Modeling ALM for Dutch Pension Funds
نویسنده
چکیده
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.
منابع مشابه
An ALM model for pension funds using integrated chance constraints
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