Description: Given the readiness of several stakeholders (including regulators and some plan sponsors) to endorse and implement TBPs, there is a need for easily accessible, actuarially sound information about the key elements of design and funding that can significantly affect the performance of such plans. Our project begins to address this need by investigating through stochastic modeling the way in which different design features and funding strategies impact performance over the short- and long-term. The key objectives of the research were to: • Identify basic dynamics of target benefit plans under specific key designs, starting from the simplest ones and noting the impact of more complex design elements. • Identify appropriate performance metrics for TBPs. • Identify some areas where future research may be needed. The purpose of this report is to document the models used, and to provide background and context for the Issue Briefs relating to this work.

Description: In this paper, the long-term funding consequences of negotiated improvements in pension plans are examined. Particular emphasis is placed on the effects on both contribution rates and the overall funding position of the plan of such things as benefit increases to retirees, reductions in the average retirement age, economic events that affect the size of the active work force, and the interplay between the increases in pay and benefit rates and the other valuation assumptions. A simulation model is used to uncover the influence of each variable. From Transactions of Society of Actuaries 1981, Vol. 33.

Description: This paper presents an analysis of group weekly indemnity continuation table data contributed by seven companies. Claims costs and other data are developed for this short term disability type coverage.

Description: This paper discusses the purpose and nature of the benefit ratio [otherwise known as active life] reserve in relation to the class of health insurance contracts to which it is intended to apply. From Transactions of Society of Actuaries 1988, Vol. 40, Pt. 1.

Description: This paper discusses the pricing of bond options and interest-sensitive cash flows by discrete state/time models such as binomial lattices. Current binomial models are faulty because the put-call parity relationship may not hold for all periods and there may exist negative interest rates. This paper presents a binomial model without such riskless arbitrage opportunities. This model allows the initial term structure of interest rates to be prescribed exogenously, so that the model price for each stream of fixed and certain cash flows is the market price.

Description: The Required Minimum Distribution (“RMD”) Working Group of the Society of Actuaries’ Taxation Section has completed new research identifying considerations for actuaries and annuity insurers in determining the actuarial present value of additional benefits for computing required minimum distributions under a deferred annuity contract. The paper discusses types of benefits covered under Treasury Regulation Section 1.401 (a)(9)–6, Q&A–12 as well as possible assumptions and methods for calculating the actuarial present values of additional benefits provided under an annuity contract. The appendices show examples for a variety of additional benefit types. EXCEL spreadsheets for the appendices are also provided. The discussion presented in the paper and the examples are provided for educational purposes and are not to be viewed as an authoritative interpretation of Q&A–12.

Description: This paper presents a new insight into the mathematical structure of asset share-type calculations. Asset shares are interpreted as accumulations of insurance cash flows, which along with their related investment income, are treated as Stieltjes integrals. From Transactions of Society of Actuaries 1978, Vol. 30.

Description: This paper analyzed the deficit risk that an insurer assumes when a group insurance contract is subject to a retrospective experience-rating arrangement. In this paper, a method for quantifying the deficit risk and determining explicitly an appropriate risk charge level is developed.

Description: This paper describes some of the minimum guaranteed death and maturity benefits that have been offered or proposed in conjunction with variable annuity contracts, proposes prospective reserves for these guarantees based on change factors that are somewhat analogous to interest factors used in typical life reserves, and proposes a set of change factors.

Description: This study summarizes the results of the the Society of Actuaries' Non-Mortality Decrement Task Force data collection effort of plan turnover data for years 1994-2000. Service, by itself, seems not to be a good predictor of retirement. Service and age are each good predictors for termination it is found. The report is designed to offer actuaries information about turnover as it pertains to defined benefit plans.