| 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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| 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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