Liability-Driven Investment: Benchmark Model
The Society of Actuaries’ Retirement Section Research Committee and Committee on Finance Research are pleased to make available research material that developed a Liability-Driven Investment (LDI) benchmark framework. The report and Excel tool were authored by Kailan Shang and Zakir Hossen.
The SOA would like to thank the following individuals for serving on the Project Oversight Group:
Doug Chandler, SOA Retirement Research Actuary
Lisa Schilling, SOA Retirement Research Actuary
Steven Siegel, SOA Sr. Research Actuary
Barbara Scott, SOA Sr. Research Administrator
The SOA also thanks John Lowell for his review of the report and Excel tool.
If you have comments or question, please send an email to email@example.com.
Disclaimer for Software
Important: This Excel Model ("Software") is the property of the Society of Actuaries (SOA) and is protected under U.S. and international copyright laws.
The Software has been developed for the benefit of actuaries FOR EDUCATIONAL USE ONLY, although others may find it useful. SOA and the author make the Software available to individual users for their personal use on a non–exclusive basis. No commercial use, reproduction or distribution is permitted whatsoever.
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The model, accompanying documentation, and methodologies contained herein do not represent an official position, statement, or endorsement on behalf of the Society of Actuaries or its members, nor should the material be construed to do so. It is the product of a research effort commissioned by the Society of Actuaries to add to the library of resource tools. The model is neither intended to preclude the use of other methodologies for any purpose nor provide a statement or position on the use, application, or preferability of other methodologies as compared to the methodology described herein.