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    Unpleasant actuarial arithmetic: fair contribution rates for defined benefit pension schemes

    Hori, Ken and Wright, Stephen (2022) Unpleasant actuarial arithmetic: fair contribution rates for defined benefit pension schemes. Working Paper. Department of Economics, Mathematics and Statistics, London, UK.

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    Abstract

    We derive key properties of the actuarially fair contribution rate for defined benefit (DB) schemes, that equates scheme assets to liabilities for any given scheme member. The unpleasant actuarial arithmetic of both increased life expectancy and (especially) negative real yields has resulted in a massive rise in the fair contribution rate over recent decades. At present there appears to be little prospect of these rises being reversed. We analyse the implications for the viability of DB schemes, and consider the (potentially significant) impact of incorporating systematic risk into benefits.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: Birkbeck Working Papers in Economics and Finance #2201. ISSN: 1745-8587
    Keyword(s) / Subject(s): defined benefit, pension contribution rate
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Isobel Edwards
    Date Deposited: 25 Mar 2022 13:43
    Last Modified: 25 Mar 2022 15:24
    URI: https://eprints.bbk.ac.uk/id/eprint/47651

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