Estimating the risks in defined benefit pension funds under the constraints of PF117

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dc.contributor.advisorKendal, Shannonen_ZA
dc.contributor.advisorDorrington, Roben_ZA
dc.contributor.authorMahmood, Ra'eesen_ZA
dc.date.accessioned2018-02-07T06:46:04Z
dc.date.available2018-02-07T06:46:04Z
dc.date.issued2017en_ZA
dc.description.abstractWith the issuing of Pension Funds circular PF117 in 2004 in South Africa, regulation required valuation assumptions for defined benefit pension funds to be on a best-estimate basis. Allowance for prudence was to be made through explicit contingency reserves, in order to increase reporting transparency. These reserves for prudence, however, were not permitted to put the fund into deficit (the no-deficit clause). Analysis is conducted to understand the risk that PF117 poses to pension fund sponsors and members under two key measures: contribution rate risk and solvency risk. A stochastic model of a typical South African defined benefit fund is constructed with simulations run to determine the impact of the PF117 requirements. Findings show that a best-estimate funding basis, coupled with the no-deficit clause, results in significant risk under both contribution rate and solvency risk measures, particularly in the short-term. To mitigate these risks, alternative ways of introducing conservatism into the funding basis are required, with possible options including incorporating margins into investment return assumptions or the removal of the no-deficit clause.en_ZA
dc.identifier.apacitationMahmood, R. (2017). <i>Estimating the risks in defined benefit pension funds under the constraints of PF117</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/27342en_ZA
dc.identifier.chicagocitationMahmood, Ra'ees. <i>"Estimating the risks in defined benefit pension funds under the constraints of PF117."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2017. http://hdl.handle.net/11427/27342en_ZA
dc.identifier.citationMahmood, R. 2017. Estimating the risks in defined benefit pension funds under the constraints of PF117. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Mahmood, Ra'ees AB - With the issuing of Pension Funds circular PF117 in 2004 in South Africa, regulation required valuation assumptions for defined benefit pension funds to be on a best-estimate basis. Allowance for prudence was to be made through explicit contingency reserves, in order to increase reporting transparency. These reserves for prudence, however, were not permitted to put the fund into deficit (the no-deficit clause). Analysis is conducted to understand the risk that PF117 poses to pension fund sponsors and members under two key measures: contribution rate risk and solvency risk. A stochastic model of a typical South African defined benefit fund is constructed with simulations run to determine the impact of the PF117 requirements. Findings show that a best-estimate funding basis, coupled with the no-deficit clause, results in significant risk under both contribution rate and solvency risk measures, particularly in the short-term. To mitigate these risks, alternative ways of introducing conservatism into the funding basis are required, with possible options including incorporating margins into investment return assumptions or the removal of the no-deficit clause. DA - 2017 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2017 T1 - Estimating the risks in defined benefit pension funds under the constraints of PF117 TI - Estimating the risks in defined benefit pension funds under the constraints of PF117 UR - http://hdl.handle.net/11427/27342 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/27342
dc.identifier.vancouvercitationMahmood R. Estimating the risks in defined benefit pension funds under the constraints of PF117. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2017 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/27342en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherActuarial Scienceen_ZA
dc.subject.otherbest-estimate assumptionsen_ZA
dc.subject.otherstochastic simulationen_ZA
dc.subject.otherpension funden_ZA
dc.titleEstimating the risks in defined benefit pension funds under the constraints of PF117en_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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