文章基本信息

标题：A Pension ASSET and Liability Model for the Netherlands
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作者：M.C.J. van Rooij ; A.H. Siegmann ; P.J.G. Vlaar 等
期刊名称：DNB Research Reports
出版年度：2004
卷号：1
出版社：De Nederlandsche Bank
摘要：This study presents a pension model geared to the typical pension contract in the Netherlands. It isbased on a defined benefit/average earnings pension system. Nominal benefits are guaranteed andindexation is intended. The model provides a framework for analysing adjustments to such factors asthe asset mix, retirement age, returns and the method of discounting, premium setting and indexation.The importance of uncertainty over interest rate movements and returns on shares is made explicit bymeans of stochastic and historical simulations. In this, PALMNET differs from existing, oftendeterministic pension models. The main findings are, first, a wage -indexed defined benefit pension isstill affordable despite the current shortfall of wealth of pension funds. Second, fair value accountingconsiderably increases the volatility of pension premiums. Third, reducing risks by adjusting the assetmix towards more bonds is costly in terms of average premiums, but reduces the volatility. Theseconclusions are based on realistic to conservative assumptions regarding returns and risks.
关键词：Actuarial pension model; Monte Carlo simulation; historical simulation