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Asset liability management for the Bank of Uganda defined benefits scheme by stochastic programming
Makerere Univ, Uganda.
Linköping University, Department of Mathematics, Applied Mathematics. Linköping University, Faculty of Science & Engineering.ORCID iD: 0000-0003-2094-7376
Makerere Univ, Uganda.
Makerere Univ, Uganda.
2022 (English)In: Operations Research and Decisions, ISSN 2081-8858, Vol. 32, no 2, p. 105-124Article in journal (Refereed) Published
Abstract [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.

Place, publisher, year, edition, pages
WROCLAW UNIV SCIENCE & TECHNOLOGY, FAC COMPUTER SCIENCE MANAGEMENT , 2022. Vol. 32, no 2, p. 105-124
Keywords [en]
closed scheme; finance; asset liability management; scenario generation; stochastic programming
National Category
Business Administration
Identifiers
URN: urn:nbn:se:liu:diva-187604DOI: 10.37190/ord220207ISI: 000828739000005OAI: oai:DiVA.org:liu-187604DiVA, id: diva2:1691043
Note

Funding Agencies|Makerere University [316]

Available from: 2022-08-29 Created: 2022-08-29 Last updated: 2022-08-29

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