Indexation of Dutch pension rights in multistage recourse ALM models

被引：6
|
作者：
Haneveld, Willem K. Klein [1 ]
Streutker, Matthijs H. [1 ]
van der Vlerk, Maarten H. [1 ]
机构：
[1] Univ Groningen, Dept Operat, NL-9700 AV Groningen, Netherlands
来源：
IMA JOURNAL OF MANAGEMENT MATHEMATICS | 2010年 / 21卷 / 02期
关键词：
multistage recourse modelling; asset liability management; indexation; ASSET-LIABILITY MANAGEMENT; SYSTEM;
D O I：
10.1093/imaman/dpp010
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
Indexation (correction for inflation) of defined benefit pension rights is an important topic in the current pension debate fostered by the ageing of populations. In the Netherlands, pension funds need to formulate policies concerning indexation. We show how indexation decisions can be modelled adequately in multistage recourse asset liability management (ALM) models, which can be used for supporting the policy making. Moreover, for a stylized pension fund, we analyze the working of these indexation decisions in a numerical experiment.
引用
收藏
页码：131 / 148
页数：18
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