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CIA Pension Seminar Colloque sur les régimes de retraite

CIA Pension Seminar Colloque sur les régimes de retraite. April 16, 2007 Ÿ Le 16 avril 2007 Toronto, Ontario. Investment and longevity risks. CIA Pension Seminar Ÿ Colloque sur les régimes de retraite. Scope Request from the Régie des rentes du Québec Task Force established by the CIA

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CIA Pension Seminar Colloque sur les régimes de retraite

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  1. CIA Pension SeminarColloque sur les régimes de retraite April 16, 2007 Ÿ Le 16 avril 2007 Toronto, Ontario Investment and longevity risks

  2. CIA Pension Seminar ŸColloque sur les régimes de retraite Scope Request from the Régie des rentes du Québec Task Force established by the CIA Task Force will not solely focus on the Quebec legislation Task Force will prepare a research Paper TF on the determination of solvency PfADs

  3. CIA Pension Seminar ŸColloque sur les régimes de retraite Terms of reference “The Task Force will prepare a Research Paper on the determination of appropriate PfADs for hypothetical windup and solvency valuations of defined benefit pension plans. It is expected that the Research Paper will provide an analysis of the PfADs required to achieve specified levels of benefit security over specified periods of time with various levels of probability, given various funding policies and economic scenarios. The Task Force is expected to determine the appropriate parameters for its analysis.” TF on the determination of solvency PfADs

  4. CIA Pension Seminar ŸColloque sur les régimes de retraite Possible uses of the research Paper For regulators to assess the impact of establishing PFAD requirements for solvency valuations To assist individual actuaries provide analyses of potential risks as part of valuation reporting TF on the determination of solvency PfADs

  5. CIA Pension Seminar ŸColloque sur les régimes de retraite Members of the Task Force Martin Cyrenne (Chair) Michael Banks Nicolas Morissette Lucien Pouliot Georges Langis Additional support from the Régie des rentes du Québec TF on the determination of solvency PfADs

  6. CIA Pension Seminar ŸColloque sur les régimes de retraite Benefit security? From a general viewpoint, a plan should Be solvent “most” of the time and Be “nearly” solvent the rest of the time How (and who) should define “most” and “nearly”? TF on the determination of solvency PfADs

  7. CIA Pension Seminar ŸColloque sur les régimes de retraite PfAD? Provision for “adverse” deviation (poor returns, asset/liability mismatch, …) Does not take into account the predictable incremental cost increase (salary changes, demographic, early retirement subsidies, …) TF on the determination of solvency PfADs

  8. CIA Pension Seminar ŸColloque sur les régimes de retraite Parameters considered Asset allocation Maturity Types of plan (career vs final average) Contributions Frequency of valuations Use of surplus TF on the determination of solvency PfADs

  9. CIA Pension Seminar ŸColloque sur les régimes de retraite Methodology Stochastic simulations Valuations of a “typical” plan Solvency valuations using market value of assets and liabilities valued based on SoP 3800 At t = 0, assets = AL + PfAD TF on the determination of solvency PfADs

  10. CIA Pension Seminar ŸColloque sur les régimes de retraite Results Probability of being x% solvent in n years with a PfAD of y% x% being 80%, 85%, 90%, 100% and 110% n years being 1, 3, 5 and 10 y% being 0%, 3%, 7%, 10%, 15% and 25% TF on the determination of solvency PfADs

  11. CIA Pension Seminar ŸColloque sur les régimes de retraite Economic assumptions Several “models” analyzed Major asset classes treated Paper will provide results on “plausible” scenarios TF on the determination of solvency PfADs

  12. CIA Pension Seminar ŸColloque sur les régimes de retraite Demographic assumptions Closed group No withdrawals, nor deaths before retirement Retirement at age 65 Different percentage of liabilities of actives vs retirees depending on the scenarios TF on the determination of solvency PfADs

  13. CIA Pension Seminar ŸColloque sur les régimes de retraite “Main results” Annual valuations Probabilities established over a 3-year period Probability of attaining various solvency levels with specified levels of PfAD Tri-dimensional matrix of results Asset allocation Duration of assets (fixed-income) Duration of liabilities TF on the determination of solvency PfADs

  14. CIA Pension Seminar ŸColloque sur les régimes de retraite “Main results” Initial subsets of results We hope to be able to present them on April 16 TF on the determination of solvency PfADs

  15. CIA Pension Seminar ŸColloque sur les régimes de retraite Next steps? Paper: Drafting by the Task Force Comments from the CIA Practice Council Translation in French Distribution to the membership: Paper and Excel file TF on the determination of solvency PfADs

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