This article shows how valuation techniques for pension liabilities in risk-sharing pension
plans affect the distribution of wealth between generations. Some techniques in use today …

… We refer to Kocken (2006) for an elaborate treatment of the valuation of embedded options
incorporating counterparty risk (corporate pension fund case), as well as an analysis of the …

In this paper we use a scenario-based ALM model to study the effects on the riskreturn profile
of defined benefit pension funds from including options in the pension fund portfolio. Our …

This article explains why and how maturing defined benefit pension plans become increasingly
unstable if they maintain asset mix policies that embody material mismatch risk between …

Interest rates are currently at a historical low. Since in the longer run interest rates will return
to their historical average, this implies that bond prices are about to fall. Popular investment …

… The classical transportation problem (TP) is a special type of linear programming problem.
The purpose of TP is to transport the goods from sources to destinations. TP is also used in …

In this paper we use a scenario-based ALM model to study the impact of different interest
rate derivatives strategies on the risk-return profile of a defined benefit pension fund. The …

In this paper we use a scenario-based ALM model to study the effects on the risk-return profile
of defined benefit pension funds from including options in the pension fund portfolio. Our …

In this study, game theory and fuzzy programming approaches were used to balance economic
and environmental impacts in the Namazgah reservoir, Turkey. The main goals identified …

The linear fractional transportation problem (LFTP) is widely encountered as a particular
type of transportation problem (TP) in real-life. In this paper, a novel algorithm, based on the …