An ALM model for pension funds using integrated chance constraints

作者：Haneveld Willem K Klein; Streutker Matthijs H; van der Vlerk Maarten H^*

来源：Annals of Operations Research, 2010, 177(1): 47-62.

DOI：10.1007/s10479-009-0594-4

• Modeling
• ALM
• Integrated chance constraints
• Multistage mixed-integer recourse

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 multistage recourse model, with special attention for modeling short-term risk prompted by the development of new guidelines by the regulating authority for Dutch pension funds. The paper concludes with a numerical illustration of the importance of such short-term risk constraints.

• 出版日期2010-6