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M.Tech / M.E / PhD Thesis | Mathematics | Indonesia | Volume 4 Issue 9, September 2015

Pension Asset Liability Management Model (ALM)

Jaka Permana | Rossi Peter Simanjuntak | Abiudin Gea | Liza Setyaning Pertiwi ^[11]

Abstract: Procurement of pension assets to reduce benefits promises made by plan sponsors to participants and beneficiaries-in other words, the pension liabilities. Therefore the pension investment policy should be set in a way that explicitly integrates exposure to pension liabilities. The traditional approach to retirement investments have split factor the risk of liability, which has resulted in a portfolio which may be appropriate in assets, but which are subject to risk when evaluated relative to liabilities. efficient investment policy can be designed to avoid risks appreciated if exposure obligation explicitly integrated into investment frameworks. The intent of this writing there are two, namely to provide insight into the pension liability modeling, using the fundamentals and economics that affect the assets and pensions the obligation to provide a framework for a model assets and liabilities consistently.

Keywords: Asset, Liability, Pension asset, ALM

Edition: Volume 4 Issue 9, September 2015,

Pages: 349 - 352