EconPapers    
Economics at your fingertips  
 

Robust Approaches to Pension Fund Asset Liability Management Under Uncertainty

Dessislava Pachamanova (), Nalan Gülpınar () and Ethem Çanakoğlu ()
Additional contact information
Dessislava Pachamanova: Babson College
Nalan Gülpınar: University of Warwick
Ethem Çanakoğlu: Bahcesehir University

Chapter Chapter 4 in Optimal Financial Decision Making under Uncertainty, 2017, pp 89-119 from Springer

Abstract: 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.

Keywords: Asset-liability management; Uncertainty; Stochastic programming; Robust optimization; Asymmetry (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-3-319-41613-7_4

Ordering information: This item can be ordered from
http://www.springer.com/9783319416137

DOI: 10.1007/978-3-319-41613-7_4

Access Statistics for this chapter

More chapters in International Series in Operations Research & Management Science from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2025-04-01
Handle: RePEc:spr:isochp:978-3-319-41613-7_4