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Dedicated_Bond_Port

Dedicated_Bond_Port - Dedicated Bond Portfolios Chapter 45...

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Dedicated Bond Portfolios Chapter 45 of H. of Fixed-Income Securities Lecture Notes for Actsc 445/845 Department of Statistics and Actuarial Science University of Waterloo Notes by Prof. K.S. Tan/Actsc 445/845 Chapter 45: Dedicated Bond Portfolios – p. 1/1
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Introduction Dedicated bond portfolio (cash flow matching) is a strategy that matches monthly cash flows from a portfolio of bonds to a prespecified set of monthly cash requirements of liabilities Applications: pension benefit funding defeasance of debt service municipal of funding of construction take-down schedules GIC matching funding of other fixed insurance products Notes by Prof. K.S. Tan/Actsc 445/845 Chapter 45: Dedicated Bond Portfolios – p. 2/1
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A Simulation Case Study Cash Flow Matching for Pension Plans Determination of Pension Liabilities Setting Portfolio Constraints Re-optimization Active Management Notes by Prof. K.S. Tan/Actsc 445/845 Chapter 45: Dedicated Bond Portfolios – p. 3/1
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Determination of Pension Liabilities Liability obligations must be projected accurately (expected) benefit payouts to a closed block of current retirees active employees are not included except for the “anticipated retiree":
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