Pension Plan Embedded Option Valuation

The Society of Actuaries’ Pension Section is pleased to make available a research report focusing on the structure and process of embedded option valuation. The report was authored by Kailan Shang, Jen-Chieh Huang, and Hua Su.

To access the report and model, click on the links to the right. See Appendix G of the report for instructions for the model set-up.

If you have any questions or comments regarding the report, please contact Steve Siegel, Research Actuary at ssiegel@soa.org.

The SOA’s Pension Section would like to thank the following individuals for their input on the project:

Kevin Binder, Chair
Susan Lee
Tom Lowman
Greg Schlappich
Frank Todisco
Aaron Weindling
Andrew Peterson, SOA Staff Fellow
Steven Siegel, SOA Research Actuary
Barbara Scott, SOA Research Administrator

Disclaimer:
This report, its accompanying models, software tools and other associated documentation do not represent an official position, statement, or endorsement of the Society of Actuaries (SOA). The software has been developed for the benefit of actuaries FOR EDUCATIONAL USE ONLY, although others may find it useful. The SOA and the author make no representation or warranty, expressed or implied, regarding the software as to quality, accuracy, reliability, suitability or otherwise, and DISCLAIM ANY EXPRESS OR IMPLIED WARRANTY OF MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE. SOA and the author make no representation or warranty of non-infringement of proprietary rights of others with respect to the software. Further, the SOA and the author make no warranty that the software is free from errors, defects, worms, viruses or other elements or codes that manifest contaminating or destructive properties. The user assumes all risks relating to the use, outputs, analyses, results and performance of the software, regardless of whether the software is used alone or with other software. NEITHER THE SOA NOR THE AUTHOR SHALL BE LIABLE FOR ANY LOSS OR DAMAGE ARISING FROM THE USE OF, RELIANCE ON, OR THE PERFORMANCE OF THE SOFTWARE OR ITS ACCOMPANYING INSTRUCTIONS OR DOCUMENTATION. IN NO EVENT SHALL THE SOA OR THE AUTHOR BE LIABLE FOR ANY INDIRECT, INCIDENTAL OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS) EVEN IF APPRISED OF THE POSSIBILITY OF SUCH DAMAGES.