Traditional ALM first sets the policy parameters and then assesses the impact on some sub-set of risk and return measures. We propose a method to ‘invert' the traditional ALM approach: first formulate the desired level of risk and return measures and then systematically search through the...

This paper outlines a risk decision support system designed to arrive at well-substantiated policy decisions using asset liability management (ALM) models. The risk decision support system explicitly takes into account that 1) there are multiple risk and return measures that are all important to...

This paper defines an approximation to the value of funding ratio put options for pension funds. This option is, by construction, the ideal option to hedge the risk of a funding ratio falling below some required minimum level. It's value can be used for several applications, for example as a...