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- W62849604 abstract "The 2008 financial crisis indicated the limitations of the Asset Liability Management models used to advisepension funds. The huge losses on the invested portfolios of pension funds were so unlikely according to theALM model that they were deemed impossible. Combined with a very low interest rate huge drops in thecoverage ratio of pension funds were realized, resulting in public disturbance. In this research a new method isproposed which includes a future crisis period within the investments. In this research the Asset Liability ManagementIncluding Crisis for Assets Returns (ALMICAR) model is proposed, which incorporates crises periodswithin the existing Asset Liability Management (ALM) framework. In this way the ALMICAR model allowsto incorporate a crisis directly into the decision making process for future investments of pension funds insteadof using separate stress scenarios to evaluate the impact of a crisis. A comparison between the ALMICAR andAEGON's ALM model is made. The research shows that the simulations for future returns made with theALMICAR model are more realistic than the simulations from AEGON's existing ALM model. As a result,pension funds are able to make more informed decisions on their investments." @default.
- W62849604 created "2016-06-24" @default.
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- W62849604 date "2011-01-20" @default.
- W62849604 modified "2023-09-26" @default.
- W62849604 title "Pension funds, prepare for crisis" @default.
- W62849604 hasPublicationYear "2011" @default.
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