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

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.

• Type: Journal
• Year: 2006
• Where: OR
• Authors: Willem K. Klein Haneveld, Matthijs H. Streutker, Maarten H. van der Vlerk
• Keywords: Explicit Modeling, Indexation Decisions, Multistage Alm, Operations Research, OR 2006