publication . Article . 2001

Pension plan asset valuation

Owadally, M. I; Haberman, S.;
Open Access English
  • Published: 01 Jan 2001
  • Publisher: (Society of Actuaries, Schaumburg, Illinois, USA)
  • Country: United Kingdom
Various asset valuation methods are used in the context of funding valuations. The motivation for such 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.
free text keywords: HF
Related Organizations
Download from
19 references, page 1 of 2

Actuarial Standards Board. (1993). Actuarial Standard of Practice No. 4: Measuring Pension Obligations. Pensions Committee of the Actuarial Standards Board, American Academy of Actuaries, Washington, D.C.

Aitken, W.H. (1994). A Problem-Solving Approach to Pension Funding and Valuation.

Anderson, A.W. (1992). Pension Mathematics for Actuaries, 2nd ed. Actex Publications, Winsted, Connecticut.

Berin, B.N. (1989). The Fundamentals of Pension Mathematics. Society of Actuaries, Schaumburg, Illinois.

Bowers, N.L., Hickman, J.C. & Nesbitt, C.J. (1979). The dynamics of pension funding: contribution theory. Transactions of the Society of Actuaries, 31, 93-122.

Canadian Institute of Actuaries (1994). Standard of Practice for Valuation of Pension Plans. Ottawa, Ontario, Canada.

Committee on Retirement Systems Research. (1998). Survey of asset valuation methods for defined benefit pension plans. Society of Actuaries, Schaumburg, Illinois.

Day, J.G. & McKelvey, K.M. (1964). The treatment of assets in the actuarial valuation of a pension fund. Journal of the Institute of Actuaries, 90, 104-147.

Dyson, A.C.L. & Exley, C.J. (1995). Pension fund asset valuation and investment.

British Actuarial Journal, 1, 471-557.

Ezra, D.D. (1979). Understanding Pension Fund Finance and Investment. Pagurian Press, Toronto, Canada.

Funnell, D. & Morse, P.F. (1973). Selection of a valuation rate of interest for a pension plan and valuation of pension fund assets. Proceedings of the Canadian Institute of Actuaries, 5(2), 1 -56.

Hennington, H.H. (1968). Discussion of "The valuation of pension fund assets" by Jackson & Hamilton (1968). Transactions of the Society of Actuaries, 20, 429-430.

Jackson, P.H. & Hamilton, J.A. (1968). The valuation of pension fund assets.

Transactions of the Society of Actuaries, 20, 386-436.

19 references, page 1 of 2
Any information missing or wrong?Report an Issue