Asset Liability Management for Pension Funds: A Multistage Chance Constrained Programming Approach

markdownabstract__Abstract__ This thesis presents a scenario based optimisation model to analyze the investment policy and funding policy for pension funds, taking into account the development of the liabilities in conjunction with the economic environment. Such a policy will be referred to as an asset liability management (ALM) policy. The model has been developed to compute dynamic ALM policies that: - guarantee an acceptably small probability of underfunding, - guarantee sufficiently stable future contributions, -minimise the present value of expected future contributions by the plan sponsors.