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Valuations

See also Valuation Output.

The Valuations command allows you to execute valuations based on plan benefits, valuation assumptions and census data previously entered into the various ProVal libraries.

The first dialog box displayed after selecting the Valuations command is the library of all Valuations previously specified, if any. An “F” or an “A” next to the library entry name indicates that a funding or an accounting Valuation, respectively, has been set up and executed.

To run an unexecuted Valuation, double-click its name (to open the library entry) and then click the Run button or use the Batch Execution command.

The parameters found under the Valuations command are as follows:

Name is the description of the Valuation currently being defined; this will be the name displayed in the Valuation Library. You are encouraged to use a name that will readily allow a colleague or you to understand the underlying nature of the valuation.

Valuation Date is the “as of” date for determining liabilities for plan benefits in the valuation, i.e., the date to which benefit amounts are discounted to determine present values. This date is used with other dates the user specifies to calculate both accrual and eligibility service.

The Plan Definition furnishes the plan benefit provisions to be used to perform the valuation. Select from the library of Plan Definitions unhidden in the current Project or click the image/backdoor_button.gif button to create a new library entry. In the pension modes, if you are processing only inactive records (i.e., records with a status field code mapped to a ProVal inactive status), then you need not create, and select, a Plan Definition. Instead, you may select the “<Inactives only>” option, in which case benefit payments are assumed to be paid monthly at the beginning of each month.

Valuation Assumptions contains two parameters, for specifying Funding and Accounting valuation assumptions (such as interest rate for discounting benefits to the Valuation Date), respectively, to be used to perform the valuation. Clicking the arrow of a parameter’s drop-down list box displays the library of Valuation Assumptions of the specified type unhidden in the current Project. Select the appropriate Valuation Assumptions library entry for the Valuation to be run or click the image/backdoor_button.gif button to create a new library entry. Note that you may specify both funding assumptions and accounting assumptions or you may specify only funding assumptions or only accounting assumptions. You are not required to specify both, but if you specify only accounting assumptions, be sure that your accounting valuation will not need to use values from funding valuation results.

In all modes, if you have selected a set of Valuation Assumptions, you can access the parameters under the Sensitivities button.  You may check to run sensitivities for funding, accounting, or both (note that you can only select to run the funding or accounting sensitivities if the applicable valuation assumptions have been specified). Running sensitivities will produce additional results with the specified value (e.g., 0.01) added and subtracted from the underlying assumptions.  

If you are running sensitivities, you will need to select at least one checkbox under the vary these assumptions parameter.  The following assumptions are available to vary:

The Census Data button accesses parameters to specify the employee/participant census, or demographic, data applicable for the Valuation Date of this Valuation library entry. These parameters are discussed in a following section of this article.

The Individual Results button accesses parameters to specify any record-by-record results that you wish to save to an output file during execution of the Valuation. These parameters are discussed in a following section of this article.

The Sample Lives button accesses parameters for running just a sample number of records through the Valuation command. These parameters are discussed in a following section of this article.

Scaling Factors may be used to adjust the numerical values of results displayed for Valuation output variables. If you wish to adjust or “scale” the results, select from the library of Scaling Factors unhidden in the current Project. Thus you can apply Scaling Factors, for example, to match grouped data to seriatim data, to match your results to those produced by another actuary or under a valuation software other than ProVal, to reflect mid-year data changes, and so forth.

Note: You can change the scaling factors applicable to a Valuation without losing the valuation results, because the scaling factors are not actually applied (and then only optionally) until you view the Valuation output or refer to scaling factors in a Valuation Set. However, if you have already referenced a Valuation in a Valuation Set with a set of scaling factors applied, changing the Scaling Factors selection will cause the Valuation Set to be erased (after you have been warned).

