ALM model for pension funds: numerical results for a prototype model

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

No 02A44, Research Report from University of Groningen, Research Institute SOM (Systems, Organisations and Management)

Abstract: A multistage mixed-integer stochastic programming model is formulated for an Asset Liability Management problem for pension funds. Since these models are too difficult to solve for realistically sized problems, a heuristic is described. Numerical results for several instances of a prototype model are presented and discussed.

Date: 2002
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