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Asset and Liability Management Tools: A Handbook for Best Practice
Risk Waters, June 2003, Pages: 333
Introduction: Rethinking Asset Management: Consequences of the Pension Crisis
PART 1: FOUNDATIONS
1 Fair Value of Liabilities: The Financial Economics Perspective
David F. Babbel of The Warton School, University of Pennsylvania, Jeremy Gold of Jeremy Gold Pensions and Craig B. Merrill of Brigham Young University
2 A Modern Perspective on Institutional Investment Policy
Jon Exley of Mercer Investment Consulting
3 Pension Mathematics in Actuarial Science
Alfred Kussmaul and Reiner Schwinger of Rauser AG
PART 2: VALUATION
4 An Analysis of the Hedging Approach to Modelling Pension Fund Liabilities
John Randall of Birkbeck College and Stephen Satchell of Cambridge University
5 Approximating Corporate Liabilities
Thomas Jasper of Rauser AG and Bernd Scherer of Deutsche Bank
6 Market Risk and Credit Risk of Old-age Security Systems
Markus Rudolf of WHU Otto Beisheim Graduate School of Management
7 An Introduction to the Fair Valuation of Life Insurance Liabilities
David Prieul and Vladislav Putyatin of Deutsche Bank
8 State-price Deflators
Stuart Jarvis of Hewitt Bacon & Woodrow, Frances Southall and Elliot Varnell of Deloitte & Touche
9 Option Pricing with Deflators
Andrew D. Smith of Deloitte & Touche
PART 3: SIMULATION
10 Simulation for the Long Run
Roy P. M. M. Hoevenaars of ABP Investments and Maastricht University, Roderick D. J. Molenaar of ABP Investments and Tom B. M. Steenkamp of ABP Investments and Vrije University of Amsterdam
11 Economic Cascade Models
Elke Eberts of University for Applied Science of the Federal Institute, Mannheim and Raimond Maurer of Johann Wolfgang Goethe Univeristy, Frankfurt
12 Vector Autoregression Modelling Tools for Asset Liability Management
Norman R. Swanson of Rutgers University and DFA Capital Management, Inc., Joseph R. Fairchild of Faircorp Inc. and Hal W. Pedersen of University of Manitoba
PART 4: OPTIMISATION
13 Portfolio Optimisation with Drawdown Constraints
Alexei Chekhlov, Stanislav Uryasev and Michael Zabarankin of University of Florida
14 A Hybrid Simulation / Tree Stochastic Optimisation Model for Dynamic Asset Allocation
Norio Hibiki of Keio University
15 Asset Liability Management using Stochastic Programming
Mehndi Pirbhai of CARISMA (Brunel University), Gautam Mitra of CARISMA (Brunel University) and OptiRisk Ltd; and Triphonas Kyriakis of Analytics Ltd
16 Asset Liability Management Modelling using Multistage Mixed-integer Stochastic Programming
Sibrand J. Drijver, Willem K. Klein Haneveld and Maarten H. van der Vlerk of University of Groningen, The Netherlands
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