An ALM model for pension funds using integrated chance constraints
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Publication:1958618
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Cites work
- ALM modeling for Dutch pension funds in an era of pension reform
- Convex approximations for complete integer recourse models
- Duality in stochastic linear and dynamic programming
- scientific article; zbMATH DE number 5007547 (Why is no real title available?)
- scientific article; zbMATH DE number 1304939 (Why is no real title available?)
- scientific article; zbMATH DE number 1031410 (Why is no real title available?)
- Integrated chance constraints: reduced forms and an algorithm
- Modeling support for multistage recourse problems
- Probabilistic constrained optimization. Methodology and applications
- SLP-IOR: An interactive model management system for stochastic linear programs
- Some remarks on the value-at-risk and the conditional value-at-risk
- Stochastic integer programming: general models and algorithms
- Stochastic programming with simple integer recourse
Cited in
(20)- ALM models based on second order stochastic dominance
- Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
- The optimal harvesting problem under price uncertainty: the risk averse case
- A fractional stochastic integer programming problem for reliability-to-stability ratio in forest harvesting
- Asset liability management for the parliamentary pension scheme of Uganda by stochastic programming
- Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system
- Financial planning for Young households
- A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry
- Genetic algorithm based technique for solving chance constrained problems
- A multistage linear stochastic programming model for optimal corporate debt management
- Optimal chance-constrained pension fund management through dynamic stochastic control
- Nonlinear chance constrained problems: optimality conditions, regularization and solvers
- Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
- The Innovest Austrian Pension Fund Financial Planning Model InnoALM
- Indexation of Dutch pension rights in multistage recourse ALM models
- On integrated chance constraints in ALM for pension funds
- scientific article; zbMATH DE number 7582872 (Why is no real title available?)
- ALM modeling for Dutch pension funds in an era of pension reform
- Higher moment coherent risk measures
- Collective adjustment of pension rights in ALM models
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