Hostname: page-component-78c5997874-j824f Total loading time: 0 Render date: 2024-11-10T17:10:21.795Z Has data issue: false hasContentIssue false
  • English
  • Français

The Treatment of Assets in Pension Funding

Published online by Cambridge University Press:  17 April 2015

M. Iqbal Owadally  and
Steven Haberman
M. Iqbal Owadally
Affiliation:
Faculty of Actuarial Science and Statistics, Cass Business School, City University, 106 Bunhill Row, London EC1Y 8TZ, England. E-mail: iqbal@city.ac.uk
Steven Haberman
Affiliation:
Faculty of Actuarial Science and Statistics, Cass Business School, City University, 106 Bunhill Row, London EC1Y 8TZ, England. E-mail: iqbal@city.ac.uk
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

A recent survey of actuarial practitioners in North America shows that smoothed-market actuarial asset values are commonly used in funding valuations of defined benefit pension plans. Four methods of calculating such values are reported in the actuarial literature but only qualitative descriptions of the methods are given. This paper provides mathematical descriptions of the “average of market”, “weighted average”, “deferred recognition” and “write-up” actuarial values. They are shown to be based on either arithmetic or exponential smoothing. Provided the same form of smoothing is used, the four methods are equivalent.

Keywords

Actuarial valuationassetslossessmoothing
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 34 , Issue 2 , November 2004 , pp. 425 - 433
Copyright
Copyright © ASTIN Bulletin 2004

References

Aitken, W.H. (1994) Pension Funding and Valuation. Actex Publications, Winsted, Connecticut. Google Scholar
Anderson, A.W. (1992) Pension Mathematics for Actuaries, 2nd ed. Actex Publications,Winsted, Connecticut.Google Scholar
CRSR (2001) Survey of asset valuation methods for defined benefit pension plans. Pension Forum, 13(1), 1–49. Society of Actuaries, Schaumburg, Illinois.Google Scholar
Ezra, D.D. (1979) Understanding Pension Fund Finance and Investment. Pagurian Press, Toronto, Canada.Google Scholar
Owadally, M.I. and Haberman, S. (2003) Exponential smoothing methods in pension funding. IMA Journal of Management Mathematics 14(2), 129–143.CrossRefGoogle Scholar
Marwick, Peat (1986) Interpretation of Pension Statements. Note 461-32-87, Society of Actuaries, Schaumburg, Illinois. Google Scholar
Winklevoss, H.E. (1993) Pension Mathematics with Numerical Illustrations, 2nd ed. University of Pennsylvania Press, Philadelphia, Pennsylvania. Google Scholar