[discount_rates_problem] [base_data]

For UK alone, I have looked at 2 different financial statistics series, covering all-share equities and long conventional gilts (index-linked gilts now excluded). Each had a return over 1 year and a yield, making 4 so far. There are also 2 inflation series, over 1 year and over 15 years, making 6 in all. As RPI has a longer true data series than for CPI or CPIH, I have stuck with RPI.

For previous sums, until end-2019, I used 6 different experiences, since whittled down to 4. The financials have been modelled annually from end-1953 until end-2022 (“end-2014” was used for my original 2017 DWP submission). I have then split the data between end-1953 until end-1984 (“early”) and end-1985 until end-2022 (“later”), taking account of when index-linked gilts became a more mature market. The base data used are summarised for means and standard deviations.

So the first 3 experiences are “whole” (1953-2022),  “early” (1953-1984) and “later” (1985-2022). For each of those periods, the random values have been adjusted to have the same mean and standard deviation as the base data. The fourth experience (“blend”) has been compiled using probabilities of 80% in “later” and 20% in “early”, with no adjustments to mean or standard deviation.