ON INTEGRATED CHANCE CONSTRAINTS IN ALM FOR PENSION FUNDS

DOI10.1017/asb.2017.49zbMath1390.91212arXiv1503.05343OpenAlexW2964345923MaRDI QIDQ4562945

Youssouf A. F. Toukourou, François Dufresne

Publication date: 6 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.05343

zbMATH Keywords

linear programmingmodelingmultistage stochastic programmingasset liability managementpension fundsintegrated chance constraint

Mathematics Subject Classification ID

Related Items (1)

Optimal chance-constrained pension fund management through dynamic stochastic control

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic linear programming. Models, theory, and computation.
• An integer programming approach for linear programs with probabilistic constraints
• IIS branch-and-cut for joint chance-constrained stochastic programs and application to optimal vaccine allocation
• Duality in stochastic linear and dynamic programming
• Dynamic stochastic programming for asset-liability management
• Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
• An ALM model for pension funds using integrated chance constraints
• A stochastic programming model for asset liability management of a Finnish pension company
• Coherent Measures of Risk
• Introduction to Stochastic Programming
• The Innovest Austrian Pension Fund Financial Planning Model InnoALM
• Lectures on Stochastic Programming
• Convex Approximations of Chance Constrained Programs
• Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
• Dissection Methods for Solutions in Chance Constrained Programming Problems Under Discrete Distributions
• Scenario generation and stochastic programming models for asset liability management

This page was built for publication: ON INTEGRATED CHANCE CONSTRAINTS IN ALM FOR PENSION FUNDS