资产负债管理模型及在辽宁养老金问题中的应用

在资产负债管理随机规划模型的基础上,根据国内实际情况,改进了模型的约束条件,建立了适合国内情况的资产负债管理模型.进一步以辽宁养老金管理问题为背景,考虑了未来各种资产收益、工资变动以及养老金支付的不确定性,确定出计划期间缴费成本和赤字惩罚最低的缴费率和最佳的资产配置.通过辽宁养老金实际数据的计算,得到符合实际情况的结果.

Models for Asset Liability Management and Its Application of the Pension Funds Problem in Liaoning Province

In this paper, we develop an asset and liability management model suited to the domestic circumstances according to the current situation in China based on the stochastic programming model for asset and liability management, in which we improve the subject restraints of the model. Furthermore, we take the pension funds management problem in Liaoning province as an application, to determine contribution costs and rates to make the deficit punishment lowest and the optimal asset allocation in the planning period considering future returns of varieties of assets, wage change and the uncertainties of pension funds payment. Then we get the proper results by computing practical data of Liaoning pension funds.