Assisting defined-benefit pension plans

John M. Mulvey, Koray D. Simsek, Zhuojuan Zhang, Frank J. Fabozzi, William R. Pauling

Research output: Contribution to journalArticlepeer-review

29 Scopus citations


The defined-benefit pension system poses substantial, long-term risks for the U.S. economy. We describe a flexible assetliability 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 profitable 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.

Original languageEnglish (US)
Pages (from-to)1066-1078
Number of pages13
JournalOperations Research
Issue number5
StatePublished - Sep 2008

All Science Journal Classification (ASJC) codes

  • Computer Science Applications
  • Management Science and Operations Research


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