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Embedded Options in Pension Plans

Research Projects – Pension


Embedded Options in Pension Plans

The Pension Section is pleased to make available the results of a two-part research effort exploring embedded options in pension plans. The Part I report includes a catalogue of embedded options in pension plans and the results of a related survey of pension practitioners. In the Part II report, the authors value three embedded guarantees in cash balance plans using option pricing fair valuation principles. The reports were written by PricewaterhouseCoopers LLC.


Materials

Catalogue and Survey on Embedded Options Report
Valuation of Guarantees in Cash Balance Plans


Questions

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

Thank You

The Pension Section would like to thank the following individuals for their input and review:

  • Kevin Binder
  • Susan Lee
  • Tom Lowman
  • Frank Todisco
  • Aaron Weindling
  • Andy Peterson, Pension Staff Fellow
  • Steve Siegel, Research Actuary
  • Barbara Scott, Research Administrator