Asset liability management for Tanzania: Pension funds by stochastic programming
Article published by Afrika Statistika Vol. 13 No. 3 (2018)
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| Format: | Article |
| Language: | English |
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Afrika Statistika
2024
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| Online Access: | https://doi.org/10.16929/as/1733.131 https://scholar.mzumbe.ac.tz/handle/123456789/620 |
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| author | John, Andongwisye Larsson, Torbjörn Singull, Martin Mushi, Allen R. |
| author_facet | John, Andongwisye Larsson, Torbjörn Singull, Martin Mushi, Allen R. |
| author_sort | John, Andongwisye |
| collection | DSpace |
| description | Article published by Afrika Statistika Vol. 13 No. 3 (2018) |
| format | Article |
| id | oai:41.59.85.69:123456789-620 |
| institution | Mzumbe University |
| language | English |
| publishDate | 2024 |
| publisher | Afrika Statistika |
| record_format | dspace |
| spelling | oai:41.59.85.69:123456789-6202024-04-21T18:05:36Z Asset liability management for Tanzania: Pension funds by stochastic programming John, Andongwisye Larsson, Torbjörn Singull, Martin Mushi, Allen R. Pay-as-you-go pension fund asset liability management stochastic programming scenario trees. Article published by Afrika Statistika Vol. 13 No. 3 (2018) We present a long-termmodel of asset liability management for Tanzania pension funds. The pension system is pay-as-you-go where contributions are used to pay current benefits. The pension plan is a final salary defined benefit. Two kinds of pension benefits, a commuted (at retirement) and a monthly (old age) pension are considered. A decisive factor for a long-term asset liability management is that, Tanzania pension funds face an increase of their members’ life expectancy, which will cause the retirees to contributors dependence ratio to increase. We present a stochastic programming approach which allocates assets with the best return to raise the asset value closer to the level of liabilities. The model is based on work by Kouwenberg in 2001, with features from Tanzania pension system. In contrast to most asset liability management models for pension funds by stochastic programming, liabilities are modeled by using number of years of life expectancy for monthly benefit. Scenario trees are generated by using Monte Carlo simulation. Numerical results suggest that, in order to improve the long-term sustainability of the Tanzania pension fund system, it is necessary to make reforms concerning the contribution rate, investment guidelines and formulate target funding ratios to characterize the pension funds’ solvency situation. Private 2024-04-16T05:57:36Z 2024-04-16T05:57:36Z 2018 Article APA https://doi.org/10.16929/as/1733.131 https://scholar.mzumbe.ac.tz/handle/123456789/620 en application/pdf Afrika Statistika |
| spellingShingle | Pay-as-you-go pension fund asset liability management stochastic programming scenario trees. John, Andongwisye Larsson, Torbjörn Singull, Martin Mushi, Allen R. Asset liability management for Tanzania: Pension funds by stochastic programming |
| title | Asset liability management for Tanzania: Pension funds by stochastic programming |
| title_full | Asset liability management for Tanzania: Pension funds by stochastic programming |
| title_fullStr | Asset liability management for Tanzania: Pension funds by stochastic programming |
| title_full_unstemmed | Asset liability management for Tanzania: Pension funds by stochastic programming |
| title_short | Asset liability management for Tanzania: Pension funds by stochastic programming |
| title_sort | asset liability management for tanzania pension funds by stochastic programming |
| topic | Pay-as-you-go pension fund asset liability management stochastic programming scenario trees. |
| url | https://doi.org/10.16929/as/1733.131 https://scholar.mzumbe.ac.tz/handle/123456789/620 |
| work_keys_str_mv | AT johnandongwisye assetliabilitymanagementfortanzaniapensionfundsbystochasticprogramming AT larssontorbjorn assetliabilitymanagementfortanzaniapensionfundsbystochasticprogramming AT singullmartin assetliabilitymanagementfortanzaniapensionfundsbystochasticprogramming AT mushiallenr assetliabilitymanagementfortanzaniapensionfundsbystochasticprogramming |