Article ID: | iaor20103342 |
Volume: | 21 |
Issue: | 2 |
Start Page Number: | 131 |
End Page Number: | 148 |
Publication Date: | Apr 2010 |
Journal: | IMA Journal of Management Mathematics |
Authors: | Klein Haneveld Willem K, Streutker Matthijs H, van der Vlerk Maarten H |
Keywords: | Netherlands, pensions |
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.