Implementation of new regulatory rules in a multistage ALM model for Dutch pension funds
AbstractThis paper discusses the implementation of new regulatory rules in a multistage recourse ALM model for Dutch pension funds. The new regulatory rules, which are called the ?Financieel Toetsingskader?, are effective as of January 2007 and have deep impact on the issues of valuation of liabilities, solvency, contribution rate, and indexation. Multistage recourse models have proved to be valuable for pension fund ALM. The ability to include the new regulatory rules would increase the practical value of these models.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University of Groningen, Research Institute SOM (Systems, Organisations and Management) in its series Research Report with number 07005.
Date of creation: 2007
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-09-02 (All new papers)
- NEP-EEC-2007-09-02 (European Economics)
- NEP-REG-2007-09-02 (Regulation)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Klein Haneveld, W.K.. & Streutker, M.H. & Vlerk, M.H. van der, 2005. "An ALM Model for Pension Funds using Integrated Chance Constraints," Research Report 05A03, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
- Willem Haneveld & Maarten Vlerk, 2006. "Integrated Chance Constraints: Reduced Forms and an Algorithm," Computational Management Science, Springer, vol. 3(4), pages 245-269, September.
- Boender, Guus C. E., 1997. "A hybrid simulation/optimisation scenario model for asset/liability management," European Journal of Operational Research, Elsevier, vol. 99(1), pages 126-135, May.
- M.C.J. van Rooij & A.H. Siegmann & P.J.G. Vlaar, 2004. "Palmnet: A pension asset and liability model for the Netherlands," WO Research Memoranda (discontinued) 760, Netherlands Central Bank, Research Department.
- Kouwenberg, Roy, 2001. "Scenario generation and stochastic programming models for asset liability management," European Journal of Operational Research, Elsevier, vol. 134(2), pages 279-292, October.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joke Bulthuis).
If references are entirely missing, you can add them using this form.