Description: This paper provides a summary of the report, Back Testing of Investment Performance by Asset Class.

Description: An update on the Capital Market Assumptions used for asset allocation maybe useful to actuaries given the parallels with the assumptions an actuary uses to measure plan obligations.

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: Chairperson’s column discussing the state of the world today and how that influences investment strategies and describes to seminars the section sponsored to keep members apprised of changes.

Description: As we meet with pension plan sponsors and consultants across Canada we find that the subject of liability-driven investing LDI comes up repeatedly even when we do not initiate the discussion. We also find that LDI seems to mean something different to each person we meet. Is LDI just a new name for asset/liability management ALM? Or is LDI just about hedging interest rate risks with fancy securities? In this article we describe a framework for understanding what LDI is, how it relates to ALM, and how it can be used to solve real-life problems for Canadian pension funds.

Description: An increased focus on pension plan cost and risk management has led plan sponsors to pursue innovative plan designs. This, in turn, is driving the need for actuaries to utilize new approaches to modeling the underlying market risks of such plan designs. The presenters will discuss advanced techniques to pension plan cash flow modeling that will ensure that the risks embedded in complex plan design features are fully captured. Specifically, a new dimension to cash flow modeling, benefit commencement year (in addition to payment year), will be introduced as well as the concept of 'collapsible' cash flow. Case studies will illustrate how techniques can be used in practice for cash balance plans, pension equity plans and other lump sum paying plans. Other risks such as form of payment and longevity will also be covered. This session is intended to meet the needs of actuaries and investment consultants focused on providing advice on risk management and investment strategy to sponsors of pension plans with complex design features.

Description: Proposes a benchmark consisting of TIPs and deferred income annuities for retirement asset allocation decisions.

Description: This paper advocates asset/liability management for pension plans. It identifies the economic factors that influence the economic value of liabilities and discusses the typical asset portfolio that results.

Description: This article discusses that over the past five years, an increasing number of actuaries have become concerned with the asset side of the balance sheet.

Description: This session discussion is about asset/liability matching, risk tolerance versus yield determination and role of insurance company products and investment services. From Record of the Society of Actuaries Vol. 14, No. 1.