BAS Sixth Annual Case Competition

Transcription

1 Presented by Joan Dai, Annie Chen, Daniel He, Roy Kim 1

2 Background 2

3 Background Unexpected demographic shifts in pension plan Retirement Increase Early retirement Postponed retirement Creeping Active Termination 3

4 Problem Asset and liability mismatch Assets Liabilities Assets Liabilities 4

5 Agenda Binomial Confidence Intervals Bootstrap Estimates Exponential Moving Average Final Funding Status Report 5

6 Rate Analysis 6

7 Rate Analysis First Year Active Second Year Terminated Terminated Vested Retired 7

8 Rate Analysis Hypothesis tests of previous assumption rates Graphically shown with standard 95% confidence intervals Active Retirement Rate Age Current

9 Rate Analysis Hypothesis testing each age level with assumption rates as null Reject Fail to Reject Probability of at least this extremity is too small Variation can be due to chance 9

10 Active Retirement CAL Team Active Termination Terminated Vested

11 Active Retirement Active Termination Terminated Vested 11

12 Rate Derivation 12

13 Rate Derivation Assume original assumption is not credible Based only on participants behavior 13

14 Rate Derivation Method: Bootstrap simulation Sample Size: 750 from designated population Resampling: 500 times All Three Categories: Termination Rate Active Retirement Rate Terminated Vested Retirement Rate 14

15 Rate Derivation Bootstrap Trials (Active Retirement Rate 2012 to 2013) Age Trial 1 Trial 2 Trial 3 Trial 4 Trial Bootstrap Result Age Mean

16 Rate Derivation Putting it all together Assumption rates, fail-to-reject or reject Bootstrap rates Derived Active Retirement Rates

17 Rate Synthesis 17

18 Rate Synthesis Objectives Reduce noise Predict the trend Techniques Exponential moving average 18

19 Rate Synthesis 0.35 Age Active Active Retirement, Age Age 61, αα 61= Transition Probability Transition Years αα = 0.15 αα = 0.5 αα = 1 19

20 Rate Synthesis Table 1: Active Retirement Rates Age Current Proposed Rate 54 NA NA NA NA NA NA NA 0.98 Table 2: Terminated-Vested Retirement Rates Age Current Proposed Rate 54 NA NA NA NA NA NA NA

21 Rate Synthesis Table 3: Active Termination Rates, Age Current Proposed Rate NA Table 3: Active Termination Rates, Age Current Proposed Rate NA NA NA NA NA

22 Rate Synthesis Increased Early Retirement Increased Postponed Retirement Creeping Active Termination 22

23 Rate Synthesis Funding Status Increased Retirement Increased Liability Need for Increased Assets Normal Retirement Lump-Sum 2018 Old Rates New Rates Net Difference $327K $798K $473K 23

24 Index & Thank You Presenters Joan Dai Annie Chen Daniel He Roy Kim Index 1. Title Card 2. Background: Title Card 3. Background: Introduction 4. Background: The Problem 5. Background: Agenda 6. Rate Analysis: Title Card 7. Rate Analysis: Introduction 8. Rate Analysis: Transition Pools 9. Rate Analysis: Testing 10. Rate Analysis: Experience 11. Rate Analysis Experience 12. Rate Derivation: Title Card 13. Rate Derivation: Introduction 14. Rate Derivation: Method 15. Rate Derivation: Results 16. Rate Derivation: Combination 17. Rate Synthesis: Title Card 18. Rate Synthesis: Method 19. Rate Synthesis: Exponential Smoothing 20. Rate Synthesis: Trends 21. Rate Synthesis: Tables 1 & 2 Proposal 22. Rate Synthesis: Table 3 Proposal 23. Rate Synthesis: Funding Status 24