(A) study on the effect of Korea pension management on social system under asset-liability management framework = 국민연금이 사회 시스템에 미치는 영향을 고려한 자산-부채 관리 연구

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Currently, Korea’s National Pension Plan (NPS) is the third-largest public pension in the world. The accumulated fund of the NPS has increased gradually, and has now reached 35% of the national gross domestic product. However, this large fund will become depleted by 2060 due to the aging population and the low fertility rate. In this dissertation, we study asset-liability management (ALM) model of the NPS. We first focus on the constructing the model that find the optimal portfolio and the optimal contribution rate. We present a model that combines a stochastic optimal control approach and a stochastic programming approach. Then, we add the social investment to pension portfolio of pension plan. We calculate the effect of an investment in raising the fertility rate. In addition, we examine whether an investment in population growth improves the sustainability of the NPS. Next, we extend the model into an ALM model which is more advanced approach by applying multi-stage stochastic programming. Extending the scope of ALM to social investment is a new approach that has not been attempted in other ALM studies. Finally, we construct a model providing the optimal savings management for individuals under pension plan scheme change.
Advisors
Kim, Woo Changresearcher김우창researcher
Description
한국과학기술원 :산업및시스템공학과,
Publisher
한국과학기술원
Issue Date
2019
Identifier
325007
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 산업및시스템공학과, 2019.2,[vi, 114 p. :]

Keywords

National pension service▼aasset-liability management▼asocial investment▼asustainability▼ainvestment in population growth▼amulti-stage stochastic programming▼adynamic programming▼acombined programming▼aoptimal consumption; 국민연금▼a자산-부채 관리▼a사회 투자▼a지속성▼a인구증가 투자▼a다기간 추계 계획법▼a동적 계획법▼a통합 계획법▼a최적 소비

URI
http://hdl.handle.net/10203/264732
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=842086&flag=dissertation
Appears in Collection
IE-Theses_Ph.D.(박사논문)
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