aftermath

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Archive for March 2015

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macheide

 

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Written by macheide

31 March 2015 at 11:59 pm

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Macheide’s Aurelian Dream

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The more we know what we know, the more we know we don’t.

Almost a quarter century ago, I wrote an article for an early issue of Contingencies, the #1 magazine for actuaries, entitled “Next Best Thing to an Aurelian Dream“. Now standing at retirement’s shoreline, I am realizing that vision to be as recurring a dream as all those I’ve ever kept dreaming. Maybe if I start now, then a quarter century from now I can look back claiming to have made my dream at least more vivid, if not ever to be real. Or at least to have been content spending an entire lifetime dreaming it . . .

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Written by macheide

30 March 2015 at 4:08 pm

Posted in macheide

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Pensions — Discount Rate v Expected Return

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Pension Plans - Discount Rate v Expected Return - 2010-2014 Q4 (200)For the close of 2014, the discount rate used to measure obligations under defined benefit pension plans dropped back to 2012 levels, after increasing for 2013. The lower red line of this chart shows average discount rates used at the close of fiscal years ending in 2000 through 2014 for the pension plans of 200 U.S. corporations with fiscal years ending in the 4th quarter of the calendar year. That drop in the discount rate for 2014 is the most significant factor in the drop in the aggregate funded ratio of pension plans, as discussed in 2014 Pension PBO Funded Ratio, since the actuarial losses arising from remeasurement of pension obligations with the lower discount rates more than offset gains experienced by the pension assets. As discussed in Pension Cost — All v Traditional, the drop in discount rates is also the principal factor in the increase for 2014 in the aggregate pension costs, since the actuarial losses arising from obligation remeasurement for the small subset of employers now choosing immediate recognition of gains and losses more than offsets the decrease in pension cost that most companies were reporting for 2014.

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Written by macheide

20 March 2015 at 11:12 am

Posted in άctuary

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Pension Cost — All v Traditional

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Net Periodic Pension Cost - All Companies vs Traditional Spreading - 2014 all (205)As noted in an earlier post in which employer contributions to pension plans were compared with pension costs, the trends for net periodic pension costs have been confused the past 4 years by a small subset of companies that have chosen to switch to immediate recognition of gains and losses. Previously, that subset of companies followed the traditional accounting still in use by the majority of companies, involving a deferral-disregard-spread approach to gains and losses: (1) gains and losses, including changes in measurement of obligations due to changes in interest rates, are not recognized until after the year in which the gains or losses actually arise, at the earliest; (2) cumulative gains or losses up to 10% of the greater of the value of pension assets or pension obligations are disregarded; and (3) gains or losses outside that 10% corridor are spread over the future service life of active employees (i.e., generally about 15 years).

In very sharp contrast, the small subset of companies that are departing from the traditional approach recognize pension gains or losses in full in the fiscal year in which those gains or losses arise. The influence of this small subset on aggregate global trends is obvious in this graph. The blue curve with open circles represents the aggregate global pension cost for 205 of the largest U.S. companies that sponsor defined benefit pension plans for fiscal years 2000 through 2014, showing an increase in pension cost for 2014 relative to 2013 cost. This is similar to the chart that will be published by most if not all of the major pension studies; and more likely than not, none of those published studies will point out what has been the source of most of the volatility in pension cost the past 4 years.

Of those 205 companies, the red curve with closed circles shows the aggregate global net periodic pension cost for the 196 companies that continue to use the traditional deferral-disregard-spread approach. If all companies had continued to use that traditional approach, pension costs would have declined in 2014 relative to 2013 costs, as seen by the trend for those 196 companies.

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Written by macheide

17 March 2015 at 2:46 pm

Posted in άctuary

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Be Where the I’ds

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Written by macheide

15 March 2015 at 12:00 pm

Posted in local

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A Nice Bit of Hex on Pi

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Pi Toast

 

3.243F6A8885A308D313198A2E03707344A4093822299F31D0082EFA98EC4E6C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 . . . — CalcCrypto

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Written by macheide

14 March 2015 at 7:54 pm

Posted in mathematic

Tagged with ,

Supporting Actor

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Written by macheide

11 March 2015 at 5:51 pm

Posted in local

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