Integrated chance constraints in an ALM model for pension funds

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 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.

[1]  R. Wets,et al.  Stochastic programming , 1989 .

[2]  Maarten H. van der Vlerk,et al.  Asset liability management modeling using multi-stage mixed-integer stochastic programming , 2000 .

[3]  Maarten H. van der Vlerk.  Stochastic Programming with Simple Integer Recourse , 2001, Encyclopedia of Optimization.

[4]  C. Dert.  Asset Liability Management for Pension Funds: A Multistage Chance Constrained Programming Approach , 1995 .

[5]  Stein W. Wallace,et al.  Stochastic programming in energy , 2003 .

[6]  Maarten H. van der Vlerk,et al.  Convex approximations for complete integer recourse models , 2004, Math. Program..

[7]  A. Skowron,et al.  Methodology and applications , 1998 .

[8]  W. K. Haneveld.  Duality in Stochastic Linear and Dynamic Programming , 1986 .

[9]  R. Schultz,et al.  Multistage Stochastic Integer Programs: An Introduction , 2001 .

[10]  George L. Nemhauser,et al.  Handbooks in operations research and management science , 1989 .

[11]  Hans-Jürgen Zimmermann,et al.  On stochastic integer programming , 1975, Z. Oper. Research.

[12]  Maarten H. van der Vlerk,et al.  ALM model for pension funds: numerical results for a prototype model , 2002 .

[13]  L. Stougie,et al.  Approximation in Stochastic integer programming , 2003 .

[14]  R. Weiner.  Lecture Notes in Economics and Mathematical Systems , 1985 .

[15]  Maarten H. van der Vlerk,et al.  Stochastic integer programming:General models and algorithms , 1999, Ann. Oper. Res..

[16]  Stan Uryasev,et al.  Probabilistic Constrained Optimization , 2000 .