Kevin Dowd
YOU?
Author Swipe
View article: How suitable are equity release mortgages as investments for pension funds?
How suitable are equity release mortgages as investments for pension funds? Open
This article examines the claim that equity release mortgages, the U.K. equivalent of reverse mortgages in the U.S., are suitable investments for pension funds. We present valuation, stress test and scenario analysis results that suggest t…
View article: So far, Central Bank Digital Currencies have failed
So far, Central Bank Digital Currencies have failed Open
This article examines the experiences of Central Bank Digital Currencies (CBDCs) implemented so far. To date, CBDCs have been implemented in two countries (Finland and Ecuador) where they have failed and been abandoned. They have also been…
View article: Arbitrage problems with reflected geometric Brownian motion
Arbitrage problems with reflected geometric Brownian motion Open
Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such models violate even the weakest no-arbitrage…
View article: A market consistent approach to the valuation of no-negative equity guarantees and equity release mortgages
A market consistent approach to the valuation of no-negative equity guarantees and equity release mortgages Open
This paper provides a new market consistent approach to the valuation of no negative equity guarantees and equity release mortgages. The paper provides a new approach to the estimation of volatility inputs. The proposed approach to volatil…
View article: A general framework for analysing the mortality experience of a large portfolio of lives: with an application to the UK universities superannuation scheme
A general framework for analysing the mortality experience of a large portfolio of lives: with an application to the UK universities superannuation scheme Open
We propose a general framework that can be used to analyse the mortality experience of a large portfolio of lives. The objective of the framework is to provide a firm evidence base to support the setting of future mortality assumptions for…
View article: Good Practice Principles in Modelling Defined Contribution Pension Plans
Good Practice Principles in Modelling Defined Contribution Pension Plans Open
We establish 16 good practice principles for modelling defined contribution pension plans. These principles cover the following issues: model specification and calibration; modelling quantifiable uncertainty; modelling member choices; mode…
View article: Projecting Mortality Rates to Extreme Old Age with the CBDX Model
Projecting Mortality Rates to Extreme Old Age with the CBDX Model Open
We introduce a simple extension to the CBDX model to project cohort mortality rates to extreme old age. The proposed approach fits a polynomial to a sample of age effects, uses the fitted polynomial to project the age effects to ages beyon…
View article: Arbitrage Problems with Reflected Geometric Brownian Motion
Arbitrage Problems with Reflected Geometric Brownian Motion Open
Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such models violate even the weakest no-arbitrage…
View article: Discounting the Discounted Projection Approach
Discounting the Discounted Projection Approach Open
UK equity release actuaries are using a flawed approach to value the no-negative equity guarantees in their equity release mortgages. The approach they use, the Discounted Projection approach, incorrectly uses projected future house prices…
View article: CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family
CBDX: a workhorse mortality model from the Cairns–Blake–Dowd family Open
The purpose of this paper is to identify a workhorse mortality model for the adult age range (i.e., excluding the accident hump and younger ages). It applies the “general procedure” (GP) of Hunt & Blake [(2014), North American Actuarial Jo…
View article: Are CoCo Bonds Suitable as Core Capital Instruments?
Are CoCo Bonds Suitable as Core Capital Instruments? Open
Basel III introduced significant innovations in bank regulation. One of them is the minimum required leverage ratio. To help banks implementing the new measure , Basel III created two different core capital measures: Common Equity Tier 1 (…
Market risk reporting by the world's top banks: evidence on the diversity of reporting practice and the implications for international accounting harmonisation Open
The increasing adoption of international accounting standards and global convergence of\n\t\t\t\t accounting regulations is frequently heralded as serving to reduce diversity in financial\n\t\t\t\t reporting practice. In a process said to …
View article: Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model
Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model Open
We consider the effectiveness of an illustrative annuity hedging problem in which a forward annuity predicated on one population is hedged by a position in a forward annuity predicated on another population. Our analysis makes use of the a…
View article: The war on cash is about much more than cash
The war on cash is about much more than cash Open
Over the last few years there has been considerable controversy over proposals to abolish cash, the so-called War on Cash (WoC).This idea was first put forward by Kenneth S. Rogoff in 1998 and has subsequently been developed further by oth…
The valuation of no-negative equity guarantees and equity release mortgages Open
We outline the valuation process for a No-Negative Equity Guarantee in an Equity Release Mortgage loan and for an Equity Release Mortgage that has such a guarantee. Illustrative valuations are provided based on the Black ’76 put pricing fo…
View article: MODELLING SOCIO-ECONOMIC DIFFERENCES IN MORTALITY USING A NEW AFFLUENCE INDEX
MODELLING SOCIO-ECONOMIC DIFFERENCES IN MORTALITY USING A NEW AFFLUENCE INDEX Open
We introduce a new modelling framework to explain socio-economic differences in mortality in terms of an affluence index that combines information on individual wealth and income. The model is illustrated using data on older Danish males o…
View article: Still living with mortality: the longevity risk transfer market after one decade
Still living with mortality: the longevity risk transfer market after one decade Open
This paper updates Living with Mortality published in 2006. It describes how the longevity risk transfer market has developed over the intervening period, and, in particular, how insurance-based solutions – buy-outs, buy-ins and longevity …