@inbook{7039918b46d242cb8105ea99fd9dde39,
title = "Optimal multistage defined-benefit pension fund management",
abstract = "We present an asset-liability management (ALM) model designed to support optimal strategic planning by a defined benefit (DB) occupational pension fund (PF) manager. PF ALM problems are by nature long-term decision problems with stochastic elements affecting both assets and liabilities. Increasingly PFs operating in the second pillar of modern pension systems are subject to mark-to-market accounting standards and constrained to monitor their risk capital exposure over time. The ALM problem is formulated as a multi-stage stochastic program (MSP) with an underlying scenario tree structure in which decision stages are combined with non-decision annual stages aimed at mapping carefully the evolution of PF{\textquoteright}s liabilities. We present a case-study of an underfunded PF with an initial liquidity shortage and show how a dynamic policy, relying on a set of specific decision criteria, is able to gain a long-term equilibrium solvency condition over a 20 year horizon.",
keywords = "Defined benefits, Multistage stochastic programming, Pension fund management, Scenario tree, Solvency ratio",
author = "Giorgio Consigli and Vittorio Moriggia and Elena Benincasa and Giacomo Landoni and Filomena Petronio and Sebastiano Vitali and {di Tria}, Massimo and Mario Skoric and Angelo Uristani",
note = "Publisher Copyright: {\textcopyright} 2018, Springer International Publishing AG.",
year = "2018",
doi = "10.1007/978-3-319-61320-8_13",
language = "British English",
series = "International Series in Operations Research and Management Science",
pages = "267--296",
booktitle = "International Series in Operations Research and Management Science",
}