Keeping an eye on things
I uploaded a copy here of the presentation I gave to the Corporate Reporting Users’ Forum last night.
There were some highly entertaining comments, but the Forum is a private one. Any user of financial statements is welcome to join, however, see the website link above.
The judges’ summary, in allowing the Appeal by The Prudential Life Assurance Company Ltd and Rothesay Life PLC for the Part VII transfer, is partly transcribed below. Note (i) it is my transcript, I can’t guarantee its accuracy and (ii) as the Chancellor says, the summary forms no part of the judgment.
Eumaeus’s verdict is below.
An actuary writes:
“Please be fair Eumaeus team. Most actuaries working in life/GI today encounter market consistent and risk neutral concepts on an everyday basis. The fact that some prominent valuations have not been performed in a reasonable manner by some actuaries does not mean that you should criticize the whole profession. I for one was astonished to read on this excellent blog about what has been done in the market for NNEG valuation and agree with the views mentioned here.”
Do pension buy-outs carry needless credit risks? I think they do but Catherine Hopper, unconflicted partner at LCP, thinks not.
Continue reading “Do pension buy-outs carry needless credit risks?”
Eumaeus. Please show some respect. [1] Most actuaries have degrees in mathematics/ statistics and then put themselves through countless hours of additional studying to ensure they are well placed to make these judgements. [2] I have read your articles where you make us out to be misleading shareholders and jeopardising customers for profit and it’s frankly offensive. [3] I’ve also repeatedly seen you mocking actuaries such as with your title and picture caption in the article just linked. As an actuary I follow your work out of professional curiosity; if someone thinks we are making miscalculations then I’m listening. [3] My request is just this: keep it to the maths please. (My numbering)
The fallacy is very clearly articulated here.
The author correctly states that “the historical evidence can soundly reject the hypothesis that the expected rate of house price inflation is equal to the risk free rate,” then incorrectly states that “the Black Scholes priced put option gives you that expected value if and only if the expected value of house price inflation equals the risk free rate”.
Kevin and I address the fallacy in a forthcoming paper, but I will briefly discuss it here.
We do our best to respond to anonymous emails (where appropriate) via the blog. However sometimes it is easier or better to respond directly, particularly when we need clarification in some point.
So if you really want to remain anonymous, it is easy to set up a gmail account for that purpose, to which we can respond. Or just use your own email address – we naturally respect all confidentiality where requested, or implied.
Thanks
Tracy Blackwell’s (Pension Insurance Corp) reply to Jonathan Ford’s Sunday FT article.
The main event is today, and potentially for the following two days. You can watch by following the link here, cunningly disguised as A3-2019-2407 & A3-2019-2409. Starts at 10:00.
I have been leafing through Malleus Maleficarum, the 15th century guide to prosecuting witches, which contains a mass of detail about the correct legal process to be followed. Even if the judges in witchcraft cases knew about the scientific evidence we know today (i.e. witches don’t exist), they would have to ignore it, and follow the legal process set out, for example examining the body of the witch for “devil’s marks”.
Likewise, any scientific evidence that the illiquidity premium does not exist will be ignored in the current case. Whatever the Witchfinder General (you know who I mean) says about the existence of such things, must be considered to be the case. See e.g. here.