자산부채종합관리 관점에서 퇴직연기금의 목표수익률 설정에 대한 연구

According to the reform of "Employee Retirement Benefit Security Act" to be enacted in July 2012, the funded ratio of defined benefit plan(hereafter DB) are scheduled to be gradually increased from 60% in 2013. If the fund performance is lower than expectation derived out in terms of regulatory funded ratio, the sponsor could face a severe liquidity risk. In this study, we calculate the target rates of return of defined pension plan based on PBO Growth Model and Pension Asset Growth Model. And also, we suggest an optimal asset allocation portfolio achieving the target rate of return through the random number generation method. The historical calendar year returns of KOSPI and KIS 10year Bond Index are used for the practical analysis. The main results are as follows. Assuming 5% annual wage increases, pension liability and normal cost are increased with seniority going on. The more aging and serving workers are and the less the remaining service years are, the higher target rates are required to be set up in order to avoid additional contributions. Thus, higher equity allocations would lead to meeting future obligations, in particular in DB with older age structure.