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A Traffic light approach to solvency measurement of Swiss occupational pension funds
Recurso electrónico / electronic resource
MAP20110035365
Braun, Alexander ‌
A Traffic light approach to solvency measurement of Swiss occupational pension funds / Alexander Braun, Przemysaw Rymaszewski and Hato Schmeiser
Sumario: 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
En: Geneva papers on risk and insurance : issues and practice. - Geneva : The Geneva Association, 1976- = ISSN 1018-5895. - 01/04/2011 Tomo 36 Número 2 - 2011 , p. 254-282
1. Fondos de pensiones ‌. 2. Solvencia ‌. 3. Regulación económica ‌. 4. Matemática del seguro ‌. 5. Supervisión de seguros ‌. 6. Suiza ‌. I. Rymaszewski, Przemysaw ‌. II. Schmeiser, Hato ‌.