Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/272833 
Year of Publication: 
2022
Series/Report no.: 
cemmap working paper No. CWP21/22
Publisher: 
Centre for Microdata Methods and Practice (cemmap), London
Abstract: 
This paper proposes a new discount rate that pension funds can use to discount their future obligations. If the payouts of a pension fund depend on the return of the fund's assets, then neither the risk-free rate nor the expected return is an equitable way to discount future liabilities. Using the newly proposed rate, the expected utilities of a particular stream of payments are the same in each period. This proposed rate is higher than the discount rate that is used by some pension funds but lower than the rate that the U.S. States are required to use.
Subjects: 
Discount rate
Pension fund obligations
valuation future obligations
JEL: 
G20
G28
H60
H55
H50
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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