Integrated chance constraints in an ALM model for pension funds
| dc.contributor.author | Vlerk, Maarten H. van der | |
| dc.contributor.author | Haneveld, Willem K. Klein | |
| dc.contributor.author | Streutker, Matthijs H. | |
| dc.contributor.editor | Higle, Julie L. | |
| dc.contributor.editor | Römisch, Werner | |
| dc.contributor.editor | Sen, Surrajeet | |
| dc.date.accessioned | 2017-06-16T19:53:03Z | |
| dc.date.available | 2017-06-16T19:53:03Z | |
| dc.date.created | 2006-03-01 | |
| dc.date.issued | 2003-07-04 | |
| dc.date.submitted | 2003-05-28 | |
| dc.identifier.uri | http://edoc.hu-berlin.de/18452/8947 | |
| dc.description.abstract | 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. | eng |
| dc.language.iso | eng | |
| dc.publisher | Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik | |
| dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
| dc.subject.ddc | 510 Mathematik | |
| dc.title | Integrated chance constraints in an ALM model for pension funds | |
| dc.type | book | |
| dc.identifier.urn | urn:nbn:de:kobv:11-10059094 | |
| dc.identifier.doi | http://dx.doi.org/10.18452/8295 | |
| local.edoc.container-title | Stochastic Programming E-Print Series | |
| local.edoc.pages | 15 | |
| local.edoc.type-name | Buch | |
| local.edoc.container-type | series | |
| local.edoc.container-type-name | Schriftenreihe | |
| local.edoc.container-volume | 2003 | |
| local.edoc.container-issue | 13 | |
| local.edoc.container-erstkatid | 2936317-2 |
