Pricing long-dated cash flows of pension funds – Determination of a good long-term interest rate for discounting very long-dated pension cash flows

  • Tom Kasperski Tom Kasperski

Pension funds are promising very long-dated cash flows to their participants (up to 100 years), but financial instruments are only available up to 30 years. However, for calculating their funding ratio pensions funds must use a discount rate. In this paper it will be shown how we can find a good long-term interest rate for discounting very long-dated pension cash flows.

Netspar, Network for Studies on Pensions, Aging and Retirement, is a thinktank and knowledge network. Netspar is dedicated to promoting a wider understanding of the economic and social implications of pensions, aging and retirement in the Netherlands and Europe.

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