Davide Lauria
Department of Management, Economics and Quantitative Methods University of Bergamo, Italy
[ 1 ] - A Defined Benefit Pension Fund ALM Model through Multistage Stochastic Programming
We consider an asset-liability management (ALM) problem for a defined benefit pension fund (PF). The PF manager is assumed to follow a maximal fund valuation problem facing an extended set of risk factors: due to the longevity of the PF members, the inflation affecting salaries in real terms and future incomes, interest rates and market factors affecting jointly the PF liability and asset p...
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