Over the last 20 years, the extent of defined benefit provision has declined substantially in the United Kingdom. Whilst most of the focus has been on deficits relating to past benefit accrual, the increasing cost of future benefit accrual is also important. There are...
The Missing Link: Economic Exposure and Pension Scheme Risk (with A. Christie and E. Gladwyn) – Annals of Actuarial Science (2015)
The funding position of a defined benefit pension plan is often closely linked to the performance of the sponsoring company’s business. For example, a plan sponsor whose financial health is dependent on high oil prices may struggle during periods of oil price...
Calculating and Communicating Tail Association and the Risk of Extreme Loss (with F. Fotiou) – British Actuarial Journal (2013)
In this paper we examine two aspects of extreme events: their calculation and their communication. In relation to calculation, there are two types of extreme events that are considered. The first is the extent to which extreme events in two or more variables occur...
What SSAP 24 Can Tell Us About Accounting Quality – British Actuarial Journal (2011)
Statement of Standard Accounting Practice (SSAP) 24 required, for the first time, particular levels of disclosure in relation to firms’ pension arrangements. Whilst this was a major step forward, it allowed a significant degree of discretion. This discretion meant...
The Usefulness of Stochastic Mortality Modelling – Annals of Actuarial Science (2011)
The uncertainty over cohort life expectancy continues to concern insurance companies and pension schemes. For pension schemes in particular, the combination of low interest rates and guaranteed pension increases have led to a much greater focus on future mortality...
A Trend-Change Extension of the Blake-Cairns-Dowd Model – Annals of Actuarial Science (2011)
This paper builds on the two-factor mortality model known as the Cairns-Blake-Dowd (CBD) model, which is used to project future mortality. It is shown that these two factors do not follow a random walk, as proposed in the original model, but that each should instead...
Tax Efficient Pension Choices in the UK – Annals of Actuarial Science (2009)
The special tax treatment of United Kingdom pensions means that the decision on how to use pension assets is particularly involved. In particular, the ability to take up to 25% of pension assets as a tax-free cash lump sum at retirement, offers retirees opportunities...
The Cost and Value of UK Defined Benefit Pension Provision – Journal of Pension Economics and Finance (2008)
The purposes of this paper are to consider the effect on remuneration of defined benefit pension accrual and the factors that have resulted in changes to the cost and value of this accrual. In this paper, I look at the effect of the change in the cost to an employer...