Differentiating Indexation in Dutch Pension Funds
نویسندگان
چکیده
منابع مشابه
Modeling ALM for Dutch Pension Funds
This paper describes the modeling of actual issues of Dutch pension funds with a multistage recourse ALM model. The main results of this paper are the accurate and yet compact modeling of indexation decisions and the implementation of the short term solvency requirement of the new regulatory rules for pension funds, which are called Financieel Toetsingskader.
متن کاملALM Modeling for Dutch Pension Funds in an Era of Pension Reform
This paper describes the features of a multistage ALM recourse model in light of the recent pension reform in the Netherlands. The main results are explicit modeling of indexation decisions and modeling of new regulatory rules.
متن کاملPortfolio Management for Pension Funds
This paper introduces the use of dynamic stochastic optimisation pension fund management. The design of such products involves econometric modelling, economic scenario generation, generic methods of solving optimization problems and modelling of required risk tolerances. In nearly all the historical backtests using data over roughly the past decade the system described (with transactions costs ...
متن کاملBrazilian Pension Funds: Real Estate
The objective of the thesis is to analyze the participation of Brazilian pension funds in the real estate sector, with special attention to their historical motivations. The thesis also describes the prospects of future investments in the sector once that both pension funds and the real estate industry are experiencing great transformation in that country. Since their regulation in the late 197...
متن کاملAsset Allocation in Finnish Pension Funds
This paper empirically examines the strategic asset allocation and the asset/liability issues in the Finnish defined benefit pension funds. The results indicate that there is a relationship between the liability structure and the asset allocation. While pension funds with younger participants have more equity exposure, more mature pension funds have more fixed income investments. Wide dispersio...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1730657