A Systematic Approach for Asset Liability Management of Pension Funds in a Fuzzy Environment

Izadbakhsh, Hamidreza; Soleymanzadeh, Ahmad; Davari Ardakani, Hamed; Zarinbal, Marzieh

doi:10.29252/jemr.8.29.201

Volume 8, Issue 29 (10-2017) jemr 2017, 8(29): 201-239 | Back to browse issues page

‎ 10.29252/jemr.8.29.201

‎ 20.1001.1.22286454.1396.8.29.6.5

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Izadbakhsh H, Soleymanzadeh A, Davari Ardakani H, Zarinbal M. A Systematic Approach for Asset Liability Management of Pension Funds in a Fuzzy Environment. jemr 2017; 8 (29) :201-239
URL: http://jemr.khu.ac.ir/article-1-1545-en.html

A Systematic Approach for Asset Liability Management of Pension Funds in a Fuzzy Environment

Hamidreza Izadbakhsh ^*

¹, Ahmad Soleymanzadeh²

, Hamed Davari Ardakani²

, Marzieh Zarinbal³

1- Kharazmi University , hizadbakhsh@khu.ac.ir
2- Kharazmi University
3- Information and Science Research Institute

Abstract: (8839 Views)

Since pension funds are among the most important and effective organizations in economic and social environments, it is critical to study their problems ahead. Asset and liability management (ALM) is a useful tool to study pension funds and their stakeholders. This paper tries to understand the key factors effecting on ALM and to analyze them using system dynamics. Fuzzy inference engine is also used to quantify the important risks in ALM. Results show that considering ALM and stakeholders’ benefits as whole and paying attention to risk factors such as changing population are the key factors for successful ALM.

Keywords: Asset Liability Management (ALM), System Dynamics, Fuzzy Inference System, Pension Funds, Risk Matrix

Full-Text [PDF 4195 kb] (4037 Downloads)

Type of Study: Applicable | Subject: پولی و مالی
Received: 2016/09/24 | Accepted: 2017/09/10 | Published: 2017/12/16

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