About This Event
“Stop managing assets in one room and liabilities in another.”
An advanced programme on valuing pension liabilities and building an investment strategy that tracks them. It covers the actuarial mechanics behind scheme valuations, the demographic assumptions that drive them, and how liability driven investing applies in defined benefit and defined contribution schemes.
What You'll Explore
A liability-aware investment policy statement for your scheme
A duration and inflation hedging framework built on your own valuation data
A tested view of the mortality and demographic assumptions behind your liabilities
Priced de-risking options for defined benefit obligations
A default fund design for defined contribution members, compared on outcomes
Who Should Attend
Open to all qualifying staff, particularly: Investment Committee members, Scheme Actuaries, Principal Officers, Fund Managers.
Why This Course Matters
Liabilities You Can Price
Read a scheme valuation properly: the discount rate, the mortality basis and the assumptions that move the funding position more than market returns do. You leave able to see which figures in the actuarial report are measurements and which are choices.
Assets Matched to Promises
Build an LDI framework that hedges duration and inflation exposure, so a fall in yields does not quietly open a funding gap the sponsor has to close. That gap surfaces in the valuation long after the market move that caused it.
De-risking With Evidence
Compare de-risking routes for defined benefit schemes and default design for defined contribution members, using numbers rather than adviser preference. Every option is priced, so the board decides on cost and member outcome.
Programme
Day 1
Valuation mechanics, funding levels and discount rates
You will work through a full scheme valuation line by line, seeing how the discount rate, asset basis and funding target interact and why two actuaries can reach different answers from the same data. Sessions cover technical provisions, the funding position, the sponsor covenant and the sensitivity tests that show which assumption is actually driving your deficit or surplus. You leave able to read the actuarial report as a set of choices rather than a verdict.
Day 2
Mortality assumptions and liability driven investing
You will interrogate the mortality, withdrawal and salary assumptions behind your liabilities, testing how East African demographic shifts move the numbers your board relies on. The rest of the day builds an LDI portfolio that hedges duration and inflation exposure using government securities and the instruments actually available regionally, then measures the hedge ratio you achieved against the one you intended.
Day 3
De-risking, default fund design and policy defence
You will price de-risking routes for a defined benefit scheme, comparing closure, buy-in and gradual matching on cost and residual risk, and design a default fund for defined contribution members judged on projected member outcomes rather than on fund labels. You then translate the work into an investment policy statement with explicit liability benchmarks and defend it before an expert panel.
Standards & Faculty Benchmark
IAA standards, IAS 19 & IPSAS 39
International Actuarial Association practice standards and the accounting bases for valuing retirement benefit liabilities.
CFA Institute & GIPS
Portfolio management body of knowledge and Global Investment Performance Standards for scheme reporting.
OECD Core Principles
OECD Core Principles of Private Pension Regulation covering funding adequacy and member protection.
Your actuary, your auditor and your regulator all report against these standards.
Is This Right for You?
- ☑You sit on an investment committee or advise one
- ☑Your scheme carries defined benefit obligations or a large default fund
- ☑You want to challenge actuarial advice, not simply receive it
Good to Know
No actuarial qualification is required; the mathematics is taught for decision-making, not derivation.
The Bottom Line
Leave able to question your actuary's assumptions and to show your board exactly what the scheme's promises cost.
Recommended For
Open to all qualifying staff, particularly: Investment Committee members, Scheme Actuaries, Principal Officers, Fund Managers.