Format:
1 Online-Ressource (15 Seiten)
Series Statement:
Stochastic Programming E-Print Series 2003,2003,13
Content:
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.
Language:
English
URN:
urn:nbn:de:kobv:11-10059094
URL:
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