On integrated chance constraints in ALM for pension funds
From MaRDI portal
(Redirected from Publication:4562945)
Abstract: We discuss the role of integrated chance constraints (ICC) as quantitative risk constraints in asset and liability management (ALM) for pension funds. We define two types of ICC: the one period integrated chance constraint (OICC) and the multiperiod integrated chance constraint (MICC). As their names suggest, the OICC covers only one period whereas several periods are taken into account with the MICC. A multistage stochastic linear programming model is therefore developed for this purpose and a special mention is paid to the modeling of the MICC. Based on a numerical example, we firstly analyse the effects of the OICC and the MICC on the optimal decisions (asset allocation and contribution rate) of a pension fund. By definition, the MICC is more restrictive and safer compared to the OICC. Secondly, we quantify this MICC safety increase. The results show that although the optimal decisions from the OICC and the MICC differ, the total costs are very close, showing that the MICC is definitely a better approach since it is more prudent.
Recommendations
Cites work
- A stochastic programming model for asset liability management of a Finnish pension company
- An ALM model for pension funds using integrated chance constraints
- An integer programming approach for linear programs with probabilistic constraints
- Coherent measures of risk
- Convex Approximations of Chance Constrained Programs
- Dissection Methods for Solutions in Chance Constrained Programming Problems Under Discrete Distributions
- Duality in stochastic linear and dynamic programming
- Dynamic stochastic programming for asset-liability management
- scientific article; zbMATH DE number 5151672 (Why is no real title available?)
- scientific article; zbMATH DE number 1187131 (Why is no real title available?)
- scientific article; zbMATH DE number 1233792 (Why is no real title available?)
- scientific article; zbMATH DE number 1304962 (Why is no real title available?)
- scientific article; zbMATH DE number 1462623 (Why is no real title available?)
- IIS branch-and-cut for joint chance-constrained stochastic programs and application to optimal vaccine allocation
- Introduction to stochastic programming.
- Lectures on Stochastic Programming
- Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
- Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
- Scenario generation and stochastic programming models for asset liability management
- Stochastic linear programming. Models, theory, and computation.
- The Innovest Austrian Pension Fund Financial Planning Model InnoALM
Cited in
(6)- An ALM model for pension funds using integrated chance constraints
- Optimal chance-constrained pension fund management through dynamic stochastic control
- Indexation of Dutch pension rights in multistage recourse ALM models
- scientific article; zbMATH DE number 3922379 (Why is no real title available?)
- Collective adjustment of pension rights in ALM models
- Integrated chance constraints: reduced forms and an algorithm
This page was built for publication: On integrated chance constraints in ALM for pension funds
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4562945)
