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@techreport{NBERw21276,
 title = "Discounting Pension Liabilities: Funding versus Value",
 author = "Brown, Jeffrey R and Pennacchi, George G",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "21276",
 year = "2015",
 month = "June",
 doi = {10.3386/w21276},
 URL = "http://www.nber.org/papers/w21276",
 abstract = {We argue that the appropriate discount rate for pension liabilities depends on the objective. In particular, if the objective is to measure pension under- or over- funding, a default-free discount rate should always be used, even if the liabilities are themselves not default-free.  If, instead, the objective is to determine the market value of pension benefits, then it is appropriate that discount rates incorporate default risk.  We also discuss the choice of a default-free discount rate.  Finally, we show how cost-of-living adjustments (COLAs) that are common in public pensions can be accounted for and valued in this framework.},
}