The CVaR Constrained Stochastic Programming ALM Model for Defined Benefit Pension Funds

摘要：

In this paper,a model for finding optimal contribution rates and portfolio allocations takes into account the funding situation of the fund.Using the CVaR risk measure,the model can be solved with dynamic stochastic programming techniques.Our model improves Kouwenberg’s and Bogentoft’s dynamic stochastic programming ALM model.And by adding CVaR constraints and considering the real situation of pension funds in China,we ultimately construct a new ALM model on DB enterprise pension funds.We build two models according to two different periods within the initial time and the stable period of pension funds,and through optimization methods,to analyze the optimal investment strategy,and obtain some useful conclusions.

关键词： Stochastic programming Asset-liability management CVaR DB enterprise pension funds Scenario generation.

作者: Man-Ying Bai Jie Ma

作者单位: School of Economics and Management,Beijing University of Astronautics and Aeronautics,100083,No.37,X School of Economics and Management,Beijing University of Astronautics and Aeronautics,Beijing,People

会议类型: 国际会议

会议名称: International Conference on Modelling,Identification and Control(模拟、鉴定、控制国际会议)

会议地点: 上海

会议语种:英文

在线出版日期: 2008-06-29（万方平台首次上网日期，不代表论文的发表时间）