영국계리사회(IFoA)의 보험통계 연구센터 (ARC)는 2019년 6월 24일 '경제적 사고와 계리 실무(Economic Thought and Actuarial Practice)'에 관한 보고서 초안을 발표했다.
이 보고서는 보험계리사와 경제 전문가의 경제적 사고에 관한 광범위한 토론을 배경으로 다양한 최근 견해를 제시하고 있는데, 경제적 사고의 전통적 개념이 어떻게 변화하고 있는지, 그리고 이러한 변화가 장기투자 및 리스크에 대한 접근법에 미칠 수있는 영향에 대해 이야기하고 있다.
Leeds University Business School의 Iain Clacher 박사는 경제적 사고가 대다수 계리사의 업무에 매우 중요한 역할을 한다는 것을 전제하고, 계리사가 경제적 사고를 계리 실무에 어떻게 적용하고, 그들의 조언이 어떻게 영향을 미칠 수 있는지 조사했다.
한편, 향후 이 초안을 바탕으로 더 광범위한 전문가와 협력하여 더 많은 조사를 할 계획이라고 한다.
CAS Fellow Testifies Before House Subcommittee on Insurance Rating Factors
James Lynch, FCAS, MAAA, chief actuary at the Insurance Information Institute, testified last week at a U.S. House of Representatives subcommittee hearing examining the U.S. auto insurance and auto lending industries. In his May 1 testimony before the U.S. House of Representatives Financial Services Committee/Subcommittee on Oversight & Investigations, Lynch explained how insurance companies set rates for auto insurance, including the importance of rating factors in actuarial calculations.
“Insurers use teams of actuaries to figure out how to set rates—how much to charge the average risk; who deserves a discount, and who does not.” Lynch said in his testimony. “They look for characteristics that successfully predict the accident rate. The most famous, perhaps, is driving record. Drivers who have avoided accidents for several years are less likely to be in an accident in the future. But driving record is not the only factor. The strongest by most accounts is location, which tells a lot about the number of vehicles per square mile. The more cars there are in an area, the more likely they are to crash into each other.”
U.S. House Rep. Rashida Tlaib (D-Michigan) has argued against U.S. auto insurer use of non-driving rating factors, such as credit-based insurance scores, to price policies; Rep. Tlaib introduced the Preventing Credit Score Discrimination in Auto Insurance Act (House Resolution 1756) earlier this year.
Lynch told the committee that auto insurer rating variables undergo rigorous actuarial analysis and are also filed in advance with state regulators, along with statistical proof of their effectiveness. Lynch noted that insurance regulators in 47 U.S. states allow auto insurers to use credit-based insurance scores as a rating factor.
투자회사가 대학생에게 학자금을 주고 그학생의 미래 수입을 증권으로 취득한다. 그 대학생이 취업한 후 발생하는 급여에서 일정 몫(stake)을 직접 받는데, 그 학생(피투자자)가 실업일때는 못받게된다.
미국 Purdue University에서 학부생을 대상으로 진행되고 있다는데, 보험의 원리가 흠뻑 스며들어가 있다. 결국 실업률이라는 통계가 보험의 사망률을 대신하는 것 같은데, 영어 전공자에게는 취업후 매월 급여의 4.52%를 약10년(116개월) 동안 회수하는 조건으로 1만달러(약1140만원)을 투자한다. 한편, 취업률이 높은 컴공과 전공자에게는 훨씬 좋은 조건인 2.6% 88개월이다.
College Grads Sell Stakes in Themselves to Wall Street
Instead of taking out loans, students can agree to hand over part of their future earnings in return for investment.
By
Claire Boston
2019년 4월 9일 오후 6:00
Amy Wroblewski
Photographer: Maura Friedman for Bloomberg Businessweek
To pay for college, Amy Wroblewski sold a piece of her future. Every month, for eight-and-a-half years, she must turn over a set percentage of her salary to investors. Today, about a year after graduation, Wroblewski makes $50,000 a year as a higher education recruiter in Winchester, Va. So the cut comes to $279 a month, less than her car payment.
