PFProjectBenefitsPVSingleRun
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Function Description
Returns, for an illustrative pension scheme with benefit and
other characteristics approximated by the input parameters, an array containing
(for each aggregate membership category):
(1) The present
value of members' future benefits allowing for the possibility of the scheme
sponsor will default in the future, but assuming that when the sponsor defaults
any shortfall in the cost of providing these benefits from elsewhere is met
(e.g. by the sponsor’s bankruptcy estate)
(2) The present
value of members' future benefits allowing for the possibility of the scheme
sponsor will default in the future, and allowing for the possibility that when
the sponsor defaults there may be a shortfall in the assets available to meet
the cost of providing these benefits from elsewhere (e.g. because there are
insufficient assets available in the sponsor’s bankruptcy estate)
(3) The equivalent
implied spread on the benefits attributable to that category of members (i.e.
the addition to the yield curve needed to result in a value as per (2) given
cash flows as per (1)
(4) The present
value of members’ future benefits ignoring the possibility of the scheme
sponsor defaulting in the future (which differs from (1) because some members’
benefits, e.g. for active members, may uprate more rapidly as long as the
sponsor has not defaulted / scheme has not been wound up)
The impact of setting FactorDefaultAdjParam or WindUpDefaultAdjParam
to non-zero values is explained further in MnPFProjectBenefitsProbDefault.
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