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- Title
Fuzzy Liability Driven Pension Fund Management.
- Authors
Shiller, Ilona; Radikoko, Ishmael
- Abstract
Due to the several factors, the applicability of crisp techniques to the pension debt valuation and fund management is questionable. We take a fuzzy approach and use triangular fuzzy numbers (T.F.N.s) to capture the above imprecision. We suggest that the best pension fund strategy is that of a fuzzy contingent immunization. This will involve an active management of pension plan's assets until the value for the pension threshold is reached, at which time the pension fund manager should switch to a fuzzy immunization strategy. We apply this strategy to the Canadian firm-level data and report results.
- Subjects
CANADA; PENSION trust management; FUZZY control systems; FUZZY numbers; DEBT valuation; ALGEBRAIC immunity; BUSINESS enterprises
- Publication
Journal of Accounting & Finance (2158-3625), 2014, Vol 14, Issue 1, p23
- ISSN
2158-3625
- Publication type
Article