Results 221 to 230 of about 3,885 (266)

Palmnet: A Pension Asset and Liability Model for the Netherlands

2005
This study presents a pension model geared to the typical pension contract in the Netherlands. It is based on a defined benefit/average earnings pension system. Nominal benefits are guaranteed and indexation is intended. The model provides a framework for analysing adjustments to such factors as the asset mix, retirement age, returns and the method of ...
Maarten van Rooij, Arjen Siegmann, Peter J.G. Vlaar   +2 more
openaire   +1 more source

Rethinking Pension Liabilities and Asset Allocation

The Journal of Portfolio Management, 2002
The objective of a defined-benefit pension fund9s asset allocation policy should be to fully fund accrued pension liabilities at the lowest cost to the plan sponsor, subject to sensible risk. A major risk plan sponsors face is that higher contributions will be required should the asset portfolio not be constructed properly.
Ronald J. Ryan, Frank J. Fabozzi
openaire   +1 more source

Asset-liability Optimization for Pension Fund Management

2000
We describe the problem of optimal asset allocation for a pension fund as a stochastic dynamic programming problem. We discuss the model generation, the formulation of the objective and solution methods. The original problem is nonconvex, but convex approximations can be found.
Pflug, G.C., Swietanowski, A.
openaire   +2 more sources

Asset Allocation Dynamics of Pension Funds

SSRN Electronic Journal, 2016
How does portfolio of long-term investors like pension funds change relative to the stated strategic portfolio? We investigate their portfolio dynamics using an international database that spans over 20 years and focus on portfolio rebalancing. We find that a significant proportion of the change in the weight of equity is related to passive change in ...
Dennis Bams, Peter C. Schotman, Mukul Tyagi   +2 more
openaire   +1 more source

Optimal asset management for pension funds

Managerial Finance, 2006
PurposeThe purpose of this paper is to study the asset allocation problem for a pension fund which maximizes the expected present value of its wealth augmented by the prospective mathematical reserve at the death time of a representative member.Design/methodology/approachThe paper applies the stochastic optimization technique in continuous time.
MENONCIN, Francesco, SCAILLET O.
openaire   +2 more sources

Asymmetric Timeliness in Pension Asset Accounting

SSRN Electronic Journal, 2008
We investigate whether revisions in the expected rate of return on pension plan assets are more sensitive to the difference between realized returns and expected returns when realized returns fall short of expectations than when they exceed expectations.
Richard M. Frankel, Xiumin Martin, Ron Shalev   +2 more
openaire   +1 more source

Pension schemes as options on pension fund assets: implications for pension fund management

Insurance: Mathematics and Economics, 1998
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +2 more sources

Managing Pension and Retirement Assets: An International Perspective

Journal of Financial Services Research, 1990
A major force behind private saving, both in theory and in practice, is the retirement motive. How these savings are invested can have profound effects on capital markets around the world. This article analyzes the institutional forms that private retirement savings take, how they have affected capital markets to date, and how they might affect them in
openaire   +1 more source

Pension Assets Investments in the Nigerian Economy

Saudi Journal of Economics and Finance, 2023
This study looked into pension assets investments and its impact in the Nigerian economy. The investments includes quarterly reports of corporate debt securities, government bond securities, mutual funds’ investments, money market instruments, private equity funds and real estate securities from 2004 – 2020, and was sourced from the statistics database
openaire   +1 more source

De-Risking Pensions, Managing Assets

2023
Chapter 9 examines the emergence of the pension de-risking market, which in many ways is exemplary of the changes in the insurance industry more generally. The chapter provides a brief historical overview of what became known as the ‘pensions crisis’ that led to the closure of many defined benefit pension schemes, leaving the legacy defined benefit ...
openaire   +2 more sources