A Systematic Approach for Asset Liability Management of Pension Funds in a Fuzzy Environment

Izadbakhsh, Hamidreza; Soleymanzadeh, Ahmad; Davari Ardakani, Hamed; Zarinbal, Marzieh

doi:10.29252/jemr.8.29.201

Volume 8, Issue 29 (10-2017) jemr 2017, 8(29): 201-239 | Back to browse issues page

‎ 10.29252/jemr.8.29.201

‎ 20.1001.1.22286454.1396.8.29.6.5

Mendeley

Zotero

RefWorks

Izadbakhsh H, Soleymanzadeh A, Davari Ardakani H, Zarinbal M. A Systematic Approach for Asset Liability Management of Pension Funds in a Fuzzy Environment. jemr 2017; 8 (29) :201-239
URL: http://jemr.khu.ac.ir/article-1-1545-en.html

A Systematic Approach for Asset Liability Management of Pension Funds in a Fuzzy Environment

Hamidreza Izadbakhsh ^*

¹, Ahmad Soleymanzadeh²

, Hamed Davari Ardakani²

, Marzieh Zarinbal³

1- Kharazmi University , hizadbakhsh@khu.ac.ir
2- Kharazmi University
3- Information and Science Research Institute

Abstract: (8954 Views)

Since pension funds are among the most important and effective organizations in economic and social environments, it is critical to study their problems ahead. Asset and liability management (ALM) is a useful tool to study pension funds and their stakeholders. This paper tries to understand the key factors effecting on ALM and to analyze them using system dynamics. Fuzzy inference engine is also used to quantify the important risks in ALM. Results show that considering ALM and stakeholders’ benefits as whole and paying attention to risk factors such as changing population are the key factors for successful ALM.

Keywords: Asset Liability Management (ALM), System Dynamics, Fuzzy Inference System, Pension Funds, Risk Matrix

Full-Text [PDF 4195 kb] (4069 Downloads)

Type of Study: Applicable | Subject: پولی و مالی
Received: 2016/09/24 | Accepted: 2017/09/10 | Published: 2017/12/16

References

1. Abedin Khan, M., (2000), Risk Management in Social Security, Civil Servants Pension Organization.

2.  Börsch-Supan, A., Schnabel, R., Kohnz, S., & Mastrobuoni, G. (2004). Micro-modeling of retirement decisions in Germany. In Social security programs and retirement around the world: Micro-estimation (pp. 285-344). University of Chicago Press. [DOI:10.7208/chicago/9780226309989.003.0006]

3.  Chaim, R.M. (2006). Combining ALM and system dynamics in pension funds. The 24th International Conference of System Dynamics Society, Netherlands.

4.  Chidozie, O., & Campus, E. (2012). Management of Pension Fund in Nigeria: Challenges and Prospects. A thesis submitted for the degree of Master of Science (MSc). University of Nigeria.

5.  Dert, C. (1995). Asset liability management for pension funds: a multistage chance constrained programming approach. A thesis submitted for the degree of doctor of philosophy. Erasmus University.

6.  Esmaeilian, M., Alimohammadi Kamalabadi, M. (2015), Evaluation of investment decision using system dynamics and real options, The Quarterly Journal of Asset Management and Financing. 3(8), 1-22.

7.  Fartookzadeh, H., Rajabi Nohooji, M., Bairamzadeh, S., (2013) High Consuming Crisis in Proportion to Resources, Journal of Strategic Management Studies, 15,131-156.

8.  Franzen, D. (2010). Managing Investment Risk in Defined Benefit Pension Funds.OECD Working Papers on Insurance and Private Pensions, No. 38, OECD Publishing.

9.  Gallo, A. (2009). Risk Management and Supervision for Pension Funds: critical implementation of ALM Models (Doctoral dissertation, Università degli Studi di Napoli Federico II).

10.  Gunnarsson, B. (2013). Risk management in Almenni collective pension fund. A thesis submitted for the degree of Master of Science (MSc). Reykjavik University.

11.  Habibi, H., Conceptual Modeling of Asset / Portfolio Management in Insurance Companies, Iranian Journal of Insurance Research, 19(74), 5-28.

12.  Hosseini, H., Izadbakhsh. H., Shahvali, S., Aghaei, A. (2013), Applying a systematic approach to identifying factors affecting the continuity of social insurance business in developing countries, Iran Social Security Organization as case study., The 10th Iran Industrial Engineering Conference.

13.  Izadbakhsh H., Zarinbal, M., Hosseini, H., Shahvali, S., (2013), Using system dynamics approach in Social Security Organization, Social Security Organization.

14.  Jalili, T., (2008), Retirement reforms in Asia and the Pacific "Findings and role of the Asian Development Bank", Civil Servants Pension Organization.

15.  Jóhannsson, S. (2016). Evaluation of pension fund assets and liabilities: using variable versus fixed interest rates. A thesis submitted for the degree of Master of Science (MSc). Reykjavik University.

