Tactical Asset Allocation for Open Private Pension Companies through Multistage Stochastic Programming – Cadernos de Seguro – Teses | Nº 48

Author : Thiago Barata


Tactical Asset Allocation for Open Private Pension Companies through Multistage Stochastic Programming – Cadernos de Seguro – Teses | Nº 48

An important issue of open pension funds and insurance companies that operate supplementary pension is the definition of an asset and liability management (ALM) framework. Such a question becomes more relevant in a scenario of high competition, declining operating margins, minimum guaranteed returns to a stochastic long-term liability and a period of falling returns on financial instruments, these being often difficult to pricing and predictable in a volatile market such as Brazil. Due this condition, this dissertation presents a proposition of ALM based on a multistage stochastic programming model, which aims to define a dynamic optimal asset allocation, including bonds with coupons payment, and measure the company’s insolvency risk for the planning horizon.