Liability-Driven Investment: Benchmark Model

The Society of Actuaries’ Retirement Section Research Committee and Committee on Finance Research are pleased to make available research material that developed a Liability-Driven Investment (LDI) benchmark framework.  The report and Excel tool were authored by Kailan Shang and Zakir Hossen.

Report

Liability-Driven Investment Report

Liability-Driven Investment Excel Tool

Background Video for Excel Tool

Thank You

The SOA would like to thank the following individuals for serving on the Project Oversight Group:

Stephanie Ching
Nate Deboer
Andrea Sellars
Doug Chandler, SOA Retirement Research Actuary
Lisa Schilling, SOA Retirement Research Actuary
Steven Siegel, SOA Sr. Research Actuary
Barbara Scott, SOA Sr. Research Administrator

The SOA also thanks John Lowell for his review of the report and Excel tool.

If you have comments or question, please send an email to research@soa.org.

Disclaimer for Software

Important: This Excel Model ("Software") is the property of the Society of Actuaries (SOA) and is protected under U.S. and international copyright laws.

The Software has been developed for the benefit of actuaries FOR EDUCATIONAL USE ONLY, although others may find it useful. SOA and the author make the Software available to individual users for their personal use on a non–exclusive basis. No commercial use, reproduction or distribution is permitted whatsoever.

SOA and the author make no warranty, guarantee, or representation, either expressed or implied, regarding the Software, including its quality, accuracy, reliability, or suitability, and HEREBY DISCLAIM ANY WARRANTY REGARDING THE SOFTWARE'S MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE. SOA and the author make no warranty that the Software is free from errors, defects, worms, viruses or other elements or codes that manifest contaminating or destructive properties. In no event shall SOA or the author be liable for any damages (including any lost profits, lost savings, or direct, indirect, incidental, consequential or other damages) in connection with or resulting from the use, misuse, reliance on, or performance of any aspect of the Software including any instructions or documentation accompanying the Software. SOA and the author make no representation or warranty of non–infringement of proprietary rights of others with respect to the Software. The entire risk as to the uses, outputs, analyses, results and performance of the Software is assumed by the user. This Disclaimer applies regardless of whether the Software is used alone or with other software.

The model, accompanying documentation, and methodologies contained herein do not represent an official position, statement, or endorsement on behalf of the Society of Actuaries or its members, nor should the material be construed to do so. It is the product of a research effort commissioned by the Society of Actuaries to add to the library of resource tools. The model is neither intended to preclude the use of other methodologies for any purpose nor provide a statement or position on the use, application, or preferability of other methodologies as compared to the methodology described herein.