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2 Operations Research and Decisions

2 2022

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Long term projection of the demographic and financial evolution of the parliamentary pension scheme of Uganda

Mukalazi Herbert, Larsson Torbjörn, Kasozi Juma, Mayambala Fred

Operations Research and Decisions

2022

Vol. 32, No. 3

92--123

We study the Parliamentary Pension Scheme of Uganda, a hybrid cash balance scheme which is contributory. It has two categories of members, the staff of the Parliamentary Commission and the Members of Parliament. A long term projection of the scheme’s demographic and financial evolution is done to asses its sustainability and fairness with respect to the two categories of members. The projection of the scheme’s future members is done using non-linear regression. The distribution of future members by age states is done by Markov model using frequencies of state transition of the scheme members. We project the future contributions, accumulated funds, benefits, asset and liability values together with associated funding ratios. The results show that the fund is neither sustainable nor fair with respect to the two categories of members.

Asset liability management for the Bank of Uganda defined benefits scheme by stochastic programming

Mukalazi Herbert, Larsson Torbjörn, Kasozi Juma, Mayambala Fred

Operations Research and Decisions

2022

Vol. 32, No. 2

105--124

We develop a model for asset liability management of pension funds, which is solved by stochastic programming techniques. Using data provided by the Bank of Uganda Defined Benefits Scheme, which is closed to new members, we obtain the optimal investment policies. Randomly sampled scenario trees using the mean and covariance structure of the return distribution are used for generating the coefficients of the stochastic program. Liabilities are modelled by remaining years of life expectancy and guaranteed period for monthly pension. We obtain the funding situation of the scheme at each stage, and the terminal cash injection by the sponsor required to meet all future benefit payments, in absence of contributing members.