The Run button executes the Valuation. An indication of what steps are being performed (validating input, processing and writing results), as well as percentage complete and elapsed time, will be shown on the screen during execution. You may wish to validate inputs before running. For example, if you are running the Valuation overnight, you can avoid finding, when you come in the next day, that the Valuation either did not run (for example, because some parameter values were missing) or did run but significant data errors made its results unusable. To validate inputs, click the arrow next to the Run button, and then click Validate. ProVal will check to see that all entries are complete and internally consistent; after reviewing the messages, click OK to return to the Valuation dialog box.

When the Valuation is complete, a message will appear indicating how much time it took to run, warning messages will appear, and so forth. These "processing messages" are saved with the valuation results and can be viewed or printed, at a later time, by use of the View button. Click the View button to access the View Output dialog box, in which you can select processing message details and also see, and print, some results contained in pre-designed summaries of the Valuation output. The dialog box’s parameters are discussed in a following section of this article, entitled “Viewing Output”. More extensive and detailed results can be viewed from the Output menu.

If you include more than one Valuation in a Valuation Set, please be sure that the parameter settings are consistent among the Valuations with respect to (in particular): Valuation Date, liability methods (including timing of employee contributions), funding valuation interest rates, accounting valuation interest rates and, in the U.S. qualified pension mode, applicable law. Thus, for example, if you include (pension mode) accounting Valuations with different ABO interest rates or (U.S.) PPA funding Valuations with different valuation interest rates (such as spot rates for one Valuation and segment rates for another one), the Valuation Set run will abort.

 

Census Data

The Census Data dialog box contains parameters to specify the employee/participant census, or demographic, data applicable for the specified Valuation Date of the Valuation and parameters to define calculation of subtotals of results, if desired, for each code value of a coded database field.

Select the appropriate Database File (in the remainder of this article, referred to as the Census Database File) from the list of all database files contained in the current Client. Note that you can enter a Selection Expression (see below) to process a subset of this file, if appropriate.

Select the appropriate Census Specifications from the list of the available Census Specifications library entries in the current Project or click the image/backdoor_button.gif button to create a new library entry.

Check the Use data defaults box to apply any Defaults that you entered under the Data Defaults topic of the Census Specifications command for missing (or, perhaps, “zero-filled”) data to records in the Census Database File. If you included Data Defaults in the Census Specifications referenced by this Valuation but did not check the Use data defaults box, the default values will not be used when the Valuation is run.

You may construct a Selection Expression to select a subset of the records in the Census Database File for processing in the Valuation run. The Selection Expression can be entered directly into the field provided, or you can click the image/selection_expression_button.gif button to select an expression previously defined and stored in the Selection Expression library. Note that the selection expression is evaluated before data defaults are applied, therefore records that meet the expression only after application of data defaults will not be selected.

In the German pension mode, projected benefit payments and associated head counts will not be calculated unless the Calculate projected benefit & headcounts for box is checked; if the box is checked, these output variable values will be calculated for all liability bases. Note that if you do not calculate projected benefits and head counts you free up disk space and decrease the run time of a Valuation. Separate check boxes are available for Tax / Funding versus Accounting, which may be selected, or not selected, independently.

If you wish to capture subtotals of the Valuation results separately for each code of a coded database field, check the box next to the appropriate field name(s) under the Subtotal Fields parameter. Please note that ProVal automatically breaks the results down by status field code, so it is not necessary to select the status field under the Subtotal Fields parameter.

