Pension Fund Regulation and Risk Management: Results from an ALM Optimisation Exercise
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Abstract
Suggested Citation
DOI: 10.1787/171755452623
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Cited by:
- De Haan, Leo, 2018.
"Recovery measures of underfunded pension funds: higher contributions, no indexation or pension cuts?,"
Journal of Pension Economics and Finance, Cambridge University Press, vol. 17(4), pages 437-468, October.
- Leo de Haan, 2015. "Recovery measures of underfunded pension funds: higher contributions, no indexation, or pension cuts?," DNB Working Papers 485, Netherlands Central Bank, Research Department.
- Johanna Scheller & Jacques Pézier, 2008. "Optimal Investment Strategies and Performance Sharing Rules for Pension Schemes with Minimum Guarantee," ICMA Centre Discussion Papers in Finance icma-dp2008-09, Henley Business School, University of Reading, revised Oct 2009.
- Maria Teresa Medeiros Garcia & Liane Costa Gabriel, 2021. "Asset Liability Management: Evidence from the Banco de Portugal defined benefit pension fund," Working Papers REM 2021/0159, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Davide Lauria & Giorgio Consigli & Francesca Maggioni, 2022. "Optimal chance-constrained pension fund management through dynamic stochastic control," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 44(3), pages 967-1007, September.
- Ivanka Daneva, 2009. "Investment Risk Management in Private Pension Systems," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 19-34.
- Chen, An & Uzelac, Filip, 2014. "A risk-based premium: What does it mean for DB plan sponsors?," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 1-11.
- Rob Bauer & Matteo Bonneti & Dirk Broeders, 2018. "Pension Funds Interconnections and Herd Behavior," DNB Working Papers 612, Netherlands Central Bank, Research Department.
More about this item
Keywords
accounting; actuarial method; asset liability management; comptabilité; defined benefit; discount rate; fair value; gestion actif-passif; investissement; investment; juste valeur; méthode actuarielle; méthode d'évaluation; organisme de retraite; pension fund; prestation définie; taux d'actualisation; valuation method;All these keywords.
JEL classification:
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- J32 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Nonwage Labor Costs and Benefits; Retirement Plans; Private Pensions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ACC-2007-06-23 (Accounting and Auditing)
- NEP-EEC-2007-06-23 (European Economics)
- NEP-REG-2007-06-23 (Regulation)
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