Asset liability management for defined-benefit pension funds: a dynamic model to jointly manage contributions and investments
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Zürich
ECOFIN Research and Consulting
2001
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Zugl.: Zürich, Univ., Diss., 2000 |
| Physical Description: | III, 125 S. graph. Darst. |
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MARC
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| 245 | 1 | 0 | |a Asset liability management for defined-benefit pension funds |b a dynamic model to jointly manage contributions and investments |c Andreas Reichlin |
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Record in the Search Index
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| adam_text | Contents
1 Introduction 1
1.1 Problem Description 1
1.2 Outline 4
2 Asset Liability Management for Defined Benefit Pension Funds:
An Economic Analysis 7
2.1 Introduction 7
2.2 Characteristics of Defined Benefit Pension Funds 8
2.2.1 Institutional Features 8
2.2.2 Determinants of Assets and Liabilities 10
2.2.3 Ownership of Surplus and Responsibility to Eliminate a Deficit ... 13
2.3 Key Elements of Asset Liability Management 14
2.3.1 Choice of Objectives 14
2.3.2 Asset Liability Management Instruments 17
2.3.2.1 Contribution Policy 17
2.3.2.2 Investment Policy 19
2.3.2.3 Benefit Policy 19
2.3.3 Regulatory Requirements 20
2.4 Analysis of Asset Liability Management Instruments 22
2.4.1 Introduction: A General Asset Liability Management Model .... 22
2.4.2 Fixed versus Flexible Contributions 24
2.4.3 Simultaneous Management of Contributions and Investments .... 24
2.4.4 Indexation of Retirement Benefits 25
2.4.5 Management of the Funding Level 26
3 Asset Liability Management Models: Static and Dynamic
Modeling Approaches 27
3.1 Introduction 27
3.2 Static and Dynamic Modeling: General Aspects 27
i
jj Contents
3.3 Static Asset Liability Management Models 32
3.3.1 Mean Variance Surplus Optimization Models 34
3.3.2 Surplus Optimization Models with Shortfall Constraints 36
3.3.3 Static Multiperiod Asset Liability Management Models 37
3.4 Dynamic Asset Liability Management Models 38
3.4.1 Discrete Time Stochastic Programming Models 38
3.4.2 Continuous Time Stochastic Optimal Control Models 40
3.5 Static versus Dynamic Asset Liability Management Models 43
4 A Dynamic Economic Model for the Asset Liability Man¬
agement of Defined Benefit Pension Funds 45
4.1 Introduction 45
4.2 Fixed versus Flexible Contributions 47
4.2.1 The Model 47
4.2.2 Analysis 49
4.2.3 Results 53
4.3 Simultaneous Management of Contributions and Investments 55
4.3.1 Objective Function: Minimization of the Contribution and the
Solvency Risk 56
4.3.1.1 The Model 56
4.3.1.2 Analysis 59
4.3.1.3 Results 62
4.3.2 Objective Function: Maximization of the Expected Surplus 67
4.3.2.1 The Model 67
4.3.2.2 Analysis 71
4.3.2.3 Results 76
4.4 Indexation of Retirement Benefits 85
4.4.1 The Model 85
4.4.2 Analysis 87
4.4.3 Results 89
4.5 Management of the Funding Level 96
4.5.1 The Model 96
4.5.2 Exogenous Minimum and Maximum Funding Limits 98
4.5.3 A Single Exogenous Minimum Funding Limit I 2
4.5.4 Optimal Management of the Funding Level: Endogenous Fund¬
ing Limits 104
Contents iii
5 Conclusions 107
A Dynamic Programming Ill
Bibliography 116
List of Figures 122
List of Tables 124
|
| any_adam_object | 1 |
| author | Reichlin, Andreas |
| author_facet | Reichlin, Andreas |
| author_role | aut |
| author_sort | Reichlin, Andreas |
| author_variant | a r ar |
| building | Verbundindex |
| bvnumber | BV014237049 |
| classification_rvk | QK 550 |
| ctrlnum | (OCoLC)237539989 (DE-599)BVBBV014237049 |
| discipline | Wirtschaftswissenschaften |
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| indexdate | 2024-07-09T19:00:07Z |
| institution | BVB |
| language | English |
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| physical | III, 125 S. graph. Darst. |
| publishDate | 2001 |
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| spelling | Reichlin, Andreas Verfasser aut Asset liability management for defined-benefit pension funds a dynamic model to jointly manage contributions and investments Andreas Reichlin Zürich ECOFIN Research and Consulting 2001 III, 125 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Zugl.: Zürich, Univ., Diss., 2000 Pensionsrückstellung (DE-588)4075977-5 gnd rswk-swf Bilanzstrukturmanagement (DE-588)4413520-8 gnd rswk-swf Pensionskasse (DE-588)4045107-0 gnd rswk-swf Finanzmanagement (DE-588)4139075-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Pensionsrückstellung (DE-588)4075977-5 s Finanzmanagement (DE-588)4139075-1 s DE-604 Pensionskasse (DE-588)4045107-0 s Bilanzstrukturmanagement (DE-588)4413520-8 s 1\p DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009760563&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Reichlin, Andreas Asset liability management for defined-benefit pension funds a dynamic model to jointly manage contributions and investments Pensionsrückstellung (DE-588)4075977-5 gnd Bilanzstrukturmanagement (DE-588)4413520-8 gnd Pensionskasse (DE-588)4045107-0 gnd Finanzmanagement (DE-588)4139075-1 gnd |
| subject_GND | (DE-588)4075977-5 (DE-588)4413520-8 (DE-588)4045107-0 (DE-588)4139075-1 (DE-588)4113937-9 |
| title | Asset liability management for defined-benefit pension funds a dynamic model to jointly manage contributions and investments |
| title_auth | Asset liability management for defined-benefit pension funds a dynamic model to jointly manage contributions and investments |
| title_exact_search | Asset liability management for defined-benefit pension funds a dynamic model to jointly manage contributions and investments |
| title_full | Asset liability management for defined-benefit pension funds a dynamic model to jointly manage contributions and investments Andreas Reichlin |
| title_fullStr | Asset liability management for defined-benefit pension funds a dynamic model to jointly manage contributions and investments Andreas Reichlin |
| title_full_unstemmed | Asset liability management for defined-benefit pension funds a dynamic model to jointly manage contributions and investments Andreas Reichlin |
| title_short | Asset liability management for defined-benefit pension funds |
| title_sort | asset liability management for defined benefit pension funds a dynamic model to jointly manage contributions and investments |
| title_sub | a dynamic model to jointly manage contributions and investments |
| topic | Pensionsrückstellung (DE-588)4075977-5 gnd Bilanzstrukturmanagement (DE-588)4413520-8 gnd Pensionskasse (DE-588)4045107-0 gnd Finanzmanagement (DE-588)4139075-1 gnd |
| topic_facet | Pensionsrückstellung Bilanzstrukturmanagement Pensionskasse Finanzmanagement Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009760563&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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