If you have selected a coded field for which you want results subtotaled for each possible code value, then the Projected benefits & headcounts for subtotals parameter becomes accessible. If this parameter is set to Do not calculate, then ProVal will not perform separate calculations, by database field code, of projected benefit payment amounts and associated participant head counts; only the total for all field codes will be produced. This option frees up the most space, for storing results, of the three available options; to use the smallest amount of disk space for Valuation Output variable results, select this option. In all modes except OPEB, you may select the Projected Unit Credit only option, to tell ProVal to produce subtotals by coded field value only on the projected unit credit (or, for accounting runs, PBO) basis. If you want projected benefit payments and associated head counts subtotaled by coded field value on all liability bases, then select the Calculate for all bases option. There are potentially many liability bases upon which benefit payments and counts can be subtotaled and viewed, depending on whether both funding and accounting results will be produced, the ProVal mode of operation and, in the U.S. qualified mode, the applicable law type. Thus this, third, option is the least judicious one for minimizing use of memory or disk space. In the U.S. qualified mode, please note that if the applicable law type is “PPA” or ”Pre-PPA and PPA”, you must select the Calculate for all bases option if you wish ProVal to calculate the effective interest rate by subtotal on coded field. Furthermore, for these law types, if you select either of the other two options, values of projected benefit payment amounts and head counts will not be available by subtotal. Note that projected benefit payment amounts and headcounts by subtotal are not stored in interest sensitivity runs.

 

Individual Results

The Individual Results dialog box contains parameters to specify any record-by-record results that you wish to save to an output file during execution of the Valuation. Please note that Individual Results will apply all data defaults that you entered, for missing data, under the Data Defaults topic of the Census Specifications command, if the Use data defaults box is checked (found behind the Census Data button, as previously discussed).

Check the Save Individual Results box to indicate to save results, on a record by record basis, in a ProVal database file from which you can (later) merge the output values into your ProVal Census Database File. Then the remaining parameters, which provide such information as which output variables to save, become accessible.

Select the Database File Name of the ProVal database file in which you wish to store the individual record results of the Valuation run, or click the New button to create a new database file in which to store the output (referred to in the remainder of this article as the Individual Results output database). Note that you cannot save the results directly in the Census Database File that is accessed to provide the Valuation’s input data values, although you can merge results into the Census Database File afterwards by using the Merge Data command of the Database menu.

Specify the Key field(s) to use in matching records, for example, employee identification number, (U.S.) social security number. Select from the list of database fields (only the fields contained in the Census Database File that has been specified for this Valuation appear in the list). The field(s) should be the key field(s) that you will (later) use to match output file records containing new data (saved, as individual results, from the Valuation run on a record-by-record basis) with the records in the (input) Census Database File. Although it is common to use an employee identification number (or, in the U.S. qualified and U.S. public modes, to use social security number) as a key field, you may select any of the five types of database field. The combination of key field(s) must be unique for all records, that is, no two records should have the same set of key field values (no duplicate keys).

The Match case in key option determines whether ProVal should, for example, treat "a" differently from "A" when these characters are encountered. For case-sensitive treatment, check the box.

Check the Delete all existing records before processing box if the selected Individual Results output database file already contains records with field information and you wish to "wipe the slate clean" and save results to a file without saving existing records or database field values.

The Individual Results parameter lists the output variables selected for saving, on an individual record basis, to the selected Individual Results output database. The List parameter provides the option to display only a subset of the selected output variables. Change the List selection from “All” to one of the other options to contract it to show only variables produced from the funding Valuation run (“Funding”), only variables produced by the accounting Valuation run (“Accounting”) or only the fields contained on the Census Database File selected for this Valuation library entry (“Additional Fields”).

Click the Add/Omit button and then click one of the categories of variables whose output values can be saved to the Individual Results output database:

Selecting one of these categories produces a list of all of the related variables that can be selected to be saved. Each item in the list of variables (under the Select items to include parameter) consists of the variable’s database field name and description. ProVal selects the database field name for those variables that are always included in the selection screen (because they are "standard" output items, for example, cost method liabilities); however, for those variables that are a function of, for example, benefit formulas, the database field name appears as "<none>".

For funding and accounting Individual Results output variables, there are up to six parameters that allow you to expand or contract the list:

1) a check box for selecting benefit details:

2) a check box for selecting Benefit Formula Components: Check the Show benefit formula components box to add a separate output variable for each Benefit Formula Component referenced by the Plan Definition. A separate variable will be added for the current value and all requested projected values of each component.  All component values are on the PVB basis.  Results will be as of valuation anniversaries, regardless of whether assumed decrement timing is beginning or middle of year (and not as of retirement dates in German mode).  In OPEB mode, if both member and spouse payment forms are specified for a Benefit Definition, a separate output variable for the spouse value will be included for each component.  

