Description: Pricing longevity swap reinsurance transactions consists of a number of different actuarial tasks, each of which hides potential pitfalls. The article outlines the pricing process, which includes a detailed analysis of current mortality experience of the portfolio to be transferred, choice and calibration of an appropriate model for mortality improvement trends and the calculation of a risk margin which reflects the uncertainty associated with the pricing best-estimate, which includes mis-estimation risk, model risk, longevity basis risk and stochastic uncertainty.

Description: This paper reviews the life cycle of a typical pension plan, examines the issues relating to its funding, and proposes a new funding approach that tries to balance the various concerns. From The Future of Pension Plan Funding and Disclosure Monograph, M-RS05-1.

Description: Comments on Robert North’s paper, a real case study of disclosing MVL in a public employee retirement system.

Description: Response to David Kausch’s comments on the paper.

Description: The article has formulas for calculating the geometric return of a portfolio using the arithmetic return and the variance

Description: The standard for measuring retirement income adequacy has been the final earnings replacement rate (usually targeted at 70%). But - does it work?