Defined Benefit Pension ALM & Immunization Model
Seed: plan_liabilities_by_cohort, asset_allocation, discount_curve, longevity_assumptionsADVERTISEMENT - IN-ARTICLE
Implementation Guide
An asset-liability management model for defined-benefit pensions that matches cashflows to liabilities, runs immunization scenarios, and optimizes surplus-risk trade-offs. Includes longevity stress tests, contribution path planning and covenant/ESG constraints to inform trustees and sponsors on funding strategies.
💡 Expert Q&A Insights
Q: How to incorporate longevity risk?
Use cohort mortality improvement models and scenario stress for longevity shock. \n
Q: What about regulatory funding targets?
Model contributions to meet statutory minimums and optimize for sponsor affordability.