This paper begins to record best practice in the actuarial assessment of claims for maintenance against deceased estates in South Africa. Although this is a small field of actuarial practice, it is in the public interest that generally accepted standards be agreed upon. The paper applies an actuarial quality framework to identify aspects of the field, and then populates each aspect from the actuarial and legal experience respectively of the authors, and their interactions with other practitioners. KEYWORDS Maintenance claims; deceased estates; surviving spouses; duty of support
{"title":"Towards best practice in the actuarial assessment of claims for maintenance against deceased estates","authors":"M. Lowther, J. Mort","doi":"10.4314/SAAJ.V16I1.5","DOIUrl":"https://doi.org/10.4314/SAAJ.V16I1.5","url":null,"abstract":"This paper begins to record best practice in the actuarial assessment of claims for maintenance against deceased estates in South Africa. Although this is a small field of actuarial practice, it is in the public interest that generally accepted standards be agreed upon. The paper applies an actuarial quality framework to identify aspects of the field, and then populates each aspect from the actuarial and legal experience respectively of the authors, and their interactions with other practitioners. KEYWORDS Maintenance claims; deceased estates; surviving spouses; duty of support","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70613514","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
No analytic procedures currently exist for determining optimal artificial neural network structures and parameters for any given application. Traditionally, when artificial neural networks have been applied to financial modelling problems, structure and parameter choices are often made a priori without sufficient consideration of the effect of such choices. A key aim of this study is to develop a general method that could be used to construct artificial neural networks by exploring the model structure and parameter space so that informed decisions could be made relating to the model design. In this study, a formal approach is followed to determine suitable structures and parameters for a Feed Forward Multi-layered Perceptron artificial neural network with a Resilient Propagation learning algorithm with a single hidden layer. This approach is demonstrated through the modelling of four South African economic variables, namely the average monthly returns on the money, bond and equity markets as well as monthly inflation. Artificial neural networks can be constructed on the aforementioned variables in isolation or, jointly, in an integrated model. The performance of a range of more traditional time series models is compared with that of the artificial neural network models. The results suggest that, on a statistical level, artificial neural networks perform as well as time series models at forecasting the returns for financial markets. Hybrid models, combining artificial neural networks with the time series models, are constructed, trained and tested for the money market and for the rate of inflation. They appear to add value to the time series models when forecasting inflation, but not for the money market.
{"title":"A method of parameterising a feed forward multi-layered perceptron artificial neural network, with reference to South African financial markets","authors":"M. L. Smith, F. Beyers, J. D. Villiers","doi":"10.4314/SAAJ.V16I1.2","DOIUrl":"https://doi.org/10.4314/SAAJ.V16I1.2","url":null,"abstract":"No analytic procedures currently exist for determining optimal artificial neural network structures and parameters for any given application. Traditionally, when artificial neural networks have been applied to financial modelling problems, structure and parameter choices are often made a priori without sufficient consideration of the effect of such choices. A key aim of this study is to develop a general method that could be used to construct artificial neural networks by exploring the model structure and parameter space so that informed decisions could be made relating to the model design. In this study, a formal approach is followed to determine suitable structures and parameters for a Feed Forward Multi-layered Perceptron artificial neural network with a Resilient Propagation learning algorithm with a single hidden layer. This approach is demonstrated through the modelling of four South African economic variables, namely the average monthly returns on the money, bond and equity markets as well as monthly inflation. Artificial neural networks can be constructed on the aforementioned variables in isolation or, jointly, in an integrated model. The performance of a range of more traditional time series models is compared with that of the artificial neural network models. The results suggest that, on a statistical level, artificial neural networks perform as well as time series models at forecasting the returns for financial markets. Hybrid models, combining artificial neural networks with the time series models, are constructed, trained and tested for the money market and for the rate of inflation. They appear to add value to the time series models when forecasting inflation, but not for the money market.","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70613577","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In the past decade, the topic of microinsurance has received much attention from researchers around the world as the drive to alleviate persistent global poverty intensifies. Although microinsurance is a powerful tool that can be used to assist in the fight against poverty by acting as a safety net for policyholders, the problem of claims fraud is a serious threat to its long-term sustainability. Analysis of the existing literature reveals a severe shortage of research into the problem of microinsurance claims fraud, even though we have found that it poses a greater threat in microinsurance than regular insurance. In this paper we highlight the problem of claims fraud in low-income markets and we explain how fraud has the potential to make microinsurance initiatives unsustainable. After establishing that action is needed to combat fraud in microinsurance, we briefly present a number of fraud mitigation techniques that have been successful in conventional insurance. However, certain characteristics that differentiate microinsurance from regular insurance reveal that most of these fraud combating approaches are not appropriate to microinsurance; the proportionately higher costs of identifying claims fraud relative to policy size, the lack of data and the lack of resources experienced by microinsurers render these methods impractical and unaffordable in the context of microinsurance. We proceed to demonstrate the workings of a statistical method known as Principle Component Analysis of Ridit Scores (the Pridit method), initially developed by Brockett et al. (2002) which has been shown to effectively identify fraudulent claims without the need for a training sample. The method can thus easily be applied by microinsurers to assist in the detection of claims fraud. While this method of fraud detection is not without limitations, it may provide a pragmatic and cost-effective way for microinsurers to begin tackling claims fraud. In this paper, the method is clearly explained by means of a worked example to help microinsurers implement the method at low cost.
