Asset Liability Management for Pension Funds: Elements of Dert’s Model

  • Roy Kouwenberg
Conference paper
Part of the Contributions to Management Science book series (MANAGEMENT SC.)

Abstract

This paper contains a short description of the asset liability model for pension funds that is proposed in Dert (1995). The essential elements of the model, according to the author of this paper, are highlighted. A comparison with other asset liability models from the literature is made. It will be argued that Dert’s model provides the opportunity to formulate the long run planning problem of a pension fund in a realistic way. Directions for further research are proposed.

Keywords

Asset liability management Pension funds Stochastic programming 
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References

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Copyright information

© Springer-Verlag Berlin Heidelberg 1997

Authors and Affiliations

  • Roy Kouwenberg
    • 1
  1. 1.Tinbergen InstituteErasmus University RotterdamThe Netherlands

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