Assisting Defined-Benefit Pension Plans
成果类型：
Article
署名作者：
Mulvey, John M.; Simsek, Koray D.; Zhang, Zhuojuan; Fabozzi, Frank J.; Pauling, William R.
署名单位：
Princeton University; Sabanci University; Yale University
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.1080.0526
发表日期：
2008
页码：
1066-1078
关键词：
摘要：
The defined-benefit pension system poses substantial, long-term risks for the U.S. economy. We describe a flexible asset-liability management (ALM) system for pension planning. The primary goals are to improve the performance and survivability of the pension trust. We first employ a stochastic program for enhancing investment strategies in light of company and other goals and pension risk constraints. The results are linked with a policy simulator for further analysis. We illustrate the concepts via two disparate real-world companies. The first is a slowly growing auto company, and the second a pro. table pharmaceutical enterprise. We show that a stochastic program can help in the process of discovering sound policy rules. The ALM system has been employed extensively throughout the world by a large global actuarial firm.