Asset Liability Management for Pension Funds: A Multistage Chance Constrained Programming Approach

Abstract

__Abstract__
\n
\nThis thesis presents a scenario based optimisation model to analyze the investment policy
\nand funding policy for pension funds, taking into account the development of the
\nliabilities in conjunction with the economic environment. Such a policy will be referred to
\nas an asset liability management (ALM) policy.
\nThe model has been developed to compute dynamic ALM policies that:
\n- guarantee an acceptably small probability of underfunding,
\n- guarantee sufficiently stable future contributions,
\n-minimise the present value of expected future contributions by the plan sponsors.