16.  Juerges, H., Thiel, L., Bucher-Koenen, T., Rausch, J., Schuth, M., & Boersch-Supan, A. (2014). Health, financial incentives, and early retirement: micro-simulation evidence for Germany (No. w19889). National bureau of economic research. [DOI:10.3386/w19889]

17.  Karbasian, M., (2005), Social Security and Pension in Iran, Sahami Enteshar Co.

18.  Kallianta, M. (2016).Asset liability management. School of economics, business administration & legal studies, A thesis submitted for the degree of master of science (MSc) in banking and finance.

19.  Kleynen.R. Asset liability management for pension funds. Avalable on: http://www.qfinance.com/contentFiles/QF01/gcriuxgs/14/0/asset-liability-management-for-pension-funds.pdf

20.  Lim, Y.S., (2003), Retirement Planning: Game-plan for Financial Liberation : Unmasking the Principles and Application of Retirement Planning Concepts, Processes, Strategies and Investment Tools in Singapore & Malaysia, D'Wealth Publication.

21.  Markowitz, H. (1952). Portfolio selection. The journal of finance, 7(1), 77-91. [DOI:10.1111/j.1540-6261.1952.tb01525.x]

23.  McLeod, R. W., Moody, S., & Phillips, A. (1992). The risks of pension plans. Financial Services Review, 2(2), 131-156. [DOI:10.1016/1057-0810(92)90007-Y]

24.  Mehregan, M.R., Daghigh Asl, A.R., Ghalibaf, H., Malekian, L., (2011), Designing a Mathematical Model for Asset and Liability Management using Goal Planning in Iranian Insurance Companies, , Iranian Journal of Insurance Research, 105(1), 101-123.

25.  Murata, T., & Chen, Z. (2013). Agent-based simulation for pension system in Japan. in agent-based approaches in economic and social complex systems VII (pp. 183-197). Springer Japan. [DOI:10.1007/978-4-431-54279-7_13]

26. _13

27.  Pachamanova, Dessislava, Nalan Gülpınar, and Ethem Çanakoğlu. (2017) .Robust approaches to pension fund asset liability management under uncertainty." Optimal Financial Decision Making under Uncertainty. Springer International Publishing. 89-119. [DOI:10.1007/978-3-319-41613-7_4]

28.  Presentation of Financial Statements, IAS 14, Current Assets and Current Liabilities.

29.  Presentation of Financial Statements, IAS 26, Accounting and Reporting by Retirement Benefit Plans.

30.  Reynisson, G. M. (2012). Asset liability management for Icelandic pension funds: the stochastic programming approach. A thesis submitted for the degree of Master of Science (MSc). Faculty of Economics School of Social Science at University of Iceland.

31.  Ricerca, D.D (2010). A quantitative model for the asset liability management of a Pension Fund. A thesis submitted for the degree of Doctor of Philosophy. University deli study di Cagliari.

32.  Rosen, D., & Zenios, S. A. (2006). Enterprise-wide asset and liability management: issues, institutions, and models. Handbook of Asset and Liability Management: Theory and Methodology, 1(1). [DOI:10.1016/S1872-0978(06)01001-5]

33.  Saberi Nasr, A., Rezaei, M., Dashti Barmaki, M., Mansouri Majoumerd J., (2013), Evaluating Mamdani Fuzzy Inference System Usage in the Analysis of Groundwater Quality, Case Study: Tabas Aquifer, Iranian Journal of Water & Environment Engineering, 1(1), 25-34.

34.  Sapiri, H., Kamil, A. A., & Tahar, R. M. (2014). System dynamics dpproach as a risk management tool in analyzing pension expenditure: the case of Malaysian employees public pension plan. The Singapore economic review, 59(05), 145-146. [DOI:10.1142/S0217590814500465]

35.  Sarbazalipour S., Fallah A., (2014) A New Probabilistic Model of Portfolio Optimization Based on Insurer's Liability in Life Insurance Contracts, Iranian Journal of Insurance Research, 28(112), 55-80.

36.  Shao, W., Hao, Y., Chen, K., & Liu, B. (2013). Study on china's pension gap based on system dynamics. International journal of engineering and industries, 4(4), 27.

37.  Sterman, J., (2000), Business dynamics: systems thinking and modeling for a complex world. McGraw-Hill.

38.  Usenik, J., & Turnsek, T. (2013). Modeling conflict dynamics with fuzzy logic inference. Jour-nal of US- China Public Administration, 10(5), 457-474.

39.  Veiga, Á. & Valladão, D. (2010). On the asset and liability management for pension funds:a multistage stochastic programming model and an equilibrium risk measuring method. A thesis submitted for the degree of Master of Science (MSc). Charles University Prague, Sokolovsk'a 83, CZ-186 75 Prague.

40.  Viehweger, B., & Jagalski, T. (2003). The reformed pension system in Germany, a system dynamics model for the next 50 years. In 21st system dynamics conference proceeding Vol. 191, No. 10.

41.  Yavas, M. Bacaksizlar, G. (2010). Financial sustainability of social security institutions in the presence of aging populations. 28st International conference of system dynamics