Models for Asset Liability Management and Its Application of the Pension Funds Problem in Liaoning Province
资产负债管理模型及在辽宁养老金问题中的应用

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.