Indexation of Dutch pension rights in multistage recourse ALM models

W.K. Klein Haneveld, M.H. Streutker*, M.H. van der Vlerk

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

5 Citations (Scopus)

Abstract

Indexation (correction for inflation) of defined benefit pension rights is an important topic in the current pension debate fostered by the ageing of populations. In the Netherlands, pension funds need to formulate policies concerning indexation. We show how indexation decisions can be modelled adequately in multistage recourse asset liability management (ALM) models, which can be used for supporting the policy making. Moreover, for a stylized pension fund, we analyze the working of these indexation decisions in a numerical experiment.

Original languageEnglish
Pages (from-to)131-148
Number of pages18
JournalIMA Journal of Management Mathematics
Volume21
Issue number2
DOIs
Publication statusPublished - Apr-2010

Keywords

  • multistage recourse modelling
  • asset liability management
  • indexation
  • ASSET-LIABILITY MANAGEMENT
  • SYSTEM

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