Deza, Antoine; Goldengorin, Boris; Pasechnik, Dmitrii V. - Faculteit Economie en Bedrijfskunde, Rijksuniversiteit … - 2003
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...