Description: This document is a summary of a session which was presented at the 1975 SOA Annual meeting. It includes discussions on the following topics: Effects of ERISA on valuation methods, discussion of Claude Y. Paquin's paper A Review of Actuarial Cost Methods for Defined Benefit Pension Plans, funding standard account, asset valuation and allocations, plan mergers, a discussion of Josiah M. Lynch's paper A Practical Approach to Gains Analysis, information related to Individual policy pension trusts.

Description: This discussion takes an in-depth exploration of the valuation of assets in relation to retirement plans and pension trust assets. From Transactions of Society of Actuaries 1961, Vol. 13, Pt. 2.

Description: Panelists at this session of the SOA 1998 Maui II Spring Meeting present methods for scenario generation and establishing stochasitc models for pension plans.

Description: This session dealt with pension fund investments with respect to the following discussion topics: A. In May, 1962, there was a drastic fall in stock prices. What effect, if any, did this have on a objectives as to the proportion of pension funds invested in equities and b methods of valuing equity pension assets for pension- fund valuation purposes? B. Where pension funds are invested in a pooled or commingled account what special problems are encountered in asset valuation for pension-fund valuation purposes as distinguished from investments held in an individual separate account or trust?

Description: This article discusses that over the past five years, an increasing number of actuaries have become concerned with the asset side of the balance sheet.

Description: Discussion of Living to 100 Session 5A. The papers presented propose a new method to price the longevity risk premia in order to tackle the pricing obstacle and reviewed the insurance industry implications on retirement planning and the secondary market in insurance.

Description: This paper models minimum pension guarantee using a simulation approach. Lachance and Mitchell [2002] have shown that it could be important if and when individual accounts are introduced in the United States. This paper's model uses real data from Mexico where individual accounts are already a reality and the minimum pension guarantee is already enshrined by law. The authors calculate the probability of the government needing to honor the guarantee and estimate the cost of such a promise using a real options approach. Higher investment in the stock market turns out to be the key. The higher the proportion of investment allowed by law in stocks, the lower the probability of government support.

Description: Many pension funds have recently established dedicated or 'matched' portfolios. These are portfolios of fixed-income securities whose cash flows from interest and maturities match the expected benefit payment stream on a block of liabilities. With particular reference to ERISA, this paper explores the actuarial mechanics of pension funding under dedication, including the selection of assumptions, the valuing of assets, funding of the initial change in unfunded liability, and funding of subsequent gains and losses. From Transactions of Society of Actuaries 1983, Vol. 35.

Description: Many retirement actuaries have experience developing, implementing, and monitoring Liability Driven Investing (LDI) strategies for plan sponsors. These strategies typically involve modifying a plan’s investment strategy to remove a significant portion of the investment and interest rate risk now or at some point in the future when specific triggers are met. The tactics often involve the use of fixed income assets to cash flow and/or duration match the liabilities. In the spirit of helping actuaries expand their roles in an evolving defined contribution world, this article explores the application of LDI and derisking strategies within defined contribution and individual retirement accounts. The economic theory behind this approach is called the lifecycle hypothesis, or lifecycle finance. The benefits of the lifecycle finance method are that it provides a safe approach to save for retirement and a secure source of floor income during retirement. Similar to pension plans, each individual has his or her own idiosyncratic needs, wants, and risks that should be considered. Actuaries are uniquely situated to help defined contribution plan sponsors, individuals, and even themselves implement the lifecycle finance approach by developing and distributing tools and methods that focus on income (rather than wealth), LDI strategies, and personalization.

Description: Presentation of asset liability management techniques to better manage interest rate risk by matching the anticipated cash flows from assets with that of the companies liabilities. Some alternative perspectives/techniques from Canadian insurers are discussed. Article discusses the varying asset/liability management issues pertinent to life insurance companies and defined benefit plan sponsors