3) a button for selecting which benefits and components to show on the list. Check either the Show benefit detail box (Show benefit promise detail box in German mode) or the Show benefit formula components box, to make the Benefits & Components... (Benefit Promises & Components... in German mode) button accessible., and click it to enter the Benefits & Components dialog box, which allows you to select the Benefit Definitions (Benefit Promises in German mode) and Benefit Formula Components you would like in the list of output variables.  Reducing the size of this list may make it easier to browse through it and select the desired output. The list of Benefit Formula Components is adjusted automatically to show only components referenced by the Benefit Definitions included in the Plan Definition.  In certain cases, a "benefit definition type" will be included in the list under Select benefits for detailed output when no individual results output is directly available but underlying Benefit Formula Component detail is available.  These special types are Contribution Policy Data (listed with the prefix "Fdg"), in all modes except OPEB and German, Insurance Reserves (listed with the prefix "Ins") in universal mode, and, in OPEB mode, Lifetime and Annual Limits.       

4) a drop-down list box for selecting the types of output variables to display in the list. Change the List selection from “All” to one of the other options to contract it to show, for example, just “Normal Costs” (that is, no actuarial accrued liability, no present values, no demographic items and no information about benefits). The options that omit some output variables from display are:

5) in all modes other than OPEB and German pension, when the List setting is “All”, “Demographic & Benefit Information” or “Projected Benefits”, a text box for specifying participant decrement ages for which you wish to save projected benefit values. Select the Ages radio button to save Individual Results output variable values for benefits projected to particular decrement ages and enter the ages for which you wish to save projected benefit amounts (e.g., “55 - 60, 65”). (Note that the Ages parameter has no impact when the List setting is “Demographic & Benefit Information”, because projected benefit output variables do not appear in this list and you may not select expected benefit payments by decrement age.)

​6) for some List settings, a text box for specifying (1) decrement years for which you wish to save projected benefits and/or (2) payment years for expected benefit payment amounts:

Note that, in OPEB mode, much of the demographic information pertains to both the member and spouse. Therefore, for example, the value of the total life expectancy output variable is an average of the member and spouse life expectancies (as of the valuation date).

For the record's status field code, there are two demographic variables, zNSTC and zNSTC_actg, for funding and accounting results, respectively.  If these variables are selected, the contents of the Output database field will be based on the ProVal status code mapping, as follows:

retired  4
vested  6
disabled  8
survivor 10 
non-participating 12 
vested valued as active  13 

Similarly, for the record's sex field, there are two demographic variables, zSEX and zSEX_actg. These variables have codes of 1 for males and 2 for females, unless a numeric field (containing the percentage of the record that is male) was selected in the Census Specifications to indicate the record's sex.

If the plan contains any termination benefits commencing "at post-termination retirement age", there is a field available to specify the Post-termination retirement age. This will be used as the retirement age when determining any accrued or projected benefit amounts for these benefits.
   
Select a variable to save by checking the box next to its name and/or description. Click OK to return to the Individual Results dialog box, where the selected variables now appear in the Individual results list.

