scholarly journals Asset-liability management for Czech pension funds using stochastic programming

2008 ◽  
Vol 165 (1) ◽  
pp. 5-28 ◽  
Author(s):  
Jitka Dupačová ◽  
Jan Polívka
Keyword(s):  
Stochastic Programming ◽  
Pension Funds ◽  
Asset Liability Management ◽  
Liability Management

scholarly journals Asset liability management for Tanzania pension funds by stochastic programming

2018 ◽  
Vol 13 (3) ◽  
pp. 1733-1758
Author(s):  
John Andongwisye ◽  
Larsson Torbjörn ◽  
Martin Singull ◽  
Allen Mushi
Keyword(s):  
Stochastic Programming ◽  
Pension Funds ◽  
Asset Liability Management ◽  
Liability Management

Asset-Liability Management

2019 ◽  
pp. 75-95
Author(s):  
Hyun Song Shin
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Pension Funds ◽  
Fixed Income ◽  
Asset Liability Management ◽  
Life Insurers ◽  
Liability Management ◽  
Demand Curves

Life insurers and pension funds have obligations to policy holders and beneficiaries and hold fixed income assets to meet those obligations. Asset-liability management matches the duration of assets to duration of liabilities to minimise risks from interest rate changes. However, this rule can lead to upward sloping demand curves for fixed income assets and can lead to overshooting of long-term interest rates.

scholarly journals A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry

2016 ◽  
Vol 18 (2) ◽  
pp. 349-368 ◽  
Author(s):  
Alan Delgado de Oliveira ◽  
Tiago Pascoal Filomena ◽  
Marcelo Scherer Perlin ◽  
Miguel Lejeune ◽  
Guilherme Ribeiro de Macedo
Keyword(s):  
Stochastic Programming ◽  
Pension Fund ◽  
Management Model ◽  
Multistage Stochastic Programming ◽  
Asset Liability Management ◽  
Liability Management ◽  
Fund Industry

scholarly journals A Systematic Approach for Asset Liability Management of Pension Funds in a Fuzzy Environment

2017 ◽  
Vol 8 (29) ◽  
pp. 201-239
Author(s):  
Hamidreza Izadbakhsh ◽  
Ahmad Soleymanzadeh ◽  
Hamed Davari Ardakani ◽  
Marzieh Zarinbal ◽  
◽  
...  
Keyword(s):  
Systematic Approach ◽  
Pension Funds ◽  
Asset Liability Management ◽  
Fuzzy Environment ◽  
Liability Management
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