Pension Fund Valuations and Market Values

S.J. Head, D.R. Adkins, A.J.G. Cairns, A.J. Corvesor, D.O. Cule, C.J. Exley, I.S. Johnson, J.G. Spain and A.J. Wise

British Actuarial Journal, 2000, vol. 6, issue 1, 55-141

Abstract: The traditional approach to United Kingdom pension fund valuations is to use an off-market approach to valuing assets and liabilities. This approach has been called into question for a number of reasons, such as changes to the taxation of U.K. share dividends and a growing understanding and appreciation of the key principles of financial economics. This paper looks at the history of the traditional approach and focuses on the drivers for change. We compare the properties of various methods that take assets into the balance sheet at market value against the traditional valuation method. Our principal aim throughout has been to produce a paper that is practical and helpful to pension scheme actuaries.

Date: 2000
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