Modelling the Assets and Liabilities of a Pension Fund
نویسندگان
چکیده
In the context of the historical development of portfolio theory the authors describe a stochastic asset/liability modelling exercise for a closed pension fund portfolio, illustrating the reduction in variance of estimated future surplus which can be achieved by investment in index-linked securities. Equity investment would increase the expected level of surplus, but the outcome would be more uncertain and there could be a not insignificant probability that the assets may ultimately prove insufficient to meet the liabilities.
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