A Defined Benefit Pension Fund ALM Model through Multistage Stochastic Programming
Publish Year: 1396
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_IJFMA-2-7_001
تاریخ نمایه سازی: 13 آذر 1400
Abstract:
We consider an asset-liability management (ALM) problem for a defined benefit pension fund (PF). The PF manager is assumed to follow a maximal fund valuation problem facing an extended set of risk factors: due to the longevity of the PF members, the inflation affecting salaries in real terms and future incomes, interest rates and market factors affecting jointly the PF liability and asset portfolio. The problem is formulated as a stochastic programming problem in discrete time and with a discrete set of relevant future economic and demographic scenarios. In real world applications, this class of decision problems under uncertainty leads to very large scale and complex management problems, due to pending regulatory constraints and the need to preserve the PF funding conditions. Dynamic stochastic programming is shown under such conditions to provide a natural and effective mathematical and numerical approach.
Keywords:
Pension fund asset-liability management , dynamic stochastic programming , defined benefit obligation , longevity , funding ratio
Authors
Davide Lauria
Department of Management, Economics and Quantitative Methods University of Bergamo, Italy
Giorgio Consigli
Department of Management, Economics and Quantitative Methods University of Bergamo, Italy (Corresponding author)
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