If the 23-year-old becomes a star in her field, she could pay twice as much. If she loses her job, she won’t have to pay anything, and investors will be out of luck until she finds work.
Wroblewski struck this unusual deal as an undergraduate at public Purdue University in West Lafayette, Ind. To fund part of the cost of her degree in strategy and organizational management, she sidestepped the common source of money, a student loan. Instead, she agreed to hand over part of her future earnings through a new kind of financial instrument called an income-sharing agreement, or ISA. In a sense, financiers are transforming student debtors into stock investments, with much of the same risk and, ideally, return.
In Wall Street terms, Wroblewski, a first-generation college student, is more small-company stock than Microsoft. Her mother works as a waitress; her father, as a quality control inspector in a car dealership’s body shop. With a strong work ethic, Wroblewski always held down at least two part-time jobs in school, working as a Purdue teaching assistant, a Target cashier, and an Amazon seasonal worker. Showing potential for leadership—not to mention earnings—she rose to vice president of Delta Sigma Pi, a business fraternity.
Those qualities impressed a company called Vemo Education, which vets students at Purdue and a handful of other schools on behalf of potential investors. More important, perhaps, Wroblewski believes in herself and her ability to make good on the contract. “Even with all my other loans, I knew I could make it work,” says Wroblewski.
Americans owe $1.5 trillion in higher education debt, a burden that weighs down their dreams and the U.S. economy. The Federal Reserve says millennials are now less likely to buy homes than young people were in 2005, and even senior citizens find themselves still making payments on their student loans. Wall Street sees the crisis as an opportunity. College graduates on average earn $1 million more over their lifetimes. Investors could capture some of that wage premium for themselves..
Total Student Loan Debt Outstanding
Data: Federal Reserve Bank of New York
“I envision a whole new equity market for higher education in the next five years where today there’s only debt,” says Chuck Trafton, who runs hedge fund FlowPoint Capital Partners LP, which has invested in ISAs, including Purdue’s. ISA experts say they have fielded calls from some of the world's largest investment managers that are considering investing in the contracts. And Tony James, executive vice chairman of money manager Blackstone Group LP, formed the Education Finance Institute to help schools study and develop ISAs.
For now, the market for income-sharing agreements can be measured in the tens of millions, a tiny sum compared with the $170 billion in outstanding asset-backed securities created from student loans. Only some schools let outside investment firms buy a stake in students. Others seek out individual donors, mostly wealthy alumni, or use money from their own endowments.
Along with Purdue, which started its program in 2016, some smaller private schools such as Lackawanna College in Scranton, Pa., and Norwich University in Vermont are offering ISAs. The University of Utah recently announced a pilot plan.
ISAs raise all kinds of questions. How many students will lose their jobs and be unable to pay? How much should Wall Street demand as compensation for the risk? Investors typically ask for a smaller slice from students with more lucrative majors. At Purdue, for example, English majors borrowing $10,000 pay 4.52 percent of their future income over nearly 10 years; chemical engineers, 2.57 percent in a bit over seven years.
Major Decision
Estimated payment schedule for a $10,000 income-share agreement made through Purdue University in a student’s senior year, by major
Data: Purdue University, Vemo Education
Purdue set up its program to be competitive with many student loans for the typical borrower. Consider a junior economics major who needs $10,000. Through a private loan, she’d likely pay $146 a month, or $17,576 over the course of 10 years. Through an ISA, a student with a starting salary of $47,000, Purdue’s estimate for its 2020 economics graduates, would pay $15,673, assuming 3.8 percent annual salary increases. That would be a good deal. But, if she found a $60,000-a-year job, she’d have to fork over $20,010.
Financial firms and for-profit colleges have been known to prey on college students’ financial naiveté to sell them high-priced private student loans, rather than steer them toward more favorable government-backed ones. While schools offering ISAs say they will offer them only after government loans with the most favorable terms are exhausted, some students may end up again with regrets.
