2003-07-04Buch DOI: 10.18452/2927
Integrated chance constraints in an ALM model for pension funds
Vlerk, Maarten H. van der
Haneveld, Willem K. Klein
Streutker, Matthijs H.
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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