Theoretical and Empirical Study on Corporate Finance and ALM Tools for Pension Management
| Project/Area Number |
08630112
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Business administration
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| Research Institution | YOKOHAMA NATIONAL UNIVERSITY |
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Principal Investigator |
AOYAMA Mamoru Yokohama National University, Faculty of Business Administration, Professor, 経営学部, 教授 (00150954)
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| Project Period (FY) |
1996 – 1997
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| Project Status |
Completed (Fiscal Year 1997)
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| Budget Amount *help |
¥1,400,000 (Direct Cost: ¥1,400,000)
Fiscal Year 1997: ¥600,000 (Direct Cost: ¥600,000)
Fiscal Year 1996: ¥800,000 (Direct Cost: ¥800,000)
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| Keywords | Pension / ALM / parameter estimate / risk-return / optimization / 経済的パラメター / 年金数理 / 企業年金 / 厚生年金基金 / 税制適格年金 / シミュレーション / ALMモデル |
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| Research Abstract |
I examined the realistic propriety of consulting tools of pension ALM which appeared recently. In the study, I pointed out that rational parameter estimate for any period is indispensable to the formal discussion of pension ALM.Even in the asset allocation problems, we confront the similar estimation problem. To be met pension ALM by original meaning, it is necessary to develop rational estimation of risk-returnstructure of the future period of various assets, and inflation rate, productivity change of corporation and other estimates of economic parameter for the future period. Pension ALM may become still more uncertain, unless we develop rational methodology for estimating a parameter on pension mathematics such as withdrawal, the death, new joining.
The problem of pension ALM in our country has been recognized recently.
Although book-value based numbers have been used for optimization techniques for a long time in Japan, recent ALM tools basically imported from Western countries urged to use market-value based numbers as input data for the optimization. Thus the situation and the way of thinking of the Japanese pension society are dramatically changing.
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Report
(3 results)
Research Products
(6 results)
