Abstract
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.
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Klein Haneveld, W.K., Streutker, M.H., van der Vlerk, M.H. (2007). ALM Modeling for Dutch Pension Funds in an Era of Pension Reform. In: Waldmann, KH., Stocker, U.M. (eds) Operations Research Proceedings 2006. Operations Research Proceedings, vol 2006. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-69995-8_95
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DOI: https://doi.org/10.1007/978-3-540-69995-8_95
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