Using the stochastic investment model proposed by Wilkie (1995) this paper simulates the progress of a specimen final salary pension scheme over a period of 25 years. Salary experience over the projection period is also assumed to be stochastic. The specimen scheme is assumed to be stable during the projection period with respect to age, pensionable salary in real terms and past pensionable service.

Regular deterministic valuations of the scheme are conducted during the projection period to determine the current level of funding of the scheme on both a discontinuance and an ongoing basis, and also to determine the future contribution rate required to meet the funding objective. The required contribution rate is calculated in accordance with the Inland Revenue surplus regulations and the Minimum Funding Requirement (MFR) introduced in the Pensions Act 1995.

The effect on the level of funding (and, hence, on the size of the required contribution rate) of using different investment strategies and of varying the pace of funding, by adopting both a traditional prudent valuation basis and a more realistic valuation basis, are also explored.

Consolidation of the FTSE Actuaries Share Indices and of the revised 1994 industry classification system. All-Share Index now in ‘real time’.

A first order autoregressive model was proposed in Wilkie (1995) for the retail price inflation series as a part of his stochastic investment model. In this paper we apply time series outlier analysis to the data set and a revised model is derived. It significantly alleviates the problem of leptokurtic and positive skewed residual distribution as found in the original model. Finally, ARCH models for the original series and the outlier-adjusted data are also considered.

This paper presents a statistical model underlying the chain-ladder technique. This is related to other statistical approaches to the chain-ladder technique which have been presented previously. The statistical model is cast in the form of a generalised linear model, and a quasi-likelihood approach is used. It is shown that this enables the method to process negative incremental claims. It is suggested that the chain-ladder technique represents a very narrow view of the possible range of models.

This is the eleventh year of publication of the FT/S&P World Indices. R.H. Pain's retirement is marked. Equity indices are given for 28 countries, 11 regional groups, and the World.