Our research project analyses the suitability of social responsible investments (SRI) and alternative asset classes (in particular commodities, hedge fund in-vestments, high-yield bonds) for the portfolio management of German Pension Insurance Funds (Pensionskassen), the largest external...

This work considers stochastic models of defined benefit pension plans. Stochastic growth rate of salary, and stochastic mortality is allowed to evaluate pension plan. Especially important thing is that based on Momon (2004), we extend Vasicek model to multi-dimentional cases and use it to mode...