Open AccessAsset Liability Management for the Parliamentary Pension Scheme of Uganda by Stochastic Programming
Author(s) -
Herbert Mukalazi,
Torbjörn Larsson,
Juma Kasozi,
Mayambala Fred
Publication year - 2021
Publication title -
afrika statistika
Language(s) - English
Resource type - Journals
ISSN - 2316-090X
DOI - 10.16929/as/2021.2689.179
Subject(s) - pension , liability , asset (computer security) , investment (military) , actuarial science , stochastic investment model , stochastic modelling , stochastic programming , scheme (mathematics) , economics , asset allocation , covariance , business , econometrics , finance , computer science , mathematics , mathematical optimization , portfolio , statistics , mathematical analysis , computer security , politics , political science , law
We develop a model for asset liability management of pension funds, which is solved by stochastic programming techniques. Using data provided by the Parliamentary Pension Scheme of Uganda, 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 under three different asset investment limits.