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AN ACTUARIAL BALANCE SHEET MODEL FOR DEFINED BENEFIT PAY-AS-YOU-GO PENSION SYSTEMS WITH DISABILITY AND RETIREMENT CONTINGENCIES

Published online by Cambridge University Press:  13 February 2014

Manuel Ventura-Marco  and
Carlos Vidal-Meliá
Manuel Ventura-Marco
Affiliation:
University of Valencia, Financial Economics and Actuarial Science, Valencia, Spain E-Mail: manuel.ventural@uv.es
Carlos Vidal-Meliá*
Affiliation:
University of Valencia, Financial Economics and Actuarial Sciencies, Avenida de los Naranjos, s.n., Valencia, Spain
*
E-Mail: carlos.vidal@uv.es
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Abstract

In this paper, we develop a theoretical basis for drawing up a “Swedish” type actuarial balance sheet for a defined benefit pay-as-you-go (DB PAYG) scheme with retirement and disability benefits. Our model enables us to obtain the system's expected average turnover duration, measure the scheme's solvency and explore the phenomenon identified as “pension reclassification”, a widespread practice that masks the system's real status unless further pension information becomes available. The model is clearly linked to actuarial practice in social security and gives partial support to the practical adaptation of Swedish methodology carried out by OSFI (2012) in applying the concept of the contribution asset to the Canadian Pension Plan (CPP) balance sheet, which includes disability and survivor benefits.

Keywords

Actuarial balancedisabilityretirementsolvencySwedentransparency
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 44 , Issue 2 , May 2014 , pp. 367 - 415
Copyright
Copyright © ASTIN Bulletin 2014 

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