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

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<title>A Traffic light approach to solvency measurement of Swiss occupational pension funds</title>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20110016487">
<namePart>Rymaszewski, Przemysaw</namePart>
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<namePart>Schmeiser, Hato</namePart>
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<dateIssued encoding="marc">2011</dateIssued>
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<abstract displayLabel="Summary">In 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.</abstract>
<note type="statement of responsibility">Alexander Braun, Przemysaw Rymaszewski and Hato Schmeiser</note>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080591021">
<topic>Fondos de pensiones</topic>
</subject>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080552701">
<topic>Solvencia</topic>
</subject>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20100024867">
<topic>Regulación económica</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080602437">
<topic>Matemática del seguro</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080608804">
<topic>Supervisión de seguros</topic>
</subject>
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<geographic>Suiza</geographic>
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<title>Geneva papers on risk and insurance : issues and practice</title>
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<publisher>Geneva : The Geneva Association, 1976-</publisher>
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<identifier type="issn">1018-5895</identifier>
<identifier type="local">MAP20077100215</identifier>
<part>
<text>01/04/2011 Tomo 36 Número 2  - 2011 , p. 254-282</text>
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<recordCreationDate encoding="marc">110519</recordCreationDate>
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<recordIdentifier source="MAP">MAP20110035365</recordIdentifier>
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