Abstract
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 language | English (US) |
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Pages (from-to) | 1066-1078 |
Number of pages | 13 |
Journal | Operations Research |
Volume | 56 |
Issue number | 5 |
DOIs | |
State | Published - Sep 2008 |
All Science Journal Classification (ASJC) codes
- Computer Science Applications
- Management Science and Operations Research