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ERM for Pension Funds [24]

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Bullet points include: Additional challenge. If scheme heavily in deficit and sponsor small compared to scheme then more challenging for sponsor to make good any deficit, i.e. there is correlation between sponsor default and level of underfundedness. In EIOPA consultation this (loosely) corresponds to the maximum available sponsor support. Perhaps can be handled by refining (or simplifying?) pricing model. See e.g. material presented to IFoA sessional research meeting on 25 January 2013, i.e. IFoA (2013), Barrie and Hibbert (2013) and PWC (2013)

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