a pricing basis which we consider to be broadly ‘average’. While we would encourage providers to compare our results with their own pricing assumptions, and to ensure that they are satisfied as to the reasons for any differences, there is a health warning, as our results should only be used as a check in this regard. If our ‘averages’ are suitable for use by some providers, then this is just co-incidence. In practice providers should adapt the assumptions made to suit their own product features, target market, expense profile and appetite for risk.

This Sessional Meeting takes the form of a panel discussion, asking the question: “Managing defined benefit risk management: is buy-out the future?”

The following are subjects for discussion:

— What is driving the increased interest in buy-out and other risk transfer solutions?

— Will it last?

— Who are the players in this market? Is there room for everyone? Is there enough capital?

— What impact will current economic conditions have on decisions which trustees make?

— What is the role of the Regulator, and how is regulation evolving?

— Are products evolving to meet market needs?

— What are the implications for actuarial pension consultants of the growing buy-out market?

Data from insurance portfolios and pension schemes lend themselves particularly well to the application of survival models. In addition to the traditional actuarial risk-rating factors of age, gender and policy size, we find that using geodemographic models based on postcode provides a major boost in explaining risk variation. Geodemographic models can be better than models based on pension size in explaining socio-economic variation, but a model using both is usually better still. Models acknowledging heterogeneity tend to fit better than models which do not. Finally, bootstrapping techniques can be used to test the financial applicability of a model, while weighting the model fit can be used to address concentration risk.

The text of this paper, together with the abstract of the discussion held by the Institute of Actuaries on 30 April 2007, in Manchester, are printed in British Actuarial Journal, 13, III, 579-636.

In our role, as actuaries, as long-term risk managers, climate change may have a considerable impact on some of our work, and, at the very least, we need to be able to answer clients' questions on the issue. The aim of this meeting is to come to a consensus on what that impact might be and how it can be managed. The impact on society and on the economy of climate change is subject to a great deal of uncertainty. We need to ascertain the risks; what they are, the degree of uncertainty, the potential magnitude and the time frame.

Earlier, the Environmental Research Group of the Actuarial Profession had conducted a survey of actuaries on climate change and its implications, by means of a questionnaire. The analysis of this questionnaire is printed here, as an indication of the reactions of those actuaries who responded.

This paper provides a detailed overview of variable annuities. Consideration is given first to the definition of the term variable annuity. Common terminology used in the variable annuity market is introduced. The current state of the United Kingdom and other international markets is described. Then, by reference to a simplified product, an analysis of customer outcomes, pricing, reserving, risk management and hedging is carried out. The paper ends with a description of current U.K. pensions legislation and how it potentially constrains product development.