ABSTRACT
The model that we have estimated in this book is a model of investment behaviour appropriate for immature pension funds with assets growing at a faster rate than liabilities as a consequence of contributions and asset returns exceeding pension payouts. Pension funds pursuing this investment objective are in principle able to generate an actuarial surplus which can be used to reduce the sponsor’s contributions through a contributions holiday. However, as pension funds mature, assets no longer grow at a faster rate than liabilities and pension funds have to be more concerned with asset-liability modelling and management.
