Description: This is a research project on possible replacement indices for the 30 year treasury rates used to value current liability for defined benefit pension plans in the US.

Description: This paper concludes that there are two index rates that could best replace the 30-year Treasury in the calculation of the Current Liability of a pension plan - either the 30 year swap rate or the benchmark 30-year FNMA bond.

Description: Highlights a new research paper on determining discount rates for pension plans, by John Turner. The paper breaks new ground on deciding on the appropriate discount rate for untradeable benefit obligations, with a comprehensive summary of the field.

Description: Municipal Reinvestment Contracts by Victor Modugno from Risks and Rewards Newsletter, September 2000, Issue No. 35.

Description: The article is a summary of Society of Actuaries report entitled “Annuity Market Pricing Approaches” sponsored by the Retirement Section Research Committee. The report examines the Canadian Institute of Actuaries (CIA) methodology of developing solvency valuation assumptions, compares it to methods used in the U.S., and considers if it could be used in other markets, such as U.S. group annuities or individual annuities

Description: This session provides attendees with an in-depth description of the process of terminating a defined benefit pension plan in the U.S. Discussion topics include required filings, selection of annuity provider and asset immunization prior to annuity purchase. From the Record of the Society of Actuaries, Volume 28, No. 2, Session 7pd.

Description: This session looks at a number of other structures that can be used to package more exotic investments. From the Record of the Society of Actuaries, Volume 27, No. 2, Session 44PD of the Toronto Spring Meeting.

Description: This presentation, session number 55PD, took place at the 2000 Annual Meeting of the Society of Actuaries, held October 15-18 in Chicago. The panelist look at a variety of capital market structures used to replace maturing guaranteed investment, ‘GIC,’ contract liabilities from accounting, regulatory, rating agency, and investor viewpoints. Discussion from participants is included. From the Record of the Society of Actuaries, Volume 26, No. 1.

Description: From a session at a meeting of the Society of Actuaries held in San Diego, CA, June 22-23, 2000 A discussion of liquidity management for life insurance companies marketing institutional clients, in particular with respect to GIC contracts and Funding agreements. Topics included: · What happened at General American with their defaults on funding agreements. Why did the regulators and rating agencies miss the problems? · What was the impact of reinsurance? · What is the effect of adding institutional business such as putable funding agreements on liquidity management? · Are there prudent levels of this business that can be beneficial? · What is the effect of funding agreements with downgrade provisions on liquidity risks, and do such provisions create a preference for sophisticated institutional contract holders?

Description: Mortality rates affect many facets of an actuary’s work. The ability to collect more detailed data and the possibilities presented by more advanced analytical tools influenced the Society of Actuaries to embark on this two-phased project examining the factors affecting retirement mortality. Phase I of the project includes a comprehensive literature search and summary identifying 12 factors linked to mortality experience at or after age 65- age, alcohol, education, gender, health behaviors, income, marital status, obesity, occupation, race & ethnicity, religion and smoking. In Phase II of the project, existing Society of Actuaries experience studies are reviewed to see which factors could be added to the studies. This phase also considers methods for reflecting the additional factors in the mortality tables. This web page contains links to the Phase I and Phase II reports and supporting documentation.