The Dynamic Asset/Liability Management Model And Analysis On Pension Fund

It still leave a long way to offset the payment gap of annuities under the force of the aging populationg.So it is of great importance to manage the annuities to carry out its promises.The problem faced by fund managers is that the payment of annuities in the future is adjusted with the pay alteration of the whole society.Due to the uncertainty of future economic environment, various assets investment yield,wage change and the payment of pension fund are uncertain. Stochastic asset & liability management model is in considering the future environment of uncertainty, identified to meet the liabilities of these pension funds to pay the minimum payment level and the structure of pension fund investment.Many researches don't consider the uncertainty of future economic environment.Based on the model of asset & liability management,some improvements on the subject constraints of this model are made by the actual information of our country,and then a dynamic stochastic programming model suit to the domestic circumstances is developed.Moreover,under the domestic pension funds management background,assets investment yield,increase of wage and the payment of pension fund are regarded as random variables,After the generation of two-stage scenarios tree by the method of the combination of VAR and clustering analysis,which includes interest rate,yield of treasury,increase of stock index and increase of wage,we estimate the debt and payout of pension fund in the two-stage.After these,we apply the dynamic stochastic programming model to the asset & liability management,then we obtain the optimization solution to the investment of pension fund in the two-stage.Because the uncertainty of these indicators are considered,the asset & liability management of future pension fund can be more realistic. And it also indicate that it's possible to increase the yield of pension fund,to decrease the expenditure rate of people who joined in the social insurance,to find the optimization strategy suited to China's pension fund,which would give a stable social insurance to all of the retired, and make social pension insurance to really become the community's strong support to their retirement.There are three parts in this dissertation:Section 1,Analysis of pension fund;Section 2, Technology Theory and Methods of asset and liability management for pension fund;Section 3, Elements of economic scenarios generation;Section 4,Liability analysis of pension fund;Section 5,The dynamic asset & liability management model and analysis on pension fund.