- Tytuł:
- Asset liability management for the Bank of Uganda defined benefits scheme by stochastic programming
- Autorzy:
-
Mukalazi, Herbert
Larsson, Torbjörn
Kasozi, Juma
Mayambala, Fred - Powiązania:
- https://bibliotekanauki.pl/articles/2175841.pdf
- Data publikacji:
- 2022
- Wydawca:
- Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
- Tematy:
-
closed scheme
finance
asset liability management
scenario generation
stochastic programming - Opis:
- We develop a model for asset liability management of pension funds, which is solved by stochastic programming techniques. Using data provided by the Bank of Uganda Defined Benefits Scheme, which is closed to new members, we obtain the optimal investment policies. Randomly sampled scenario trees using the mean and covariance structure of the return distribution are used for generating the coefficients of the stochastic program. Liabilities are modelled by remaining years of life expectancy and guaranteed period for monthly pension. We obtain the funding situation of the scheme at each stage, and the terminal cash injection by the sponsor required to meet all future benefit payments, in absence of contributing members.
- Źródło:
-
Operations Research and Decisions; 2022, 32, 2; 105--124
2081-8858
2391-6060 - Pojawia się w:
- Operations Research and Decisions
- Dostawca treści:
- Biblioteka Nauki
Artykuł