An ALM model for pension funds using integrated chance constraints

We discuss integrated chance constraints in their role of short-term risk constraints in a strategic ALM model for Dutch pension funds. The problem is set up as a multistage recourse model, with special attention for modeling the guidelines proposed by the regulating authority for Dutch pension funds. The paper concludes with a numerical illustration of the importance of such short-term risk constraints.

• Type: Journal
• Year: 2010
• Where: ANOR
• Authors: Willem K. Klein Haneveld, Matthijs H. Streutker, Maarten H. van der Vlerk
• Keywords: ANOR 2010, Dutch Pension Funds, Short-term Risk Constraints, Strategic Alm Model