Handbook of Asset and Liability Management

Handbook of Asset and Liability Management, Vol. 2, No. suppl (C) • 2007

ISSN: 1872-0978

doi: 10.1016/S1872-0978(06)02021-7

Chapter 21 Joined-Up Pensions Policy in the UK: An Asset–Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate

John Board

The ICMA Centre, University of Reading, P.O. Box 242, Reading RG6 6BA, UK

E-mail address:[e-mail], Charles Sutcliffe

E-mail address:[e-mail],

Abstract

The trustees of funded defined benefit pension schemes must make two vital and inter-related decisions—setting the asset allocation and the contribution rate. While these decisions are usually taken separately, it is argued that they are intimately related and should be taken jointly. ...