Contents:

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