Please could someone explain me how under US GAAP a higher expected return result in a higher pension cost recognized in OCI (as an actuarial loss).
First, the difference between the actual return and the expected return is not an actuarial gain or loss. It’s treated in the same manner as actuarial gains/losses, but it’s categorized differently.
Second, the higher the expected return, the lower (possibly more negative) the difference between the actual return and the expected return. That lower difference will decrease the pension cost recognized in OCI, not increase it.