Description: The purpose of this article is to demonstrate that the virtues of “marked-to-market” pension accounting are greatly exaggerated for both public and private pension plans. It is demonstrated that the “marked-to-market” paradigm, as applied to pensions, is based on a questionable economic foundation and may produce plenty of “misinformation” of its own. From the Pension Section News, September 2008, Issue No. 68.

Description: This paper presents a methodology that represents the common ground between the major camps in the debate over the defined benefits DB system.

Description: The paper demonstrates that the most popular rationalization for evolving glide paths is flawed and should be discarded. The paper also demonstrates that glide paths should generally evolve for investors that endeavor to optimize outcomes and reevaluate their portfolios regularly.

Description: Investment Fallacies: The Misconceptions of Retirement Risks

Description: This paper examines actuarial pension models and the methodologies those models offer, and introduces a new liability concept that eliminates certain inconsistencies that exist in the models. From Current Pension Actuarial Practice in Light of Financial Economics Symposium, M-RS04-1.

Description: Full version of The Pension Forum, April 2005, Volume 16, Issue No. 2.

Description: Part one of a two-part article, to be contined in Feb 2014. Provides useful rules of thumb for breaking out investment return into components of periodic arithmetic return, geometric return, the volatility of returns and the correlation of returns by asset class. Develops and relates these axiomatic concepts into rules of thumb for estimating quantiles of a range of stochastic returns.

Description: Investment Fallacies: On the Validity of Common Portfolio Return Assumptions

Description: The selection of a discount rate is one of the most important assumptions for the calculations of present values. The paper presents the basic properties of the key measurements of investment returns and the discount rates associated with these measurements.

Description: You are the actuary in the room. As you select, recommend or evaluate a pension return assumption, the process should be rooted in sound principles of mathematics, finance and forecasting whether in multi-employer and public sectors or certain private sector situations. Both theory and practical application serve to guide you with useful tools when providing professional actuarial services concerning pension return assumptions. Explore new frontiers in well-accepted underlying models and analytical (closed form) formulas.