An ALM model for pension funds using integrated chance constraints

DOI10.1007/s10479-009-0594-4zbMath1195.91170OpenAlexW2005137490MaRDI QIDQ1958618

Willem K. Klein Haneveld, Matthijs H. Streutker, Maarten H. van der Vlerk

Publication date: 4 October 2010

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-009-0594-4

zbMATH Keywords

modelingALMintegrated chance constraintsmultistage mixed-integer recourse

Mathematics Subject Classification ID

Related Items (16)

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Uses Software

• SLP-IOR

Cites Work

• Integrated chance constraints: reduced forms and an algorithm
• Duality in stochastic linear and dynamic programming
• Stochastic integer programming: general models and algorithms
• Stochastic programming with simple integer recourse
• SLP-IOR: An interactive model management system for stochastic linear programs
• Convex approximations for complete integer recourse models
• ALM Modeling for Dutch Pension Funds in an Era of Pension Reform
• Probabilistic constrained optimization. Methodology and applications
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