Defined benefit pension strategy with stochastic volatility

Defined benefit pension strategy with stochastic volatility

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Splitting the portfolio

Most pension funds in the Netherlands are based on the defined benefit (DB) scheme. The financial positions of these DB funds are under pressure due to longevity, the current recession and the low discount rates for liabilities. The fund’s position is often represented by the funding level, which is defined as the fund’s assets divided by its liabilities. The time evolution of the funding level depends critically on how the investment strategy of the fund is set. The investment strategy of most

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