“There’s a level of enthusiasm that’s overstated,” says Julie Margetta Morgan, a fellow who studies higher education at the Roosevelt Institute, a think tank focused on reducing income inequality. “It’s pretty darn near impossible to say whether an ISA is better or worse for an individual.” Morgan dislikes that ISAs require arbitration, which means students give up their right to sue in court.
The last big ISA experiment—at Yale University in the 1970s—ended up as a cautionary tale. Yale pooled all borrowers, and they owed the school a percentage of their incomes for 35 years, or until everyone paid back what they owed. The idea was that graduates who ended up with high-paying jobs in finance would subsidize those who chose public service.
But many students defaulted, leaving the remaining borrowers on the hook longer than they’d anticipated. Other wealthier students exited the pools via large one-time buyout payments. The remaining students tended to be lower-income. Some stopped paying altogether. Yale ultimately bailed out the borrowers, winding down the whole program in 2001.
Juan Leon, who sells business jets for Dassault Aviation SA, graduated from Yale in 1974 with a degree in urban studies. He borrowed $1,500 through the college’s “Tuition Postponement Option.” By the late 1990s, he’d paid back $8,000. “We didn’t read the fine print,” Leon says. “It was quite, quite onerous.”
Students have more protection under newer plans. Purdue, for example, caps total payments at 2.5 times what a student borrowed, so the most successful don’t feel gouged. And students making less than $20,000 a year won’t be charged at all, as long as they are working full time or seeking work. Those who are working part time or not seeking work will only have their payments deferred, which means that they’ll owe for a longer period of time.
Purdue has arranged more than 700 contracts worth $9.5 million and closed two investment funds totaling $17 million. David Cooper, Purdue’s chief investment officer, helped to develop the program and pitch it to investors after almost a decade of overseeing investments for Indiana’s retirement system. He says the funds are drawing more interest now that the oldest contracts have over 20 months of repayment data. “We feel like we’ve got the pricing for the students at a pretty good spot,” Cooper says. “At the same time, it’s a reasonable return for the investors.”
Purdue’s early funds attracted investments from wealthy individuals, as well as nonprofit Strada Education Network and INvestEd, a nonprofit lender and financial literacy organization in Indiana. Cooper says ISAs may make most sense for socially conscious investors, but he points out that even funds seeking lofty profits might one day be interested if they can juice returns with leverage.
Charlotte Hebert, 23, who graduated from Purdue in 2017, has mixed feelings about the $27,000 she took out from an ISA to pay for her senior-year costs. A professional writing major, she’s required to shell out 10 percent of her income for the term of the deal. That’s about 2.5 percentage points more than an engineer would pay. The daughter of a teacher and a nurse, she makes about $38,000 a year as a technical writer for an engineering firm in Lafayette, Ind.
She pays investors $312 a month. “I don’t think it’s the perfect solution,” Hebert says. “I am of the opinion that in a society where most of its workers need a college education, nobody should be paying this much to be what is considered a functional member of society.”
1968년 영국 계리사회의 명예의 전당(award of an Institute Gold Medal)에 오른 위대한 보험계리사인 Frank Redington (1906-1984)의 이야기 입니다. 이분은현금흐름 매칭방식의 ALM을 계리적 기반하에서 면역화전략으로 전환시킨 전설적인 인물입니다. 즉, 1952년에 이면역화 전략(Immunisation Theory)을 발표했고, 이후 이를 바탕으로 LDI가 등장했고 지금 GBI로 진화하고 있습니다.
캐임브릿지 대학교를 떠나 푸르덴셜의 선임계리사를 역임하고 영국보험계리사회 회장이셨던 이분은, 보험수리적 영역이외에 인문학적 소양도 풍부하셨던 것 같습니다.
이분의 남긴 명언입니다.
"보험계리사가 자신의 계리적 기술만 과신하는 것은 위험하다. 이 기술은 위대한 장인을 만드는 도구가 아니고, 단지 어떤 현안에 대해 감을 잡고 생각하는 방법을 제시할 뿐이다."
