Asset liability management modeling using multi-stage mixed-integer stochastic programming

Maarten H. van der Vlerk, W.K. Klein Haneveld and S.J. Drijver
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S.J. Drijver: Groningen University

No 00A52, Research Report from University of Groningen, Research Institute SOM (Systems, Organisations and Management)

Abstract: A pension fund has to match the portfolio of long-term liabilities with the portfolio of assets. Key instruments in strategic Asset Liability Management (ALM) are the adjustments of the contribution rate of the sponsor and the reallocation of the investments in several asset classes at various points of time. We formulate a multistage mixed-integer stochastic program to model this ALM process. Special attention is paid to the use of binary variables.

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:gro:rugsom:00a52

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