Centro de Documentacion de Fundación MAPFRE - A Traffic light approach to solvency measurement of Swiss occupational pension funds

Notas: 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.Registros relacionados: 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. 254-282Materia / lugar / evento: Fondos de pensiones Solvencia Regulación económica Matemática del seguro Supervisión de seguros Suiza Otros autores: Rymaszewski, Przemysaw
Schmeiser, Hato
Outras classificações: 20

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