{"title":"The significance of claims fraud in microinsurance and a statistical method to channel limited fraud identification resources","authors":"Peri Agostinho, C. Cherry","doi":"10.4314/SAAJ.V16I1.6","DOIUrl":"https://doi.org/10.4314/SAAJ.V16I1.6","url":null,"abstract":"In the past decade, the topic of microinsurance has received much attention from researchers around the world as the drive to alleviate persistent global poverty intensifies. Although microinsurance is a powerful tool that can be used to assist in the fight against poverty by acting as a safety net for policyholders, the problem of claims fraud is a serious threat to its long-term sustainability. Analysis of the existing literature reveals a severe shortage of research into the problem of microinsurance claims fraud, even though we have found that it poses a greater threat in microinsurance than regular insurance. In this paper we highlight the problem of claims fraud in low-income markets and we explain how fraud has the potential to make microinsurance initiatives unsustainable. After establishing that action is needed to combat fraud in microinsurance, we briefly present a number of fraud mitigation techniques that have been successful in conventional insurance. However, certain characteristics that differentiate microinsurance from regular insurance reveal that most of these fraud combating approaches are not appropriate to microinsurance; the proportionately higher costs of identifying claims fraud relative to policy size, the lack of data and the lack of resources experienced by microinsurers render these methods impractical and unaffordable in the context of microinsurance. We proceed to demonstrate the workings of a statistical method known as Principle Component Analysis of Ridit Scores (the Pridit method), initially developed by Brockett et al. (2002) which has been shown to effectively identify fraudulent claims without the need for a training sample. The method can thus easily be applied by microinsurers to assist in the detection of claims fraud. While this method of fraud detection is not without limitations, it may provide a pragmatic and cost-effective way for microinsurers to begin tackling claims fraud. In this paper, the method is clearly explained by means of a worked example to help microinsurers implement the method at low cost.","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70613144","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
CITATION:Strydom, M. L., Corubolo, D. & Nel, C. 2016. Changes in mortality of people living with HIV in South Africa and their potential implications for life assurers. South African Actuarial Journal, 16:1-33. doi:10.4314/saaj.v16i1.1.
引用本文:Strydom, M. L, Corubolo, D. & Nel, C. 2016。南非艾滋病毒感染者死亡率的变化及其对寿险公司的潜在影响。南非精算杂志，16:1-33。doi: 10.4314 / saaj.v16i1.1。
{"title":"Changes in mortality of people living with HIV in South Africa and their potential implications for life assurers","authors":"M. Strydom, D. Corubolo, C. Nel","doi":"10.4314/SAAJ.V16I1.1","DOIUrl":"https://doi.org/10.4314/SAAJ.V16I1.1","url":null,"abstract":"CITATION:Strydom, M. L., Corubolo, D. & Nel, C. 2016. Changes in mortality of people living with HIV in South Africa and their potential implications for life assurers. South African Actuarial Journal, 16:1-33. doi:10.4314/saaj.v16i1.1.","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70613372","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The significant shift from defined benefit to defined contribution retirement funds in South Africa has led to many fund members bearing responsibility for a range of risks. Many of these risks, such as those related to investment, longevity and cognitive deterioration are unavoidable. Another category of risk is that related to the choices made by government, employers, trustees, advisors and/or individuals at either national, scheme or individual level. These choices may also pose a threat to a member's financial wellbeing in retirement. Behavioural economics and finance helps to explain the choices made by these stakeholders in the retirement industry. The authors explain this concept in the context of industry stakeholders and the unique South African economic and demographic landscape, focusing on defined contribution retirement funds. Key behavioural insights applicable to the retirement industry are explored and, where practical, illustrated by stakeholder behaviour. Possible ways to harness these insights in order to improve retirement wellbeing are then discussed.
