[en] ON THE ASSET AND LIABILITY MANAGEMENT FOR PENSION FUNDS: A MULTISTAGE STOCHASTIC PROGRAMMING MODEL AND A EQUILIBRIUM RISK MEASURING METHOD

[pt] ALVARO DE LIMA VEIGA FILHO

[pt] DAVI MICHEL VALLADAO

[en] PENSION FUNDS

[en] SOLVENCY RISK

[en] STOCHASTIC PROGRAMMING

[en] This paper proposes an Asset and Liability Management (ALM) for pension funds via multistage stochastic programming and an equilibrium risk measuring method. The ALM of a pension fund consists in finding the optimal investment policy given the stochastic nature of the asset returns and the liability cash flows. Since it refers to a dynamic portfolio, the most suitable approach would be a multistage stochastic programming model. However, computational restrictions don’t allow covering the entire pension fund’s planning horizon. Thus, several articles in literature have proposed an arbitrary fixed capital requirement obtained independently on the investment policy adopted to approximate the effects of the non-considered periods. Whereas the fund’s actual opportunity cost, we propose a method for measuring and controlling the equilibrium risk which bootstraps the portfolio return scenarios embedded in the optimal solution in order to approximate the liability discount rate distribution for the periods beyond the considered planning horizon.

2010-02-01

[pt] TEXTO

application/pdf

INGLÊS

https://www.maxwell.vrac.puc-rio.br/colecao.php?strSecao=resultado&nrSeq=15105@2