Description: The projection methods used by the Social Security Administration's Office of the Chief Actuary are important. The resulting projections are cited regularly by policy-makers, academics and others interested in the long-term financial solvency of the OASDI system. However, a complete description of this projection methodology that is vital for serious policy discussions is not available to the general public. This summary was constructed in connection with the Social Security Advisory Board's 1999 Technical Panel on Methods and Assumptions. A goal of the Methods and Modeling working group of the Technical Panel was to 'work to ensure that the projection methods used by the Office of the Chief Actuary become more public.' From Actuarial Research Clearing House 2000, Vol. 1.

Description: The motivation for various asset valuation methods and their properties are briefly described. Some smoothed value or market-related methods based on arithmetic averaging and exponential smoothing are considered and their effect on funding is discussed. Suggestions for further research are also made.

Description: In this article, the authors introduce a new policy-making model for pension plan funding which openly represents the uncertainty. The word 'policy' is used here to indicate a strategy which is intended to be followed most [but not necessarily all] of the time. In unusual circumstances, the policy will have to be modified at the end of the year to retain qualification. However, the frequency with which this remedial action is needed is controllable by the actuary [unlike the method of using expected values]. The simple substitution of expected values of random quantities produces an unknown frequency of last minute remedial actions at possibly disastrous investment costs to the pension plan. However, with this paper's techniques, once the actuary acknowledges the uncertainty associated with the various aspects of the pension plan, he/she can explicitly trade off the costs associated with remedial actions, tax penalties, etc. with the investment returns in order to meet the pension plan goals. The method that this paper introduces is a new Chance-Constrained Programming approach to selecting annual contribution levels and asset allocation [holding other factors fixed] that the authors believe will better fit the employer's goals while recognizing the many risks and constraints associated with defined benefit plans. From Actuarial Research Clearing House 1993, Vol. 3.

Description: This paper investigates salary functions as they are used in the valuation of pension plans. Pension actuaries may find many of the ideas in this article useful. Moreover, the paper may be interesting to researchers in actuarial science. The main conclusion of this paper is that salary functions, as derived from the parametric models, yield gains and losses that can be quite small and, in some cases, less variable than non-parametric methods. From Actuarial Research Clearing House 1998, Vol. 1.

Description: A mathematical model is described which facilitates the comparison of different pension funding methods. Rates of return are assumed firstly to be random and then to be represented by an autoregressive model for the corresponding force of interest. From Actuarial Research Clearing House 1990, Vol. 1.