{"title":"The impact of behavioural economics and finance on retirement provision","authors":"N. V. Zyl, D. V. Zyl","doi":"10.4314/SAAJ.V16I1.4","DOIUrl":"https://doi.org/10.4314/SAAJ.V16I1.4","url":null,"abstract":"The significant shift from defined benefit to defined contribution retirement funds in South Africa has led to many fund members bearing responsibility for a range of risks. Many of these risks, such as those related to investment, longevity and cognitive deterioration are unavoidable. Another category of risk is that related to the choices made by government, employers, trustees, advisors and/or individuals at either national, scheme or individual level. These choices may also pose a threat to a member's financial wellbeing in retirement. Behavioural economics and finance helps to explain the choices made by these stakeholders in the retirement industry. The authors explain this concept in the context of industry stakeholders and the unique South African economic and demographic landscape, focusing on defined contribution retirement funds. Key behavioural insights applicable to the retirement industry are explored and, where practical, illustrated by stakeholder behaviour. Possible ways to harness these insights in order to improve retirement wellbeing are then discussed.","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70613452","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper investigates the performance of South African general equity unit trusts relative to the FTSE/JSE All Share Index during the period January 1994 to December 2012. The period under investigation was split into six further sub-periods each having a specific economic cycle: a downturn, average growth or robust growth. Unit trusts are shown to have underperformed in economic downturns and outperformed in periods of robust growth, while no conclusions can be made about unit trust performance during periods of average growth. Overall, unit trusts showed slight outperformance, but this was not found to be persistent.
{"title":"An investigation into South African general equity unit trust performance during different economic periods","authors":"De Bertolis, M. Hayes","doi":"10.4314/SAAJ.V14I1.3","DOIUrl":"https://doi.org/10.4314/SAAJ.V14I1.3","url":null,"abstract":"This paper investigates the performance of South African general equity unit trusts relative to the FTSE/JSE All Share Index during the period January 1994 to December 2012. The period under investigation was split into six further sub-periods each having a specific economic cycle: a downturn, average growth or robust growth. Unit trusts are shown to have underperformed in economic downturns and outperformed in periods of robust growth, while no conclusions can be made about unit trust performance during periods of average growth. Overall, unit trusts showed slight outperformance, but this was not found to be persistent.","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2015-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70612201","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
R. D. Silva, K. Milner, T. Kolbe-Alexander, Mike Greyling, D. Patel
The Sunday Times Discovery Healthiest Company Index Survey collected a dataset of 13 578 responses from corporate employees in 101 companies. This dataset has been used to assess the prevalence of self-reported modifiable health-risk factors and the association with chronic conditions. The analysis indicates that there is a greater likelihood of an individual reporting a chronic condition where their lifestyle risk factors are outside of the healthy range. This suggests that there are opportunities to manage the costs of health insurance, medical expenses and productivity losses by applying risk management tools aimed at addressing modifiable risk factors. KEYWORDS: Chronic condition, disease management programme, modifiable health risk factors
{"title":"The prevalence of chronic conditions associated with modifiable health risk factors in corporate employees in South Africa","authors":"R. D. Silva, K. Milner, T. Kolbe-Alexander, Mike Greyling, D. Patel","doi":"10.4314/SAAJ.V14I1.4","DOIUrl":"https://doi.org/10.4314/SAAJ.V14I1.4","url":null,"abstract":"The Sunday Times Discovery Healthiest Company Index Survey collected a dataset of 13 578 responses from corporate employees in 101 companies. This dataset has been used to assess the prevalence of self-reported modifiable health-risk factors and the association with chronic conditions. The analysis indicates that there is a greater likelihood of an individual reporting a chronic condition where their lifestyle risk factors are outside of the healthy range. This suggests that there are opportunities to manage the costs of health insurance, medical expenses and productivity losses by applying risk management tools aimed at addressing modifiable risk factors. KEYWORDS: Chronic condition, disease management programme, modifiable health risk factors","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2015-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70612689","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The Actuarial Society of South Africa (‘Actuarial Society’) requires its members to honour their professional promise to deliver specialist and up-to-date actuarial expertise that is ethical and subject to professional oversight. The purpose of this study is to investigate how the Actuarial Society can encourage its members to develop and maintain the capability to deliver this professional promise through continuing professional development (‘CPD’). Current concepts of and approaches to professional development were