Term dependent assumptions : application and features of discount rate and increase curves

Mestrado em Actuarial Science The purpose of this work is to present the methodology behind the application of discount and increase rates for UK pension valuations. It describes the valuation process of pension schemes in UK and specifically for Defined Benefit pensions which are pensions with a predetermined income at retirement. Specifically, it focuses on the methods of valuing today, liabilities that are due to be paid in the future regarding economic parameters. For many years the dominant approach to value the future liabilities was based on single rates but lately a more modern sophistication has been used which derives a different rate for each future year. This report contributes to a better understanding of measuring the funding position regarding the different methodologies on setting of assumptions from a corporate and Trustee perspective. It identifies the approach that pension fund managers and sponsors should follow in setting the assumptions for valuing pension liabilities so as to meet their fiduciary duty to beneficiaries. info:eu-repo/semantics/publishedVersion