Description: This session covers the current interest rate environment, the outlook for interest rates and fixed-income return, the outlook for domestic and foreign equity returns, and the financial strategies based on a plan's funded status. From the Record of the Society of Actuaries Vol. 20, No. 3A.

Description: This discussion is about the various items that are needed to perform necessary projections. From Record of the Society of Actuaries Vol. 15, No. 1.

Description: This paper models minimum pension guarantee using a simulation approach. Lachance and Mitchell [2002] have shown that it could be important if and when individual accounts are introduced in the United States. This paper's model uses real data from Mexico where individual accounts are already a reality and the minimum pension guarantee is already enshrined by law. The authors calculate the probability of the government needing to honor the guarantee and estimate the cost of such a promise using a real options approach. Higher investment in the stock market turns out to be the key. The higher the proportion of investment allowed by law in stocks, the lower the probability of government support.

Description: The investment risk taken by a pension fund comprises strategic risk and active risk. This paper discusses the relative merits of these two types of risk to the pension fund, possible rationales for the levels of strategic and active risk typically adopted mechanisms for capturing manager skill without taking on equity risk, and issues in setting liability-based benchmarks for investment managers

Description: This presentation starts with a panelist discussing three frameworks that exist in the asset allocation area: The asset only framework, the asset-liability framework, and the asset-liability-sponsor framework. The panelist then explains why he believes that the asset-liability-sponsor is the only correct framework. From the Record of the Society of Actuaries Vol. 18, No. 4B.

Description: This paper examines the so called 1/n investment puzzle which has been observed in defined contribution plans whereby some participants divide their contributions equally among the available asset classes. It has been argued that this is a very naive strategy since it contradicts the fundamental tenets of modern portfolio theory. We use simple arguments to show that this behavior is perhaps less naive than it at first appears. We show that when we account for estimation error the 1/n rule has some advantages in terms of robustness and we demonstrate this with numerical experiments. From The Actuarial Research Council, Volume 38, No. 1.

Description: This session discusses the distinction between asset mix and market timing as well as the actuary's role in these mentioned matters. From Record of the Society of Actuaries Vol. 10, No. 4B.

Description: A survey of available derivatives and a description of how they can be used in pension portfolios is presented. How derivatives can help investment performance, whether derivatives are appropriate for their pension assets, and the special risks associated with derivatives are also examined. From the Record of the Society of Actuaries, Vol. 21, No. 3a.

Description: This session explores the potential cash-flow and financial accounting implications of the equity market decline. The discussion focuses on ways to present these results to clients and asset/liability matching techniques that can be used to dampen the significance of this change. From the Record of the Society of Actuaries, Volume 28, No. 2, Session 61pd.

Description: This presentation discusses investment policy for pension plans. From Record of the Society of Actuaries Vol. 10, No. 3.