ISBIS4 Abstract

Contact Author's Name: Anthony Asher
Title of Abstract: Data issues in actuarial science
Author(s): Anthony Asher
Affiliation: APRA

I see actuarial science as an applied discipline with the objective of providing people with financial security. As such its practitioners are largely employed in the management of institutions providing insurance, pensions and investment services. As scientists,they measure and model the investment, insurance and expense experience of these institutions. The major current issues appear to me to be:

· Minimal attention has been given to the extent to which the products and benefits designed by actuaries meet the needs of clients for financial security over their lifetimes. The need for data on this subject is likely to be filled by the panel studies in income dynamics that have been launched in most developed countries over the past decade.

· Minimal attention is given in the training of actuaries as to the prevention of data errors. My impression is that data accuracy in all institutions is declining - internationally.

· Investment modelling can probably be said to dominate research in actuarial work, but much is naïve technical analysis that is unhelpful if not misleading. Fundamental analysis, which takes account of information other than prices,is more likely to give a full picture.

· Insurance and expense data is not widely available partly because of the commercial sensitivities. Worse still, some institutions seem to have lost the will to produce quality data.

I give a brief description of one example of investment analysis that monitors the integrity of published daily prices and the underlying investment process. Using a constrained regression of daily price movements on published indices, we estimate asset allocation and thus create fitted prices that can be compared with the actual.The differences can represent administrative errors.Egregious examples of investment underperformance relative to the published indices can also be identified.