Description: Paper presents a conceptual approach that could improve the security of retiree benefits while reducing the variability of employer contributions and improving the long-term prospects of the plan as a whole.

Description: This paper discusses mathematical modeling and pricing of 'Stable Value' financial products offered to pension plan providers. These products target a risk-averse population of investors who have a significant preference for a stability of returns. The paper offers a quantitative methodology that reflects a decision making process applicable in the situation of incomplete markets where traditional arbitrage free arguments are invalid.

Description: This article presents asset/liability matching, including techniques for pension plans. Application of techniques to stabilize expense and protect plan surplus against economic fluctuations will also be discussed. From the Record of the Society of Actuaries, Vol. 21, No. 4b.

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 session at the SOA 1990 Dallas Spring Meeting is about the importance of matching assets and liabilities within a pension plan. Models, methodology and strategy for accomplishing ALM are discussed.

Description: Panelists at this session of the SOA 1998 Maui II Spring Meeting present methods for scenario generation and establishing stochasitc models for pension plans.

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: Risks inherent in employee choices of distribution options in terminating plans - A Canadian perspective.

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: Many retirement actuaries have experience developing, implementing, and monitoring Liability Driven Investing (LDI) strategies for plan sponsors. These strategies typically involve modifying a plan’s investment strategy to remove a significant portion of the investment and interest rate risk now or at some point in the future when specific triggers are met. The tactics often involve the use of fixed income assets to cash flow and/or duration match the liabilities. In the spirit of helping actuaries expand their roles in an evolving defined contribution world, this article explores the application of LDI and derisking strategies within defined contribution and individual retirement accounts. The economic theory behind this approach is called the lifecycle hypothesis, or lifecycle finance. The benefits of the lifecycle finance method are that it provides a safe approach to save for retirement and a secure source of floor income during retirement. Similar to pension plans, each individual has his or her own idiosyncratic needs, wants, and risks that should be considered. Actuaries are uniquely situated to help defined contribution plan sponsors, individuals, and even themselves implement the lifecycle finance approach by developing and distributing tools and methods that focus on income (rather than wealth), LDI strategies, and personalization.