scientific article; zbMATH DE number 1031410

zbMATH Open0884.90025MaRDI QIDQ4343733FDOQ4343733

Authors: Cees L. Dert 

Publication date: 6 July 1997

Title of this publication is not available (Why is that?)

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zbMATH Keywords

pension fundsasset liability managementscenario based optimisation model

Mathematics Subject Classification ID

Applications of mathematical programming (90C90)

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• Financial planning via multi-stage stochastic optimization.
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• On integrated chance constraints in ALM for pension funds
• Scenario generation and stochastic programming models for asset liability management
• Integrated chance constraints: reduced forms and an algorithm
• Generating interest rate scenarios for bank asset liability management
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• An ALM model for pension funds using integrated chance constraints
• Chance constraint programming problems with parameters as exponential random variable
• Asset liability management for Tanzania: pension funds by stochastic programming
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• Modeling financial reinsurance in the casualty insurance business via stochastic programming

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