There is a large professional literature on the correct measurement of the funded status of and indicated employer contributions to government employee pension plans. But static measures do not provide a quantification of the risk that plans could represent in the future in various possible...

Using a multi-stage stochastic programming method, we suggest an optimal liability-driven investment(LDI) strategy for a closed defined-benefit pension fund including real assets. The objective is to jointly optimize contribution, funding ratio, and buyout cost, subject to a constraint on...