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.
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© 1997 Springer-Verlag Berlin Heidelberg
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Kouwenberg, R. (1997). Asset Liability Management for Pension Funds: Elements of Dert’s Model. In: Zopounidis, C. (eds) New Operational Approaches for Financial Modelling. Contributions to Management Science. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-59270-6_3
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DOI: https://doi.org/10.1007/978-3-642-59270-6_3
Publisher Name: Physica, Heidelberg
Print ISBN: 978-3-7908-1043-1
Online ISBN: 978-3-642-59270-6
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