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2003-07-04Buch DOI: 10.18452/8295
Integrated chance constraints in an ALM model for pension funds
dc.contributor.authorVlerk, Maarten H. van der
dc.contributor.authorHaneveld, Willem K. Klein
dc.contributor.authorStreutker, Matthijs H.
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:53:03Z
dc.date.available2017-06-16T19:53:03Z
dc.date.created2006-03-01
dc.date.issued2003-07-04
dc.date.submitted2003-05-28
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8947
dc.description.abstractWe 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc510 Mathematik
dc.titleIntegrated chance constraints in an ALM model for pension funds
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10059094
dc.identifier.doihttp://dx.doi.org/10.18452/8295
local.edoc.pages15
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
dc.identifier.zdb2936317-2
bua.series.nameStochastic Programming E-Print Series
bua.series.issuenumber2003,13

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