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dc.contributor.authorOliveira, Alan Delgado dept_BR
dc.contributor.authorFilomena, Tiago Pascoalpt_BR
dc.contributor.authorMarcelo Scherer Perlinpt_BR
dc.contributor.authorMiguel Lejeunept_BR
dc.contributor.authorGuilherme Ribeiro de Macedopt_BR
dc.date.accessioned2019-07-12T02:36:31Zpt_BR
dc.date.issued2017pt_BR
dc.identifier.issn1573-2924pt_BR
dc.identifier.urihttp://hdl.handle.net/10183/196892pt_BR
dc.description.abstractThis paper proposes a multistage stochastic programming approach for the asset-liability management of Brazilian pension funds. We generate asset price scenarios with stochastic differential equations—Geometric Brownian Motion model for stocks and Cox–Ingersoll–Ross model for fixed income securities. Intertemporal solvency regulatory rules for Brazilian pension funds are considered endogenously in the model and enforced with a combinatorial constraint. A VaR probabilistic constraint is incorporated to obtain a positive funding ratio at each time period with high probability. Our approach uses multiple trees to provide a representative characterization of the uncertainty and is not computationally prohibitive. We evaluate the insolvency probability under different initial funding ratios through extensive simulations. The study reveals that the likely decrease of interest rate premiums in the next years will force pension fund managers to significantly change their portfolio strategies. They will have to take more risk in order to deliver the cash flows required to cover the liabilities and satisfy the regulatory constraints.en
dc.format.mimetypeapplication/pdfpt_BR
dc.language.isoengpt_BR
dc.relation.ispartofOptimization and Engineering. Nova York. Vol. 18, no. 2 (June 2017), p. 349-368pt_BR
dc.rightsOpen Accessen
dc.subjectALMen
dc.subjectFundos de pensão : Brasilpt_BR
dc.subjectBrazilian pension fundsen
dc.subjectOtimização estocásticapt_BR
dc.subjectStochastic optimizationen
dc.subjectScenario treesen
dc.titleA multistage stochastic programming asset-liability management model : an application to the Brazilian pension fund industrypt_BR
dc.typeArtigo de periódicopt_BR
dc.identifier.nrb001017510pt_BR
dc.type.originEstrangeiropt_BR


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