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Robust approaches to pension fund asset liability management under uncertainty
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Pachamanova, Dessislava , Gulpinar, Nalan and Çanakoğlu, Ethem (2016) Robust approaches to pension fund asset liability management under uncertainty. In: Consigli , Giorgio and Kuhn , Daniel and Brandimarte , Paolo , (eds.) Optimal Financial Decision Making under Uncertainty. International Series in Operations Research & Management Science, 245 . Springer, pp. 89-119. ISBN 9783319416113
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Official URL: http://dx.doi.org/10.1007/978-3-319-41613-7_4
Abstract
This entry considers the problem of a typical pension fund that collects premiums from sponsors or employees and is liable for fixed payments to its customers after retirement. The fund manager’s goal is to determine an investment strategy so that the fund can cover its liabilities while minimizing contributions from its sponsors and maximizing the value of its assets. We develop robust optimization and scenario-based stochastic programming approaches for optimal asset-liability management, taking into consideration the uncertainty in asset returns and future liabilities. Our focus is on computational tractability and ease of implementation under conditions typically encountered in practice, such as asymmetries in the distributions of asset returns. Computational results from tests with real and generated data are presented to illustrate the performance of these models.
| Item Type: | Book Item | ||||
|---|---|---|---|---|---|
| Divisions: | Faculty of Social Sciences > Warwick Business School > Operational Research & Management Sciences Faculty of Social Sciences > Warwick Business School |
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| Series Name: | International Series in Operations Research & Management Science | ||||
| Publisher: | Springer | ||||
| ISBN: | 9783319416113 | ||||
| Book Title: | Optimal Financial Decision Making under Uncertainty | ||||
| Editor: | Consigli , Giorgio and Kuhn , Daniel and Brandimarte , Paolo | ||||
| Official Date: | 18 October 2016 | ||||
| Dates: |
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| Volume: | 245 | ||||
| Page Range: | pp. 89-119 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published |
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