African
Journals Online
South African Actuarial Journal
Volume 3 2003
ABSTRACTS
Seismic Risk Assessment: With an Application to the
South African Insurance Industry
N Davies and A
Kijko
Abstract
This
study provides a seismic risk assessment for various sites in South Africa and
discusses the possible impact of seismic activity on the South African
insurance industry in the light of this analysis. The work begins with an
introduction and an historical perspective on the estimation of seismic damage
to buildings. The methodology for the estimation of expected damage from a
probabilistic point of view is presented. The work continues with an
application of the described methodology to several sites around the country.
The result of the investigation is that the seismic risk faced by South Africa
is non-negligible.
Keywords: Seismic risk, seismic hazard, expected damage, South Africa, short-term
insurance
Contact Details:
Nicholas
Davies, Hannover RE Africa Limited, P.O. Box 10842, Johannesburg 2000;
Tel: (0)11 481-6734; Fax: (0)11 484-3330; E-mail: [email protected]
Investment Guarantees in the
South African Life Insurance Industry
K Foroughi, IA
Jones and A Dardis
Abstract
This paper explores the risks faced by South African life
insurance companies arising from the provision of investment guarantees in
products sold. The current thinking and practice of the larger South African
life insurance companies regarding investment guarantees is set out following
their responses to a survey.
The paper examines the forms of investment guarantee
available and the business issues created by the writing of these guarantees.
These include issues around the design and pricing of new business, as well as
the risk management of in-force business.
The paper also compares existing methods used
internationally to value life insurance business with investment guarantees,
focusing on the use of stochastic models. The different allowances for risk
within each valuation method and the appropriateness of these allowances when
valuing investment guarantees are considered. The stochastic models compared
include both statistically based real-world models and market-consistent
state-price-deflator or risk-neutral models. Practical issues around the
building of such asset–liability stochastic models are briefly discussed.
Finally, the authors put forward their own views of
possible developments in the future within South Africa that may impact on life
insurance business with investment guarantees, and the possible implications.
Keywords: Investment guarantee; maturity guarantee; South Africa; non-profit
guarantee; smoothed-bonus business; asset–liability matching; market risk
premium; financial options; hedging; equity volatility; stochastic modelling;
market-consistent valuation
Contact
Details:
Kamran Foroughi, Tillinghast, 71 High Holborn, London WC1V
6TH, United Kingdom
Tel: (09) 44 20 7170 2743; Fax: (09) 44 20 7170 2222;
E-mail: [email protected]
Minimum
Benefits for HIV/AIDS in South African Medical Schemes
HD Mcleod, Z Achmat and AM Stein
Abstract
This paper provides the results of a survey of the
structure of HIV/AIDS benefits in open and restricted medical schemes in South
Africa in 2002. The results of the survey were used to develop a series of
recommendations to the Minister of Health in respect of the extent of
prescribed minimum benefits for HIV/AIDS. Medical schemes are required to
provide the PMBs to their members without limits or co-payments.
Keywords: Medical schemes; HIV; AIDS; benefits; prescribed minimum benefits
Contact
Details:
Professor Heather McLeod, Centre for Actuarial Research
(CARE), University of Cape Town
Private Bag, Rondebosch, 7701; Tel: (0)21 650-2475; Fax:
(0)21 689-7580; E-mail: [email protected]
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