Patent ID: 8131613
Filing Date: 2012-03-06
Classification: G06Q

Abstract:
1. A computer-implemented method of allocating assets in a defined benefit pension plan with a set of pension liabilities from required benefit payments to plan participants as defined by a plan specification of the defined benefit pension plan including pension benefits and other post-retirement benefits, a plurality of pension assets with asset classes and security weightings representative of amounts of the pension assets invested over the plurality of asset classes and security weightings including stocks and bonds, the method being performed on a computer system having an output device, comprising: (A) calculating by the computer system the set of pension liabilities including calculating each of the required benefit payments using discounted values based on rates of mortality, morbidity, disability, withdrawal, turnover, retirement and a membership roster of the defined benefit pension plan wherein the required benefit payments are based on fixed deterministic assumptions or based on stochastic random variable assumptions; (B) calculating by the computer system a first calculated value indicative of a first set of pension assets that are matched with the set of pension liabilities wherein a unit of matched pension assets moves with a unit of pension liabilities of the set of pension liabilities and wherein the calculating of the first calculated value includes; (C) calculating by the computer system a second calculated value indicative of a second set of pension assets that are not fully matched with the set of pension liabilities wherein a unit of the non-fully matched pension assets does not move with a unit of pension liabilities of the set of pension liabilities and wherein the calculating of the second calculated value includes; (D) wherein the calculating of the first and second calculated values representative of the first and second sets of pension assets includes applying to specified portions of the first and second sets of pension assets each of; (E) calculating by the computer system a pension liability allocation ratio by dividing one of the first and second calculated values by the other of the first and second calculated values in accordance with step (D); (F) calculating by the computer system a further first calculated value and a further second calculated value in accordance with steps (A)-(E) to provide differing asset class and security weightings representative of differing amounts of the pension assets invested over the plurality of asset classes and security weightings; (G) determining a pension liability allocation efficient frontier in accordance with; (H) outputting a representation of the optimized asset class and security weighting on the output device.