In June 2023, James Sharpe, a UK Actuary, told me that I had been named in a recent book as the author of a “landmark” 1977 paper on maturity guarantees. The book, "Dealing in Uncertainty" by Arjen van der Heide, has three references to my 1977 paper, including the following: “Crucial in this respect was the fact that an Irish actuary Colm Fagan had independently developed a concept for a dynamic investment strategy similar to that underpinning the Black-Scholes-Merton model. He presented his model as a generalisation of Redington’s immunization, ‘both being dynamic investment strategies designed to keep the market value of the assets and liabilities equal at all times by imposing certain constraints on the assets’ (Whelan, 2002, pp34-5)”.
Myron Scholes and Robert Merton won the 1997 Bank of Sweden Prize in Economic Sciences in memory of Alfred Nobel for their work on the same subject.
Brian Woods, a student actuary at the time of my 1977 paper, was a great help to me with the simulations and stochastic mathematics. He is still my intellectual rock for mathematics and stochastic simulations!
It took more than 20 years for my 1977 paper to be recognised as breaking new ground. I hope that it won’t take as long for my smoothed equity approach to auto-enrolled pensions to be recognised. If it does, I’ll surely be well dead!
This article in "The Actuary" magazine summarises my 2022 entry for the IFOA Frank Redington Prize, which is my response to the question: "What would be a sustainable and effective UK pension system for the people?"
The article gives a brief – and hopefully clear - explanation of how my proposal deliver extra value over a conventional AE scheme. It also addresses a more sophisticated criticism, especially from fellow actuaries, that what I'm proposing is 'just' with-profits in disguise. It explains how the smoothed approach to AE 'keeps the good parts of with-profits and removes the bad.'
Introductory comments on Whelan & Hally paper at SSISI meeting, 25 May 2023. The earlier written submission was published on 15 May 2023
This is the text of the submission that Brian Woods and I made to the meeting of the SSISI on 25 May 2023
Brian Woods and I had been trying for years - literally - to ensure that buyers of structured retail products were adequately informed of the pitfalls of such products. We found it very difficult to persuade the Central Bank of Ireland (CBI) of their dangers. We eventually decided on a paper to the Society of Actuaries in Ireland to publicise our campaign.
Here is the YouTube link to meeting of the Society of Actuaries in Ireland at which our paper was presented and discussed: YouTube Presentation
"The Currency" has published an easy-to-read summary of the paper on auto-enrolment I presented to the Society of Actuaries in Ireland on 20 January last. Here is the link to the article: The meitheal: a simple idea to double the size of our pensions
Friends have been too kind to ask, but others haven't been so shy in asking what happened with my short position in Tesla since diary update 20 of 17 November last. Did I lose my shirt when the price rose to its current level of around $900 a share?
The following post of 5 February on the website askaboutmoney.com (#543, page 28 in the thread "The Perils of Shorting: A Real Life Example") reveals all:
"I also threw in the towel. Over the last few months, my efforts at risk management required me to keep trimming my exposure as the price increased. The crazy price increases meant that I had to close part of my position almost every day, each time at a higher price. It got quite dispiriting and eventually started coming between me and my night's sleep. That's an absolute no-no in my book - my ideal is to buy a stock and go to sleep, waking up every 6 months or so to check if the investment thesis is still intact - so I decided to close the last of my shorts earlier this week. Luckily, I got out before yesterday's complete madness, when the price briefly rose above $900 a share.
"It has been a chastening experience. Never has Keynes' maxim, which I quoted at the start, about markets staying irrational for longer than you can stay solvent, been more apt. I've also learned the truth of another market maxim: "Don't short a story stock in a bull market." Tesla is the ultimate story stock and it was a bull market, so why did I persist? I don't know. For what it's worth, I believe that my analysis in the article that launched this thread will be proved accurate, but I won't be trying to profit from it."