Unpleasant actuarial arithmetic: fair contribution rates for defined benefit pension schemes
Hori, Kenjiro 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: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Isobel Edwards |
| Date Deposited: | 25 Mar 2022 13:43 |
| Last Modified: | 02 Aug 2023 18:15 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/47651 |
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