skip to main content
Language:
Search Limited to: Search Limited to: Resource type Show Results with: Show Results with: Search type Index

Pension Fund Asset Valuation and Investment

British Actuarial Journal, 1995-08, Vol.1 (3), p.471-557 [Peer Reviewed Journal]

Copyright © Institute and Faculty of Actuaries 1995 ;INSTITUTE OF ACTUARIES AND FACULTY OF ACTUARIES ;ISSN: 1357-3217 ;EISSN: 2044-0456 ;EISSN: 1748-5002 ;DOI: 10.1017/S1357321700001203

Full text available

Citations Cited by
  • Title:
    Pension Fund Asset Valuation and Investment
  • Author: Dyson, A.C.L. ; Exley, C.J.
  • Subjects: Actuarial science ; Dividends ; Financial investments ; Funding ; Investment funds ; Investment strategies ; Pension funds ; Pension liabilities ; Sessional meetings: papers and abstracts of discussions ; Valuation ; Yield
  • Is Part Of: British Actuarial Journal, 1995-08, Vol.1 (3), p.471-557
  • Description: The theoretical basis for, and practical application of, the discounted income method for valuing UK pension fund assets is discussed, with particular reference to the widely adopted application to variable income (equity type) assets, as proposed by Day & McKelvey (1964), in the context of both the management and compliance objectives of pension fund valuation. An alternative methodology is proposed in which consistency with assets, liabilities, and market values is demanded, with smoothing of the valuation result achieved on an explicit rather than implicit basis. It is then demonstrated that the explicit smoothing parameter can be set so as to achieve the historic smoothness framework for establishing pension fund investment policy. In conclusion the paper suggests greater emphasis on market-related methodologies for compliance valuations and leaves open the choice of methodology for management valuations and monitoring purposes, on the grounds that there is a large subjective element in any realistic basis. However, it is demonstrated that while smoother than unadjusted market-related methods, other aspects of the dynamics of the funding level under the method of Day & McKelvey can be perverse and it is suggested that this method should not be allowed to dictate investment decisions.
  • Publisher: Cambridge, UK: Cambridge University Press
  • Language: English
  • Identifier: ISSN: 1357-3217
    EISSN: 2044-0456
    EISSN: 1748-5002
    DOI: 10.1017/S1357321700001203
  • Source: ProQuest Central
Back to results list
INSPIRE LIBRARY - TON DUC THANG UNIVERSITY (84-028) 37 755 057 Feedback
19 Nguyen Huu Tho St. Dist.7, HCM thuvien@tdtu.edu.vn

Copyright © 2017 INSPIRE LIBRARY - TON DUC THANG UNIVERSITY

Searching Remote Databases, Please Wait