Performance enhancements for defined benefit pension plans

John Michael Mulvey, Thomas Bauerfeind, Koray D. Simsek, Mehmet T. Vural

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

Over the next several decades, traditional corporate and government pension plans will encounter increasingly severe problems in many countries. Contributing factors include underfunding status, demographic trends, low savings rates, and inefficient investment/saving strategies. This chapter takes up the last point, showing that a systematic forward-looking asset–liability management model can improve performance across many reward and risk measures. The model takes the form of a multi-stage stochastic program. We approximate the stochastic program via a set of state-dependent policy rules. A duration-enhancing overlay rule improves performance during economic contractions. The methodology is evaluated via historical backtests and a highly flexible, forward-looking financial planning tool.

Original languageEnglish (US)
Title of host publicationInternational Series in Operations Research and Management Science
PublisherSpringer New York LLC
Pages43-71
Number of pages29
DOIs
StatePublished - Jan 1 2011

Publication series

NameInternational Series in Operations Research and Management Science
Volume163
ISSN (Print)0884-8289

All Science Journal Classification (ASJC) codes

  • Software
  • Computer Science Applications
  • Strategy and Management
  • Management Science and Operations Research
  • Applied Mathematics

Fingerprint Dive into the research topics of 'Performance enhancements for defined benefit pension plans'. Together they form a unique fingerprint.

Cite this