Integrated chance constraints in an ALM model for pension funds

Maarten H. van der Vlerk; Willem K. Klein Haneveld; Matthijs H. Streutker

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SPEPS Preprint

Author(s):	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
Submission Date:	28.05.2003
Series Title:	Stochastic Programming E-Print Series (SPEPS)
Editors:	Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint:	pdf (urn:nbn:de:kobv:11-10059094)
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Abstract (eng):

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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