identified from the literature and various professions’ CPD requirements. Thereafter, the opinions of South African actuaries on the insights from the literature were sought by means of an online survey. Analysis of the literature indicates that CPD is most effective when it takes place through a development cycle of planning, action, results and reflection. Further, professional development is associated with competently completing tasks that are required in the workplace. Data from the survey supported these insights. It is concluded that the Actuarial Society’s CPD requirements should be designed to encourage members to develop and maintain their capabilities, and it is therefore suggested that members be required to engage in work-based development cycles. KEYWORDS :Professionalism; continuing professional development; CPD; professional development cycle; professional practice; work-based learning
{"title":"Authentic professional development : key to quality service delivery","authors":"Michael Lowther, W. Mcmillan","doi":"10.4314/saaj.v14i1.1","DOIUrl":"https://doi.org/10.4314/saaj.v14i1.1","url":null,"abstract":"The Actuarial Society of South Africa (‘Actuarial Society’) requires its members to honour their professional promise to deliver specialist and up-to-date actuarial expertise that is ethical and subject to professional oversight. The purpose of this study is to investigate how the Actuarial Society can encourage its members to develop and maintain the capability to deliver this professional promise through continuing professional development (‘CPD’). Current concepts of and approaches to professional development were identified from the literature and various professions’ CPD requirements. Thereafter, the opinions of South African actuaries on the insights from the literature were sought by means of an online survey. Analysis of the literature indicates that CPD is most effective when it takes place through a development cycle of planning, action, results and reflection. Further, professional development is associated with competently completing tasks that are required in the workplace. Data from the survey supported these insights. It is concluded that the Actuarial Society’s CPD requirements should be designed to encourage members to develop and maintain their capabilities, and it is therefore suggested that members be required to engage in work-based development cycles. KEYWORDS :Professionalism; continuing professional development; CPD; professional development cycle; professional practice; work-based learning","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2015-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70612164","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
As the principal decision-makers in retirement funds, trustees have a number of duties placed upon them including a duty of care, a duty of impartiality, a duty to avoid and manage conflicts of interest, a duty to act in accordance with the purpose of the fund and a duty of accountability. Decision-making by trustees and the actuaries that assist them can be informed by considering various ethical theories. This paper reviews the theory of right action, virtue theory and the ethics of care, together with the theory of justice, and interprets the duties of trustees and actuaries in terms of these theories. After consideration of other frameworks for ethical decision-making, a six-step decision-making framework based on the actuarial control cycle is developed to provide an initial attempt to formalise the process of ethical decision-making in South African retirement funds. This framework is applied to case studies involving the review of surplus apportionment, an investment policy statement, the distribution of death benefits, and annuitisation options. The case studies illustrate that, although the framework itself does not provide ethical solutions, it assists trustees, and the actuaries who advise them, with the process of making an ethical decision.
{"title":"The process of ethical decision-making in South African retirement funds","authors":"T. Reddy, M. Butler, Roseanne da Silva","doi":"10.4314/SAAJ.V15I1.7","DOIUrl":"https://doi.org/10.4314/SAAJ.V15I1.7","url":null,"abstract":"As the principal decision-makers in retirement funds, trustees have a number of duties placed upon them including a duty of care, a duty of impartiality, a duty to avoid and manage conflicts of interest, a duty to act in accordance with the purpose of the fund and a duty of accountability. Decision-making by trustees and the actuaries that assist them can be informed by considering various ethical theories. This paper reviews the theory of right action, virtue theory and the ethics of care, together with the theory of justice, and interprets the duties of trustees and actuaries in terms of these theories. After consideration of other frameworks for ethical decision-making, a six-step decision-making framework based on the actuarial control cycle is developed to provide an initial attempt to formalise the process of ethical decision-making in South African retirement funds. This framework is applied to case studies involving the review of surplus apportionment, an investment policy statement, the distribution of death benefits, and annuitisation options. The case studies illustrate that, although the framework itself does not provide ethical solutions, it assists trustees, and the actuaries who advise them, with the process of making an ethical decision.","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70613313","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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