An ALM Model for Pension Funds using Integrated Chance Constraints

W.K.. Klein Haneveld, M.H. Streutker and M.H. van der Vlerk
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M.H. van der Vlerk: Groningen University

No 05A03, 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 a numerical illustration of the importance of such short-term risk constraints.

Date: 2005
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Citations: View citations in EconPapers (3)

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