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ALM model for pension funds : numerical results for a prototype model

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  • Drijver, Sibrand J.
  • Klein Haneveld, Willem K.
  • Vlerk, Maarten H. van der

    (Groningen University)

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    Abstract

    A multistage mixed-integer stochastic programming model is formulated for an Asset Liability Management problem for pension funds. Since these models are too difficult to solve for realistically sized problems, a heuristic is described. Numerical results for several instances of a prototype model are presented and discussed.

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    File URL: http://irs.ub.rug.nl/ppn/241210763
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    Bibliographic Info

    Paper provided by University of Groningen, Research Institute SOM (Systems, Organisations and Management) in its series Research Report with number 02A44.

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    Date of creation: 2002
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    Handle: RePEc:dgr:rugsom:02a44

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    References

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    1. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-92.
    2. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
    3. Ho, Thomas S Y & Lee, Sang-bin, 1986. " Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-29, December.
    4. Kouwenberg, Roy, 2001. "Scenario generation and stochastic programming models for asset liability management," European Journal of Operational Research, Elsevier, vol. 134(2), pages 279-292, October.
    5. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    6. Boender, Guus C. E., 1997. "A hybrid simulation/optimisation scenario model for asset/liability management," European Journal of Operational Research, Elsevier, vol. 99(1), pages 126-135, May.
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    Cited by:
    1. Klein Haneveld, W.K.. & Streutker, M.H. & Vlerk, M.H. van der, 2005. "An ALM Model for Pension Funds using Integrated Chance Constraints," Research Report 05A03, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    2. Klein Haneveld, Willem K. & Vlerk, Maarten H. van der, 2002. "Integrated chance constraints: reduced forms and an algorithm," Research Report 02A33, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    3. Willem Haneveld & Maarten Vlerk, 2006. "Integrated Chance Constraints: Reduced Forms and an Algorithm," Computational Management Science, Springer, vol. 3(4), pages 245-269, September.
    4. Vlerk, Maarten H. van der, 2003. "Integrated chance constraints in an ALM model for pension funds," Research Report 03A21, University of Groningen, Research Institute SOM (Systems, Organisations and Management).

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