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IMA Journal of Management Mathematics Advance Access published online on June 17, 2009
IMA Journal of Management Mathematics, doi:10.1093/imaman/dpp010
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© The authors 2009. Published by Oxford University Press on behalf of the Institute of Mathematics and its Applications. All rights reserved.

Indexation of Dutch pension rights in multistage recourse ALM models

Willem K. Klein Haneveld, Matthijs H. Streutker{dagger} and Maarten H. van der Vlerk

Department of Operations, University of Groningen, PO Box 800, 9700 AV Groningen, The Netherlands

{dagger} Corresponding author. Email: m.h.streutker{at}rug.nl

Received on 29 June 2007. Accepted on 2 July 2008.

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.

Keywords: multistage recourse modelling; asset liability management; indexation


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