P.O.B. 98
1000 AB Amsterdam
Netherlands
De Nederlandsche Bank - Econometrics
Actuarial pension model, Monte Carlo simulation, Historical simulation
Discrete time, no-arbitrage, expected inflation, stochastic risk aversion, stochastic volatility, generalized essentially affine model
rational expectations, portfolio balance model, Taylor rule, Kalman filter, foreign direct investment
asset and liability management, fair value versus actuarial discounting, defined benefit pension funds, Monte Carlo simulation, pension liabilities, conidtional indexation
aggregation, model selection, time series models, inflation
