Pension Fund Math: DB Obligations, Funding Ratios & Liability Hedging
The DB benefit formula and projected unit credit, benefit cash flows, the liability as a present value, funding ratios and stress tests, duration vs full revaluation, recovery-plan contributions, asset return vs liability growth and an LDI hedge ratio: 8 hands-on labs on one fictional pension plan.
The first lesson is free — no account needed.
About this course
A pension fund math course that values one fictional defined benefit plan in a spreadsheet, for pension trustees, actuarial and investment students, finance staff and members who want to read a funding report. You apply the benefit formula of accrual rate times service times final salary and the projected unit credit method, project 12 years of indexed benefit payments for pensioners and new retirees, discount them into the liability with NPV, track the funding ratio and deficit over six valuations and stress it with an equity fall, compare a duration estimate with a full revaluation at seven discount rates, spread a deficit over an eight-year recovery plan with PMT, set the asset return against liability growth and size an interest-rate hedge ratio with PV01. Illustrative numbers, educational only, not pension, actuarial or investment advice. The first lab is free.
Lessons
- The DB Benefit Formula: Accrual Rate × Service × Final SalaryFree
- Projected Benefit Cash Flows by Year Pro
- The Liability: Present Value of Benefit Cash Flows with NPV Pro
- Funding Ratio, Surplus & Deficit and a Simple Stress Test Pro
- Liability Sensitivity: Duration Estimate vs Full Revaluation Pro
- Closing the Deficit: Recovery-Plan Contributions with PMT Pro
- Asset Allocation: Expected Return vs Liability Growth Pro
- Liability-Driven Investing: Interest-Rate Hedge Ratio by Duration Matching Pro