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<H4>Contents</H4>Collective pension schemes that offer so called Defined Benefit pensions (DB, the annual income for retirees is fixed as long as they survive) have a number of attractive features but also some limitations. Trustees of DB funds face a number of important decisions, including: the investment strategy that is used to invest premium income, the funding policy (i.e. fixed or variable premiums), and the type of pension scheme (i.e. based on final pay or average pay, indexation or no indexation). Asset Liability Management is concerned with the effect of these policy choices on risk measures such as the ratio of assets to liabilities (funding ratio) and downside deviation. In particular multivariate time series modelling (Vector Auto Regression) and term structure models are used to simulate financial portfolios. Finally, dynamic programming can be used to choose optimal strategies. The goal of this course is to provide thorough insight in both the concepts and the techniques related to ALM. Moreover the cost of benefits of collective schemes versus individual Defined Contribution schemes (DC, income in retirement depends on investment returns) will be addressed by considering the optimal investment and consumption problem from the individual point of view. <br>
<H4>Compulsory Reading</H4>
<OL>
<LI>Selected journal papers and additional material.</LI></OL>
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