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 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.
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Klein Haneveld, W.K., Streutker, M.H. & van der Vlerk, M.H. An ALM model for pension funds using integrated chance constraints. Ann Oper Res 177, 47–62 (2010). https://doi.org/10.1007/s10479-009-0594-4
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DOI: https://doi.org/10.1007/s10479-009-0594-4