ALM Modeling for Dutch Pension Funds in an Era of Pension Reform

Willem K. Klein Haneveld, Matthijs H. Streutker () and Maarten H. Vlerk
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Willem K. Klein Haneveld: University of Groningen
Matthijs H. Streutker: University of Groningen
Maarten H. Vlerk: University of Groningen

A chapter in Operations Research Proceedings 2006, 2007, pp 601-606 from Springer

Abstract: Abstract 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.

Keywords: Pension Fund; Contribution Rate; Chance Constraint; Average Earning; Regulatory Rule (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:spr:oprchp:978-3-540-69995-8_95

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DOI: 10.1007/978-3-540-69995-8_95

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