论文信息 - ALM Modeling for Dutch Pension Funds in an Era of Pension Reform - 字舞流文

ALM 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.

Maarten H. van der Vlerk | Willem K. Klein Haneveld | Matthijs H. Streutker

[1] Casper Van Ewisk. Reform of Occupational Pensions in the Netherlands , 2005 .

[2] M. H. Streutker,et al. Implementation of new regulatory rules in a multistage ALM model for Dutch pension funds , 2007 .

[3] ManMohan S. Sodhi,et al. LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications , 2005, Oper. Res..

[4] John M. Mulvey,et al. Introduction to financial optimization: Mathematical Programming Special Issue , 2001, Math. Program..

[5] M. H. van der Vlerk,et al. Modeling ALM for Dutch pension funds , 2006 .

[6] S. J. Drijver,et al. Asset liability management for pension funds using multistage mixed-integer stochastic programming , 2005 .