Asset Liability Management for the Bank of Uganda Defined Benefits Scheme by Stochastic Programming

• Autorzy: Herbert Mukalazi , Torbjörn Larsson , Juma Kasozi , Fred Mayambala
• Języki publikacji: EN

Abstrakty

EN

We develop a model for asset liability management of pension funds, which is solved by stochastic programming techniques. Using data provided by the Bank of Uganda Defined Benefits Scheme, which is closed to new members, we obtain the optimal investment policies. Randomly sampled scenario trees using the mean and covariance structure of the return distribution are used for generating the coefficients of the stochastic program. Liabilities are modelled by remaining years of life expectancy and guaranteed period for monthly pension. We obtain the funding situation of the scheme at each stage, and the terminal cash injection by the sponsor required to meet all future benefit payments, in absence of contributing members. (original abstract)

Słowa kluczowe

EN

Finance; Asset management; Liabilities; Pension funds; Stochastic programming

PL

Finanse; Zarządzanie aktywami; Pasywa; Fundusze emerytalne; Programowanie stochastyczne

• Czasopismo: Operations Research and Decisions
• Rocznik: 2022
• Tom: 32
• Numer: nr 2
• Strony: 105--124

Twórcy

autor

Herbert Mukalazi

• Makerere University, Uganda

autor

Torbjörn Larsson

• Linköping University, Sweden

autor

Juma Kasozi

• Makerere University, Uganda

autor

Fred Mayambala

• Makerere University, Uganda

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Identyfikatory

DOI

10.37190/ord220207