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A Traffic light approach to solvency measurement of Swiss occupational pension funds

Recurso electrónico / electronic resource
MARC record
Tag12Value
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001  MAP20110035365
003  MAP
005  20110525094842.0
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎20
100  ‎$0‎MAPA20110016494‎$a‎Braun, Alexander
24500‎$a‎A Traffic light approach to solvency measurement of Swiss occupational pension funds‎$c‎Alexander Braun, Przemysaw Rymaszewski and Hato Schmeiser
520  ‎$a‎In this paper, authors combine a stochastic pension fund model with a traffic light approach to solvency measurement of occupational pension funds in Switzerland. Assuming normally distributed asset returns, a closed-form solution can be derived. Despite its simplicity, authors believe the model comprises the essential risk sources needed in supervisory practice.
650 1‎$0‎MAPA20080591021‎$a‎Fondos de pensiones
650 1‎$0‎MAPA20080552701‎$a‎Solvencia
650 1‎$0‎MAPA20100024867‎$a‎Regulación económica
650 1‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 1‎$0‎MAPA20080608804‎$a‎Supervisión de seguros
651 1‎$0‎MAPA20080637668‎$a‎Suiza
7001 ‎$0‎MAPA20110016487‎$a‎Rymaszewski, Przemysaw
7001 ‎$0‎MAPA20080147648‎$a‎Schmeiser, Hato
7730 ‎$w‎MAP20077100215‎$t‎Geneva papers on risk and insurance : issues and practice‎$d‎Geneva : The Geneva Association, 1976-‎$x‎1018-5895‎$g‎01/04/2011 Tomo 36 Número 2 - 2011 , p. 254-282