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.
Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
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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