I've done some more on this and the leak only occurs if a virtual member function is declared in the base class. It doesn't matter if the function is pure virtual or concrete, and whether or not BOOST_SERIALIZATION_ASSUME_ABSTRACT is used. Turning off both virtual base class member functions removes the leak.

At this stage I think it must be a bug - should I form a tracker for it? Or am I not understanding something?

Here is a minimal program to replicate the leak (using VS2010, boost 1.47).

#include <boost/archive/xml_iarchive.hpp>
#include <boost/archive/xml_oarchive.hpp>
#include <boost/serialization/vector.hpp>
#include <boost/serialization/export.hpp>
#include <boost/serialization/shared_ptr.hpp>
#include <boost/shared_ptr.hpp>
#include <boost/make_shared.hpp>
#include <iostream>
#include <fstream>
#include <crtdbg.h>

class Distribution
{
public:
    Distribution(void) {};
    ~Distribution(void) {};
    // turn on either to get memory leak
    virtual int getType() = 0;
    //virtual int getType() {return 1;};

private:
    friend class boost::serialization::access;
    template<class Archive>
    void serialize(Archive& ar, const unsigned int version) {};
};
typedef boost::shared_ptr<Distribution> DistributionPtr;
BOOST_SERIALIZATION_ASSUME_ABSTRACT(Distribution)

class ContinuousDist :    public Distribution
{
public:
    ContinuousDist(){};
    ~ContinuousDist(void) {};
    virtual int getType() {return 1;};

private:
    friend class boost::serialization::access;
    template<class Archive>
    void serialize(Archive& ar, const unsigned int version)
    { ar & BOOST_SERIALIZATION_BASE_OBJECT_NVP(Distribution); };
};
BOOST_CLASS_EXPORT(ContinuousDist);

class DiscreteDist : public Distribution
{
public:
    DiscreteDist(void)
    {
        m_Data.push_back(4.0);
        m_Data.push_back(8.0);
    };
    ~DiscreteDist(void){};
    virtual int getType() {return 2;};

private:
    std::vector<double> m_Data;

    friend class boost::serialization::access;
    template<class Archive>
    void serialize(Archive& ar, const unsigned int version)
    {
        ar    & BOOST_SERIALIZATION_BASE_OBJECT_NVP(Distribution)
            & BOOST_SERIALIZATION_NVP(m_Data);
    };
};
BOOST_CLASS_EXPORT(DiscreteDist);

class Parameter
{
public:
    Parameter(){};
    Parameter(int type)
    {
        if(type == 1)
            m_pDist = boost::make_shared<DiscreteDist>();
        else
            m_pDist = boost::make_shared<ContinuousDist>();
    };
    ~Parameter(void){};

private:
    DistributionPtr m_pDist;

    friend class boost::serialization::access;
    template<class Archive>
    void serialize(Archive& ar, const unsigned int version)
    { ar & BOOST_SERIALIZATION_NVP(m_pDist); };
};
typedef boost::shared_ptr<Parameter> ParameterPtr;

void load(std::vector<ParameterPtr>& vP, std::string file)
{
    std::ifstream ifs(file.c_str());
    boost::archive::xml_iarchive ia(ifs);
    ia >> BOOST_SERIALIZATION_NVP(vP);
}

void save(std::vector<ParameterPtr>& vP, std::string file)
{
    std::ofstream ofs(file.c_str());
    boost::archive::xml_oarchive oa(ofs);
    oa << BOOST_SERIALIZATION_NVP(vP);
}

int main()
{
    _CrtSetDbgFlag ( _CRTDBG_ALLOC_MEM_DF | _CRTDBG_LEAK_CHECK_DF );

    // the file to read/save from/to
    std::string file = "archive.xml";

    // make some Parmeters
    std::vector<ParameterPtr> vParam;
    vParam.push_back( boost::make_shared<Parameter>(1) ); 
    vParam.push_back( boost::make_shared<Parameter>(2) );
   
    // save the file
    std::cout << "Writing..." << std::endl;
    save(vParam,file);

    // clear it
    vParam.clear();
   
    // read the file
    std::cout << "Reading..." << std::endl;
    load(vParam,file);

    return 0;
}