An ALM model for pension funds using integrated chance constraints

Willem Klein Haneveld, Matthijs Streutker and Maarten Vlerk ()

Annals of Operations Research, 2010, vol. 177, issue 1, 47-62

Abstract: We discuss integrated chance constraints in their role of short-term risk constraints in a strategic ALM model for Dutch pension funds. The problem is set up as a multistage recourse model, with special attention for modeling short-term risk prompted by the development of new guidelines by the regulating authority for Dutch pension funds. The paper concludes with a numerical illustration of the importance of such short-term risk constraints. Copyright The Author(s) 2010

Keywords: Modeling; ALM; Integrated chance constraints; Multistage mixed-integer recourse (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (15)

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DOI: 10.1007/s10479-009-0594-4

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