Klein Haneveld, W.K..; Streutker, M.H.; Vlerk, M.H. van der - Faculteit Economie en Bedrijfskunde, Rijksuniversiteit … - 2005
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...