Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
Year of publication: |
November 2017
|
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Authors: | Duarte, Thiago B. ; Valladão, Davi M. ; Veiga, Alvaro |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 77.2017, p. 177-188
|
Subject: | ALM | Stochastic programming | Insolvency risk | Supplementary pension | Optimal allocation | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process | Theorie | Theory | Pensionskasse | Pension fund | Portfolio-Management | Portfolio selection |
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