2005
DOI: 10.1080/10920277.2005.10596208
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We Are All “Actuaries Of The Third Kind” Now

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“…Some have suggested that using a relevant swap curve instead of Treasury rates provides a better market measure of the liability. We take an agnostic view with respect to the technical advantages of one or the other measure and accept either as a useful way to estimate MVL.2 The theme has been carried forward by D'Arcy(1989) andHardy (2005) and, into the pension arena, byExley, Mehta, and Smith (1997),Bader and Gold (2003), andEnderle et al (2006). 3 Liability returns are computed analogously to asset returns(Leibowitz 1987) reflecting both the passage of time and changes in the beginning and ending discount rate curves.…”
mentioning
confidence: 99%
“…Some have suggested that using a relevant swap curve instead of Treasury rates provides a better market measure of the liability. We take an agnostic view with respect to the technical advantages of one or the other measure and accept either as a useful way to estimate MVL.2 The theme has been carried forward by D'Arcy(1989) andHardy (2005) and, into the pension arena, byExley, Mehta, and Smith (1997),Bader and Gold (2003), andEnderle et al (2006). 3 Liability returns are computed analogously to asset returns(Leibowitz 1987) reflecting both the passage of time and changes in the beginning and ending discount rate curves.…”
mentioning
confidence: 99%