The actuary who is only an actuary... is not an actuary
5 December 2018
The IFoA believes Frank Redington's remarkable achievements make him a worthy nominee to feature on the UK's new £50 note.
Voted the greatest ever actuary in 2003 by members of the actuarial profession, Frank Redington (1906-1984) is perhaps best known as the author of Immunisation Theory. Published in 1952, the theory demonstrated how a financial institution’s balance sheet could be ‘immunised’ against changes in the level of interest rates. This influential paper has had a major influence on fixed income portfolio management. It is also considered to have ushered in the modern era of actuarial thought.
Yet this seminal work was not the culmination of Frank’s career. His far-sightedness was demonstrated again in 1958 when, as President of the Institute of Actuaries, he spoke out on Britain’s national pensions policy, exposing the ease with which politicians could mortgage future generations by making excessive pension promises to the current generation. His thoughts on this subject were published in the booklet National Pensions: An Appeal to Statesmanship and displayed his foresight and prescience on the subject.
After leaving Cambridge University in 1928 Frank Redington joined the Prudential where he stayed throughout his career, rising to the position of Chief Actuary. With typical modesty he believed himself unsuited to the position of Chief Executive, even though his remarkable talents would seem to suggest he would have been more than ably qualified.
During his long career Frank Redington received the highest honours it was possible to attain as an actuary, including President of the Institute of Actuaries. The importance of his work to the Institute and the actuarial profession was recognised by the award of an Institute Gold Medal in 1968.
Yet Frank was about more than just numbers. He also had a hinterland of wide-ranging and varied interests that included mysticism, poetry and nature. In his words:
The actuary’s danger may lie in too close preoccupation with his particular techniques … It is not the tools he uses which make a great craftsman. It is the way he feels and thinks.
보험회사 협회들이 새로운 국제회계기준 시행시기를 2년 연기해달라고 국제회계기준원(IASB)에 요청했습니다. 캐나다, 뉴질랜드, 유럽 등 9개 국가의 협회인데, 국제회계기준 (IFRS17)이 예정대로 2021년 1월에 시행되면 여전히 개선되어야할 할인율 등의 문제로 운영상 상당한 어려움이 있다고 주장합니다. 물론 도입을 안하겠다거나 준비를 늦추겠다는 얘기는 절대 아니고 시간만 더 달라고 합니다. 회계소프트웨어를 개발하고 숙련된 전문가를 육성하고 양질의 믿을만한 데이터를 준비하는데 시간이 필요하다고 하네요.
Nine insurance organisations have written to the International Accounting Standards Board (IASB) calling for a two-year delay to the introduction of IFRS 17.
In a letter addressed to the IASB’s chairman Hans Hoogervorst, the group warned of “serious operational constraints” on insurers’ ability to meet the 1 January 2021 implementation date.
The organisations also highlighted a range of concerns they have with the standard, including measurements of discount rates, and called for improvements before IFRS 17 comes into force.
“We are liaising across our markets with the aim of providing timely progress on the necessary improvements,” the letter states. “As a result, we strongly believe a two-year delay is required.
“This is essential to allow for the necessary improvements to the standard and to allow adequate time for companies to apply the standard and meet its significant implementation challenges.”
The Insurance Bureau of Canada, the Financial Service Council of New Zealand, the Association for Savings and Investment South Africa and Insurance Europe, are among the nine signatories.
There is no expectation that a delay to the implementation date would result in insurers stopping or slowing their IFRS 17 preparations, according to the letter.
Instead, it is thought that the extra time will help firms deal with challenges around software solutions, acquiring skilled workers, and the system changes needed to prepare data of suitable quality and reliability.
In addition, the group said this would allow for regulatory changes to be finalised in some jurisdictions, and for better understanding of “potentially very different” financial reporting going forward.
Insurance Europe said: “A number of important issues still need to be resolved in order to ensure the quality and operational practicability of the new standard.
“The fact that so many insurance associations from around the world have signed this letter demonstrates the importance and urgency to have a decision on a delay and for the IASB to move forward on the necessary improvements.”
