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084043 (E60, B13) Biometric assumptions and actuarial methods according to FAS87 and IAS19
268
Abstracts and Reviews
examination of five seminal models by Black, Scholes and Merton; Vasicek, Cox, Ingersoll and Ross; Ho and Lee; and Heath, Jarrow and Morton. The paper provides a synthesis of the area and suggests directions for future research. Keywords: Term structure, interest rates, contingent claims valuation, Black-Scholes model, mean reversion, no arbitrage condition, preference-free pricing, general equilibrium, equivalent martingale measure.
E60: SURVEYS, GENERAL AND MISCELLANEOUS 084042 (E60, B13) Analysis of the effects of the new mortality table on pension schemes Schaaf B., Heiler U., Papst W. BlOtter der Deutschen Geilschafi far Versicherungsmathematik, Band XXII heft 4, 829-837. This paper deals with the new calculation bases for private pension schemes. The development of mortality is examined. The changes of premiums and cover reserves due to the new table and the new interest rate are investigated. The replenishment of the reserves for existing contracts is determined for some examples and two methods to adjust the cover reserves are presented on the basis of a portfolio of private pension schemes. Keywords: Pension schemes, mortality table. 084043 (E60, B13) Biometric Assumptions and Actuarial Methods according to FAS87 and IASI9 Klein H-G, Peters H. Bl~tter der Deutschen Gellschafi far Versicherungsmathematik, Band XXII - heft 4, 839854 Mortality and life-expectancy is compared for different mortality tables commonly used in Germany, USA and Great Britain. Besides the potential impact of different mortality rates, there are other reasons for the deviation between German and international pension accounting: different actuarial methods, different discount rates, and the (non-)projection of salaries and pensions. Delayed recognition, which is prescribed by IAS and FAS, is obviously not compatible to German Accounting rules which require - in order to protect creditors- an immediate recognition of the total liability. Keywords: Pension funds, mortality tables, actuarial methods.
084044 (E60) On the valuation of Pension Obligations Neuburger E., Blatter der Deutschen Gellschafi far Versicherungsmathematik, Band XXII - heft 4 855-868. Pension obligations are valued by a stochastic approach, which is based on the principles of individual identification and equal distribution of pension costs over the total period between the entry to the company and the occurrence of the eventual claim (as required by German commercial law HGB). As a result, with the help of different types of smoothing i.e. by forming the expected value in different ways, the actuarial reserves according to Section 6+ a EStG (Germany Income Tax Act) and their modification by SchrSder and Engbroks are derived and the relation between Schr6der's approach on the one hand and the approaches by Schmauck and by FAS rules on the other hand is made clear, thus showing the similarities and the divergences between these different approaches. As a particular result, it becomes apparent that the HGB requirements are indeed met by FAS valuations, if the accrued pension title is not just service pro-rated but, with a slight modification defined by taking due account of interest effects. Some few examples complete the paper. Keywords: Pension funds, regulations. 084045 (E60) The Contribution of Environmental Impairment Liability Insurance to Eco Efficiency Zweifel P., The Geneva papers on risk and insurance, 21, 336-340 (1996) The objective of environmental policy can be commonly defined to attain an optimal level of environmental quality or the optimal amount of environmental impairment. This means that the level of environmental quality opted for should be reached at minimal costs. There are several ways to achieve this goal, raising the issue of the right mix of the instruments available. The paper asks whether the effectiveness of available instruments is positively or negatively affected by the presence of Environmental Impairment Liability Insurance (EIL). The impact on five instruments of environmental policy will be analyzed, namely environmental standards, internalizing taxes, tradable permits, environmental tort and capital markets for risk shares. It is found that the contribution of EIL insurance to these instruments is the more promising the more market oriented the policy instrument. Keywords: Environmental insurance.
Abstracts and Reviews
examination of five seminal models by Black, Scholes and Merton; Vasicek, Cox, Ingersoll and Ross; Ho and Lee; and Heath, Jarrow and Morton. The paper provides a synthesis of the area and suggests directions for future research. Keywords: Term structure, interest rates, contingent claims valuation, Black-Scholes model, mean reversion, no arbitrage condition, preference-free pricing, general equilibrium, equivalent martingale measure.
E60: SURVEYS, GENERAL AND MISCELLANEOUS 084042 (E60, B13) Analysis of the effects of the new mortality table on pension schemes Schaaf B., Heiler U., Papst W. BlOtter der Deutschen Geilschafi far Versicherungsmathematik, Band XXII heft 4, 829-837. This paper deals with the new calculation bases for private pension schemes. The development of mortality is examined. The changes of premiums and cover reserves due to the new table and the new interest rate are investigated. The replenishment of the reserves for existing contracts is determined for some examples and two methods to adjust the cover reserves are presented on the basis of a portfolio of private pension schemes. Keywords: Pension schemes, mortality table. 084043 (E60, B13) Biometric Assumptions and Actuarial Methods according to FAS87 and IASI9 Klein H-G, Peters H. Bl~tter der Deutschen Gellschafi far Versicherungsmathematik, Band XXII - heft 4, 839854 Mortality and life-expectancy is compared for different mortality tables commonly used in Germany, USA and Great Britain. Besides the potential impact of different mortality rates, there are other reasons for the deviation between German and international pension accounting: different actuarial methods, different discount rates, and the (non-)projection of salaries and pensions. Delayed recognition, which is prescribed by IAS and FAS, is obviously not compatible to German Accounting rules which require - in order to protect creditors- an immediate recognition of the total liability. Keywords: Pension funds, mortality tables, actuarial methods.
084044 (E60) On the valuation of Pension Obligations Neuburger E., Blatter der Deutschen Gellschafi far Versicherungsmathematik, Band XXII - heft 4 855-868. Pension obligations are valued by a stochastic approach, which is based on the principles of individual identification and equal distribution of pension costs over the total period between the entry to the company and the occurrence of the eventual claim (as required by German commercial law HGB). As a result, with the help of different types of smoothing i.e. by forming the expected value in different ways, the actuarial reserves according to Section 6+ a EStG (Germany Income Tax Act) and their modification by SchrSder and Engbroks are derived and the relation between Schr6der's approach on the one hand and the approaches by Schmauck and by FAS rules on the other hand is made clear, thus showing the similarities and the divergences between these different approaches. As a particular result, it becomes apparent that the HGB requirements are indeed met by FAS valuations, if the accrued pension title is not just service pro-rated but, with a slight modification defined by taking due account of interest effects. Some few examples complete the paper. Keywords: Pension funds, regulations. 084045 (E60) The Contribution of Environmental Impairment Liability Insurance to Eco Efficiency Zweifel P., The Geneva papers on risk and insurance, 21, 336-340 (1996) The objective of environmental policy can be commonly defined to attain an optimal level of environmental quality or the optimal amount of environmental impairment. This means that the level of environmental quality opted for should be reached at minimal costs. There are several ways to achieve this goal, raising the issue of the right mix of the instruments available. The paper asks whether the effectiveness of available instruments is positively or negatively affected by the presence of Environmental Impairment Liability Insurance (EIL). The impact on five instruments of environmental policy will be analyzed, namely environmental standards, internalizing taxes, tradable permits, environmental tort and capital markets for risk shares. It is found that the contribution of EIL insurance to these instruments is the more promising the more market oriented the policy instrument. Keywords: Environmental insurance.