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Implementation of new regulatory rules in a multistage ALM model for Dutch pension funds

Author

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  • Streutker, Matthijs
  • van der Vlerk, Maarten
  • Klein Haneveld, Wim

    (Groningen University)

Abstract

This 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.

Suggested Citation

  • Streutker, Matthijs & van der Vlerk, Maarten & Klein Haneveld, Wim, 2007. "Implementation of new regulatory rules in a multistage ALM model for Dutch pension funds," Research Report 07005, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    • Handle: RePEc:gro:rugsom:07005
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    File URL: http://irs.ub.rug.nl/ppn/303586176
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    References listed on IDEAS

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    1. 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.
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    8. 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).
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    Cited by:

    1. Woong Bee Choi & Dongyeol Lee & Woo Chang Kim, 2021. "Extending the Scope of ALM to Social Investment: Investing in Population Growth to Enhance Sustainability of the Korean National Pension Service," Sustainability, MDPI, vol. 13(1), pages 1-14, January.
    2. Sebastiano Vitali & Vittorio Moriggia & Miloš Kopa, 2017. "Optimal pension fund composition for an Italian private pension plan sponsor," Computational Management Science, Springer, vol. 14(1), pages 135-160, January.

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