Retire Comfortably?

Michael Dempster and Elena Medova

Pension systems are in crisis, but new products to support lifestyle advice over a lifetime are already available. This article describes iALM, our state of the art Individual Asset Liability Management software, that can help with such advice.

Managing Guarantees

M.A. Dempster, M. Germano, E.A. Medova, M.I. Reitbergen, F. Sandrini and M. Scrowston

Changing attitudes towards risk have seen a growth in demand for guaranteed products, offering limited liability but access to potentially higher returns through exposure to risky assets. This article, from the Journal of Portfolio Management (Vol. 32.2, Winter 2006), analyzes the optimal strategic asset allocation for a closed-end guaranteed return fund over its lifetime using the techniques of dynamic stochastic optimization.