Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
type: Item
instance of: scholarly article
title: Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
zbMATH Open document ID: 1397.91282
author: Thiago B. Duarte
author: Davi Michel Valladão
author: Alvaro Veiga
published in: Insurance Mathematics \& Economics
publication date: 2017-11-23T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6811607
zbMATH Keywords: ALM
zbMATH Keywords: stochastic programming
zbMATH Keywords: insolvency risk
zbMATH Keywords: supplementary pension
zbMATH Keywords: optimal allocation
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2017.09.022
OpenAlex ID: W2763093047
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DOI: 10.1016/J.INSMATHECO.2017.09.022
description: scientific article; zbMATH DE number 6811607