Description: In this paper the author shows that the aggregate claims distribution of a portfolio modeled by a mix of the individual and collective models can be obtained with a single recursion under some conditions. He discusses why the collective model is not necessarily an approximation of the individual model in the context of pension funds, for example. An application to a Swiss pension fund is presented. From Actuarial Research Clearing House 2003, Vol. 1.

Description: Updated study of metrics for measuring stress imposed on US multiemployer pension plans by unfunded liabilities and declining numbers of active participants

Description: This paper develops a simplified model for a pension fund, both deterministic and stochastic versions are presented. The probability distribution of the fund is derived incorporating the claims distribution and other parameters. Expected value and the variance of the fund are derived. Modifications required for the model when the interest rate is a moving average process are developed. From Actuarial Research Clearing House 1998 Vol. 2.

Description: This paper develops a family of accrued benefit actuarial cost methods which permits the purchase of retirement income at either an accelerating or decelerating rate. From Transactions of Society of Actuaries 1967, Vol. 19, Pt. 1, No. 54.

Description: Updated metrics for measuring financial stress among multiemployer pension plans in the United States.

Description: Description of a group annuity contract with a separate investment account designed to provide the flexibility in the type of investment used for advance funding sought by many pension buyers without the complete loss of insurance company guarantees to an individual once he has retired. Followed by 2 discussion papers submitted.

Description: This paper demonstrates how, under the projected benefit cost methods whereby the gains are reflected in the normal cost rate, gains determined at a given valuation date are amortized over the future working lifetime of the active employees included in the valuation as of that date.

Description: Metrics for measuring pension plan contributions against benchmarks for achieving specific financial funding goals.

Description: In March this year a charter for the new corporation, the College Retirement Equities Fund, was granted by the State of New York and it is expected that within a few months the Fund will begin operations as a supplement to TIAA annuities. The purpose of this paper is to describe this rather novel type of corporation, which presents some unusual and interesting actuarial problems. Comparisons of the performance of fixed annuities vs. variable annuities are provided.

Description: This study explores whether public pension plans have contributed enough to reduce unfunded liabilities, absent other influences such as investment returns.