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ERM for pension funds: model example [2]

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Bullet points include: DB Final Salary Scheme, closed to new accrual, no discretionary benefit increases, target funding level of 100%, deficits/surpluses versus target amortised 20% each year. Funding ‘valuation’ includes discount rate 1.2% pa higher than wind up valuation (equity risk premium – asset strategy 60% equities). Only illustrative (e.g. model assumes 100% mortality at age 80!). Priority on wind up Benefit value on wind up basis, assuming 100% recovery, Market implied spread on sponsor obligations, Active 2 (to deferred on wind up), Deferred,Pensioner / spouse

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