%0 Journal Article
%T Models for Asset Liability Management and Its Application of the Pension Funds Problem in Liaoning Province<br>资产负债管理模型及在辽宁养老金问题中的应用
%A JIN Xiu
%A HUANG Xiao-yuan
%A <br>金　秀
%A 黄小原
%J 系统工程理论与实践
%D 2005
%I 
%X In this paper, we develop an asset and liability management model suited to the domestic circumstances according to the current situation in China based on the stochastic programming model for asset and liability management, in which we improve the subject restraints of the model. Furthermore, we take the pension funds management problem in Liaoning province as an application, to determine contribution costs and rates to make the deficit punishment lowest and the optimal asset allocation in the planning period considering future returns of varieties of assets, wage change and the uncertainties of pension funds payment. Then we get the proper results by computing practical data of Liaoning pension funds.
%K asset and liability management
%K pension funds
%K stochastic programming
%K scenarios generation<br>资产负债管理
%K 养老金
%K 随机规划
%K 情景生成
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=8F1E338322BACE73&yid=2DD7160C83D0ACED&vid=C5154311167311FE&iid=9CF7A0430CBB2DFD&sid=ECE8E54D6034F642&eid=B6DA1AC076E37400&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=6&reference_num=11