|edoc-Server der Humboldt-Universität zu Berlin|
Maarten H. van der Vlerk, University of Groningen|
Willem K. Klein Haneveld, University of Groningen
Matthijs H. Streutker, University of Groningen
|Title:||Integrated chance constraints in an ALM model for pension funds|
|Date of Acceptance:||04.07.2003|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10059094)|
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|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 multi-stage 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.|
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