Integrated chance constraints in an ALM model for pension funds
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.
Year of publication: |
2003
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Authors: | Vlerk, Maarten H. van der |
Institutions: | Faculteit Economie en Bedrijfskunde, Rijksuniversiteit Groningen |
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