onr:"swepub:oai:DiVA.org:liu-147853"
Search: onr:"swepub:oai:DiVA.org:liu-147853" > Asset Liability Man...
- 1 of 1
- Previous record
- Next record
- To hitlist
Asset Liability Management for Tanzania Pension Funds
-
- Mwakisisile, Andongwisye John, 1972- (author)
- Linköpings universitet,Optimeringslära,Tekniska fakulteten
-
- Larsson, Torbjörn, Professor, 1957- (thesis advisor)
- Linköpings universitet,Optimeringslära,Tekniska fakulteten
-
- Singull, Martin, Ph.D. 1977- (thesis advisor)
- Linköpings universitet,Matematisk statistik,Tekniska fakulteten
- show more...
- show less...
- (creator_code:org_t)
- ISBN 9789176855126
- Linköping : Linköping University Electronic Press, 2018
- English 29 s.
- Series: Linköping Studies in Science and Technology. Licentiate Thesis, 0280-7971 ; 1778
- Licentiate thesis (other academic/artistic)
Abstract
Subject headings
Close
- This thesis presents a long-term asset liability management for Tanzania pension funds. As an application, the largest pension fund in Tanzania is considered. This is a pay-as-you-go pension fund where the contributions are used to pay current benefits. The Pension plan analyzed is a final salary defined benefit. Two kinds of pension benefit are considered, a commuted (at retirement) and a monthly (old age) pension. A decision factor in the analysis is the increased life expectancy of the members of the pension fund.The presentation is divided into two parts. First is a long-term projection of the fund using a fixed and relatively low return on asset value. Basing on the number of members in 2015, a 50 years projection of members and retirees is done. The corresponding amount of contributions, asset values, benefit payouts, and liabilities are also projected. The evaluation of some possible reforms of the fund is done. Then, the growth of asset values using different asset returns is studied. The projection shows that the fund will not be fully sustainable in a long future due to the increase in life expectancy of its members. The contributions will not cover the benefit payouts and the asset value will not fully cover liabilities. Evaluation of some reforms of the fund shows that they cannot guarantee a long-term sustainability. Higher returns on asset value will improve the asset to liability ratio, but contributions are still insufficient to cover benefit payouts.Second is a management based on stochastic programming. This approach allocates investment in 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 includes some features from Tanzania pension system. In contrast with most asset liability management models for pension funds by stochastic programming, liabilities are modeled by number of years of life expectancy. Scenario trees are generated by using Monte Carlo simulation. Two models according to different investment guidelines are built. First is using the existing investment guidelines and second is using modified guidelines which are practical and suitable for modeling. Numerical results suggest that, in order to improve a long-term sustainability of the Tanzania pension fund system, it is necessary to make reforms concerning the contribution rate, investment guidelines and formulate target levels (funding ratios) to characterize the pension funds’ solvency situation. These reforms will improve the sustainability of the system.
Subject headings
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Publication and Content Type
- vet (subject category)
- lic (subject category)
Find in a library
- Asset Liability Management for Tanzania Pension Funds (Search the publication in LIBRIS)
To the university's database
- 1 of 1
- Previous record
- Next record
- To hitlist
Find more in SwePub
- By the author/editor
- Mwakisisile, And ...
- Larsson, Torbjör ...
- Singull, Martin, ...
- Lindberg, Per Ol ...
- About the subject
-
- NATURAL SCIENCES
- NATURAL SCIENCES
- and Mathematics
- and Probability Theo ...
- Parts in the series
- Linköping Studie ...
- By the university
- Linköping University
Search outside SwePub
- Extend your search to:
- Google Book Search
- Google Scholar
Kungliga biblioteket hanterar dina personuppgifter i enlighet med EU:s dataskyddsförordning (2018), GDPR. Läs mer om hur det funkar här.
Så här hanterar KB dina uppgifter vid användning av denna tjänst.
- Copyright © LIBRIS - National Library Systems
- LIBRIS.kb.se
