Optimal LQ45 Stock Allocation and Normal Contribution in a Defined Benefit Pension Plan

DOI

10.2991/icbmr-18.2019.50How to use a DOI?

Keywords

defined benefit pension plan, stock allocation, normal contribution, optimization

Abstract

This study aims to determine the model for optimal stocks allocation and normal contribution that can minimize the funding variation based on stocks returns and dynamic mortality rates in a Defined Benefit Pension Plan. In this study, assets are allocated to the stock market, as investments in the stock market can increase funding variation that lead to high risk of decreasing funds as well as lack of funds in paying Pension Benefits to participants. The optimization model used in this study is a model which the objective function is a quadratic function. The stocks used in this study were SMRA, PWON, GGRM, INTP, UNTR, UNVR, BBTN, PTBA, SCMA and ANTM, in addition to mortality rates using probability death data of female civil servants with age ranges from age 52 to 60 in 2008 to 2015. By using the optimization model, the proportion of SMRA is 6.59%, PWON is 19.42%, GGRM is 3.54%, INTP is 7.32%, UNTR is 8.03%, UNVR is 18.87%, BBTN is 16.71%, PTBA is 6.51%, SCMA is 9.07%, and ANTM is 3.94% and also normal contribution is Rp 20,976,310.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Mazaya Sharhana Marsya
AU  - Tri Handhika
PY  - 2019/03
DA  - 2019/03
TI  - Optimal LQ45 Stock Allocation and Normal Contribution in a Defined Benefit Pension Plan
BT  - Proceedings of the 12th International Conference on Business and Management Research (ICBMR 2018)
PB  - Atlantis Press
SP  - 308
EP  - 313
SN  - 2352-5428
UR  - https://doi.org/10.2991/icbmr-18.2019.50
DO  - 10.2991/icbmr-18.2019.50
ID  - Marsya2019/03
ER  -