Some variables do not have field names determined by ProVal (the field name appears as "<none>"). Others may have names that you prefer to change. To assign or specify field names for the display of Individual Results output variables contained in the Individual Results Output database file, click the Field Names button. ProVal displays all of the Funding and Accounting variables selected to be saved as individual results (i.e., on a record-by-record basis). (You may not edit names of any Additional Fields selected from the Census Database File, which fields will retain, in the Individual Results output database File, the names they have in the Census Database File.)  Double-click the row (or select the row and click the Edit button) containing the output variable you wish to name or rename. In the ensuing dialog box, if the output variable already has a name, that name will be shown in the text field for the New field name parameter. If the variable does not yet have a name (i.e., “<none>” was shown in the list), the text field for the New field name parameter will be blank. You may specify a New field name (and ProVal will create a new database field for this output variable when the Valuation is run) or you may pick the name of a Database field that already exists in the Data Dictionary. If you provide a new field name, you may also edit the suggested field Description (optional phrase that describes the contents of this field) and Column title (to be used for display of the field value in a table or list) and/or change the Formatting style, which sets the field width, number of decimal places and presence of dollar signs and/or commas for display purposes only. (Note: the data is stored to full precision regardless of the formatting style.) Click OK to return to the Edit Field Names dialog box, where the specified field names and descriptions now appear in the list of output variables. Click OK again to return to the Individual Results dialog box, whose list of selected Individual results output variables is now modified by your field name and field description specifications.

In the pension modes other than German, the Projected Benefits button allows you to modify Individual Results output for projected benefit amounts, i.e., the amount produced by the benefit formulas of the Benefit Definitions selected for saving individual record results (e.g., age 65 Projected Benefit for the retirement benefit). You may tell ProVal to Report projected benefits as of Nearest ages (on a valuation date) – that is, for all anniversaries of the valuation date, associate the benefit with the age on the birthday nearest the valuation date (this is the methodology used in the Valuation run to produce total plan liabilities for all members) – or Report projected benefits as of Exact ages (interpolating between two valuation dates) – that is, interpolate the projected benefit values as of the valuation date anniversaries preceding and following the exact birthday. ProVal computes and saves projected benefits without regard to eligibility. Therefore, check the Zero out projected benefits if ineligible box if you wish to save a zero benefit value for any decrement ages for which the participant is ineligible for the benefit. If you have selected a Largest projected benefit output variable, then list (separated by a single blank space) the Ages to consider for largest projected benefits, that is, the ages to consider in the comparison of projected benefits to find the one with the largest value. For example, if you assume 100% retirement at age 70 but list just ages 60 and 65, then ProVal will consider only those two ages, and not consider the age 70 benefit.

A check in the Save valuation assumption sensitivity results box will write the results of the +% / -% sensitivity runs to the individual results output database file using the parameters specified for the baseline results. Enter suffixes in the Append suffix to +% field names (e.g., _HiPct) and Append suffix to -% field names (e.g., _LoPct) boxes for ProVal to append to the specified field names to indicate that the result is from a sensitivity run (rather than the baseline run). These individual results will be produced only if applicable (i.e., if at least one sensitivity was selected behind the Sensitivity button of the Valuation).

 

Sample Lives

Sample lives are a useful means of checking the accuracy of your Valuation inputs prior to running a Valuation on the entire census database. It is recommended that you run sample lives and view the results either prior to, or in conjunction with, the “full” Valuation run on the entire census.

The Sample Lives dialog box contains parameters for running just a sample number of records through the Valuation command. You construct a Selection Expression (applied after census expression), e.g., RecID = 10, that selects the records in the database file to be used in the sample life analysis and choose whether to run a record through either a funding valuation (a Funding sample life run) or through an accounting valuation (an Accounting sample life run), based on the Valuation Assumptions entries already specified. The Selection Expression picks out the subset of the records in the selected database file to process as sample lives in the Valuation. The Selection Expression can be entered directly or you can click the image/selection_expression_button.gif button to select an expression previously defined and stored in the Selection Expression library. In addition, you may change the maximum number of sample lives to be processed (“Process no more than 20 selected records”), up to 20. This feature allows you to use the selection expression to choose the general type of participant you want to study (e.g., Location = 3), and then automatically limit the number selected to 1 or more. If you enter, for example, “10”, ProVal will select the first 10 records that meet the criteria of the Selection Expression. Note that if the Selection Expression is blank, the Sample Life command will operate on all records in the selected database, up to the maximum number specified for processing. A Valuation will be run, using just the selected records. Note that you have a choice of either a Funding sample life or an Accounting sample life unless one of these options is inaccessible (because the type of valuation assumptions needed to process the life is not specified in the Valuation dialog box).

