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Modelling the Assets and Liabilities of a Pension Fund
| Content Provider | Semantic Scholar |
|---|---|
| Author | Anderson, Douglas |
| Copyright Year | 2002 |
| Abstract | In the context of the historical development of portfolio theory the authors describe a stochastic asset/liability modelling exercise for a closed pension fund portfolio, illustrating the reduction in variance of estimated future surplus which can be achieved by investment in index-linked securities. Equity investment would increase the expected level of surplus, but the outcome would be more uncertain and there could be a not insignificant probability that the assets may ultimately prove insufficient to meet the liabilities. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.actuaries.org/AFIR/Colloquia/Rome/Daykin_Ballantine_Anderson.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
