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

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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

    as
    1. 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.
    2. 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.
    3. Willem Haneveld & Maarten Vlerk, 2006. "Integrated Chance Constraints: Reduced Forms and an Algorithm," Computational Management Science, Springer, vol. 3(4), pages 245-269, September.
    4. repec:dgr:rugsom:05a03 is not listed on IDEAS
    5. G. Consigli & M. Dempster, 1998. "Dynamic stochastic programmingfor asset-liability management," Annals of Operations Research, Springer, vol. 81(0), pages 131-162, June.
    6. 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. Sebastiano Vitali & Vittorio Moriggia & MiloŇ° 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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