If you have selected a set of Valuation Assumptions and selected at least one sensitivity under the Sensitivities button of the Valuation, the Run valuation sensitivity of box will be accessible. Check this box and select a radio button, either + or – , to tell ProVal to produce sample life results after applying the selected sensitivity.

In OPEB mode, a Lifetime and Annual Limits report may be selected. Detail is currently available only for medical spending accounts, provided that the limit applies to:

If a lifetime or annual limit applies to more than one benefit, please note when checking application of lifetime and annual limits to coverage amounts (displayed in the benefit's Payment Form Value report) that ProVal will not split the limit among the benefits if there are ages at which the sample life is ineligible for at least one of those benefits.  

In all modes, the Decrements report shows valuation assumption decrement rates (retirement, termination, death and disability) beginning at the assumed hire age and continuing through the age at which the retirement rate becomes 100%.  If, for some contingency, decrement rates vary by service as of the decrement date and the service used for rate table lookup is not set to "<rounded attained age - rounded hire age>", an additional column displays the service used for that contingency.

To process the chosen sample lives, click the Run button. The first output screen you see will indicate the elapsed time, whether input validation resulted in any errors or warnings and what data, if any, was defaulted. You may chose to Print this screen before clicking OK, to view the results / output of the sample life run.

The pane on the left side of the screen displays a “tree”, which contains report labels and folders that contain more report labels. Click a folder’s plus symbol (“+”) to expand it or click a report label to display the report on the screen’s right side. Use the Up (↑) and Down (↓) arrow keys to move through the tree. Use the Right (→) and Left (←) arrow keys to expand and collapse individual folders. A right-click on the tree brings up a menu with “Expand All” and “Collapse All” choices.

  

Note: The pane on the left side might not display all of the Benefit Definitions included in your Plan Definition. If all sample lives run are ineligible for a benefit because they do not meet the eligibility criteria of a Selection Expression (see Eligibility Requirements for the pension modes or Active Eligibility for OPEB mode), the Benefit Definition will not appear in the pane. Likewise, if a Benefit Definition is unchecked behind the Benefits button at the top of the screen (see snapshot above), it will not be listed in the pane. Lastly, if a Benefit Definition has not been included in vested liability (pension modes except German and U.K.), the Benefit Definition will not be listed in the pane for vested liability sample life reports.

This screen allows you to:

If you choose any of the tables that are available “by benefit”, the Benefits button at the top of the screen will be accessible, so that you can choose one or more of the plan benefits for the detailed output. In OPEB mode, for both active and inactive sample lives, this button accesses the Benefits dialog box, in which you select the Benefit Definitions and components for which you wish to see output and details, as well as select decrement ages for some reports for which this is relevant (for example, the Payment Form Value report). In the pension modes, this button provides two commands: Active Benefits and Inactive Benefits. If any active sample lives, or (except in German and U.K. modes) sample lives with a “Vested valued through active” status, have been run, clicking the Active Benefits command leads to the Active Benefits dialog box, in which you can select the Benefit Definitions and components for which you wish to see output and details, as well as select decrement ages for some reports. If any inactive sample lives, such as retired lives or lives with a “traditional” vested status, have been run, clicking the Inactive Benefits command leads to the Inactive Benefits dialog box, in which you can select the Inactive Benefits for which you wish to see output and details.

After reviewing the output, you can exit sample life processing by clicking the Close button of the Sample Life Output screen and then the Exit button of the Sample Lives dialog box. If you later return, your settings behind the Benefits button will remain.

 

Viewing Output

The View button displays summary output, along with inputs and processing messages. Click the Options button to:

Alternatively, you can create customized output by using the Output pane (on the right side of ProVal’s main window).