A recent discussion of the future of life-cycle saving and investment posed the question:''Can
computer-based personal financial planning models that conform to the principles of …

The defined-benefit pension system poses substantial, long-term risks for the US economy.
We describe a flexible asset-liability management (ALM) system for pension planning. The …

In this paper we consider the problem of selecting an absolute return portfolio. This is a
portfolio of assets that is designed to deliver a good return irrespective of how the underlying …

Asset liability management for individual households Abstract of the London Discussion Page
1 British Actuarial Journal, Vol. 16, part 2, pp. 441–467. © Institute and Faculty of Actuaries …

Exponential affine models (EAMs) are factor models popular in financial asset pricing
requiring a dynamic term structure, such as for interest rates and commodity futures. When …

The First Collection That Covers This Field at the Dynamic Strategic and One-Period Tactical
Levels. Addressing the imbalance between research and practice, Quantitative Fund …

This article presents a Gaussian three-factor model of the term structure of interest rates
which is Markov and time-homogeneous. The model captures the whole term structure and …

Pension systems are in crisis. Every day brings dire warnings of future pov-erty across the
globe for large numbers of older people. Governments and corporations are pushing the …

A dynamic stochastic optimization model of strategic assetliability management is useful in
advising underfunded defined benefit pension schemes on best practice for returning to …

A fixed topology of stages and/or a fixed branching scheme are common assumptions for
applications and numerical solution of scenario based multistage stochastic programs …