1995-11-30
Asset Liability Management for Pension Funds: A Multistage Chance Constrained Programming Approach
Publication
Publication
Asset Liability Management voor Pensioenfondsen: Een meer-perioden optimalisatiemodel met kansrestricties)
Abstract
This thesis presents a scenario based optimisation model to analyze the investment policy and funding policy for pension funds, taking into account the development of the liabilities in conjunction with the economic environment. Such a policy will be referred to as an asset liability management (ALM) policy. The model has been developed to compute dynamic ALM policies that: - guarantee an acceptably small probability of underfunding, - guarantee sufficiently stable future contributions, -minimise the present value of expected future contributions by the plan sponsors.
| Additional Metadata | |
|---|---|
| , , | |
| A.H.G. Rinnooy Kan (Alexander) , C.G.E. Boender | |
| Erasmus University Rotterdam | |
| hdl.handle.net/1765/51150 | |
| Organisation | Erasmus School of Economics |
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Dert, C. (1995, November 30). Asset Liability Management for Pension Funds: A Multistage Chance Constrained Programming Approach. Retrieved from http://hdl.handle.net/1765/51150 |
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