Abstract: The Sunday Times Discovery Healthiest Company Index Survey collected a dataset of 13578 responses from corporate employees in 101 companies. This dataset has been used to assess the prevalence of self-reported modifiable health-risk factors and the association with chronic conditions. The analysis indicates that there is a greater likelihood of an individual reporting a chronic condition where their lifestyle risk factors are outside of the healthy range. This suggests that there are opportunities to manage the costs of health insurance, medical expenses and productivity losses by applying risk management tools aimed at addressing modifiable risk factors.

Abstract: This paper investigates the performance of South African general equity unit trusts relative to the FTSE/JSE All Share Index during the period January 1994 to December 2012. The period under investigation was split into six further sub-periods each having a specific economic cycle: a downturn, average growth or robust growth. Unit trusts are shown to have underperformed in economic downturns and outperformed in periods of robust growth, while no conclusions can be made about unit trust performance during periods of average growth. Overall, unit trusts showed slight outperformance, but this was not found to be persistent.

Abstract: Contemporary actuarial and accounting practices (APN 110 in the South African context) require the use of market-consistent models for the valuation of embedded investment derivatives. These models have to be calibrated with accurate and up-to-date market data. Arguably, the most important variable in the valuation of embedded equity derivatives is implied volatility. However, accurate long-term volatility estimation is difficult because of a general lack of tradable, liquid medium- and long-term derivative instruments, be they exchange-traded or over the counter. In South Africa, given the relatively short-term nature of the local derivatives market, this is of particular concern. This paper attempts to address this concern by: —providing a comprehensive, critical evaluation of the long-term volatility models most commonly used in practice, encompassing simple historical volatility estimation and econometric, deterministic and stochastic volatility models; and
—introducing several fairly recent nonparametric alternative methods for estimating long-term volatility, namely break-even volatility and canonical option valuation.
The authors apply these various models and methodologies to South African market data, thus providing practical, long-term volatility estimates under each modelling framework whilst accounting for real-world difficulties and constraints. In so doing, they identify those models and methodologies they consider to be most suited to long-term volatility estimation and propose best estimation practices within each identified area. Thus, while application is restricted to the South African market, the general discussion, as well as the suggestion of best practice, in each of the evaluated modelling areas remains relevant for all long-term volatility estimation.