Strategic Allocation of Pension Reserve Funds: Application of ALM Model and LDI Technique || Asignación Estratégica de Fondos de Reserva de Pensiones: Aplicación del Modelo ALM y LDI Técnica

Strategic Allocation of Pension Reserve Funds: Application of ALM Model and LDI Technique || Asignación Estratégica de Fondos de Reserva de Pensiones: Aplicación del Modelo ALM y LDI Técnica

This article will focus on the research for the strategic allocation of reserve fund of the Moroccan pension scheme in order to ensure and improve its solvency. The first aim of this paper is to construct and test an Economic Scenario Generator (ESG) based on a model inspired of the Ahlgrim approach...

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Bibliographic Details
Main Authors: Aitoutouhen, Latifa, Hamza, Faris
Format: Article
Language:English
Published: Pablo de Olavide University 2019-12-01
Series:Revista de Métodos Cuantitativos para la Economía y la Empresa
Subjects:
solvency
reserves fund
economic scenario generation (esg)
monte carlo simulation
alm model
strategic allocation
ldi strategy
moroccan civil pensions regime
solvencia
fondo de reservas
generación de escenarios económicos (esg)
simulación de monte carlo
modelo alm
asignación estratégica
estrategia ldi
régimen de pensiones civiles marroquíes
Online Access:https://www.upo.es/revistas/index.php/RevMetCuant/article/view/3322/3858

Internet

https://www.upo.es/revistas/index.php/RevMetCuant/article/view/3322/3858

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