Integrated chance constraints in an ALM model for pension funds

Maarten H. van der Vlerk
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Maarten H. van der Vlerk: Groningen University

No 03A21, Research Report from University of Groningen, Research Institute SOM (Systems, Organisations and Management)

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 the guidelines proposed by the regulating authority for Dutch pension funds. The paper concludes with an outline of a special-purpose heuristic, which is used to approximately solve the resulting model which contains many binary decision variables.

Date: 2003
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Citations: View citations in EconPapers (4)

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