IDEAS home Printed from https://ideas.repec.org/p/gro/rugsom/05a03.html
   My bibliography  Save this paper

An ALM Model for Pension Funds using Integrated Chance Constraints

Author

Listed:
  • Klein Haneveld, W.K..
  • Streutker, M.H.
  • Vlerk, M.H. van der

    (Groningen University)

Abstract

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.

Suggested Citation

  • 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).
    • Handle: RePEc:gro:rugsom:05a03
    as

    Download full text from publisher

    File URL: http://irs.ub.rug.nl/ppn/274795531
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. repec:dgr:rugsom:02a33 is not listed on IDEAS
    2. Willem Klein Haneveld & Maarten van der Vlerk, 1999. "Stochastic integer programming:General models and algorithms," Annals of Operations Research, Springer, vol. 85(0), pages 39-57, January.
    3. Drijver, Sibrand J. & Klein Haneveld, Willem K. & Vlerk, Maarten H. van der, 2002. "ALM model for pension funds : numerical results for a prototype model," Research Report 02A44, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    4. repec:dgr:rugsom:02a44 is not listed on IDEAS
    5. 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).
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Streutker, Matthijs & van der Vlerk, Maarten & Klein Haneveld, Wim, 2007. "Implementation of new regulatory rules in a multistage ALM model for Dutch pension funds," Research Report 07005, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    2. Alaeddine Faleh, 2011. "Un modèle de programmation stochastique pour l'allocation stratégique d'actifs d'un régime de retraite partiellement provisionné," Working Papers hal-00561965, HAL.
    3. repec:dgr:rugsom:07005 is not listed on IDEAS

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. repec:dgr:rugsom:03a21 is not listed on IDEAS
    2. repec:dgr:rugsom:05a03 is not listed on IDEAS
    3. 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).
    4. Lars M. Hvattum & Arne Løkketangen & Gilbert Laporte, 2006. "Solving a Dynamic and Stochastic Vehicle Routing Problem with a Sample Scenario Hedging Heuristic," Transportation Science, INFORMS, vol. 40(4), pages 421-438, November.
    5. repec:dgr:rugsom:00a52 is not listed on IDEAS
    6. repec:dgr:rugsom:02a21 is not listed on IDEAS
    7. John Board & Charles Sutcliffe, 2007. "Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate," Economic Analysis, Institute of Economic Sciences, vol. 40(3-4), pages 87-118.
    8. Hannes Schwarz & Valentin Bertsch & Wolf Fichtner, 2018. "Two-stage stochastic, large-scale optimization of a decentralized energy system: a case study focusing on solar PV, heat pumps and storage in a residential quarter," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 40(1), pages 265-310, January.
    9. Klein Haneveld, W.K. & Vlerk, M.H. van der, 2000. "Optimizing electricity distribution using two-stage integer recourse models," Research Report 00A26, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    10. Bjorn P. Berg & Brian T. Denton, 2017. "Fast Approximation Methods for Online Scheduling of Outpatient Procedure Centers," INFORMS Journal on Computing, INFORMS, vol. 29(4), pages 631-644, November.
    11. Anupam Gupta & R. Ravi & Amitabh Sinha, 2007. "LP Rounding Approximation Algorithms for Stochastic Network Design," Mathematics of Operations Research, INFORMS, vol. 32(2), pages 345-364, May.
    12. Lewis Ntaimo, 2010. "Disjunctive Decomposition for Two-Stage Stochastic Mixed-Binary Programs with Random Recourse," Operations Research, INFORMS, vol. 58(1), pages 229-243, February.
    13. 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).
    14. Ward Romeijnders & David P. Morton & Maarten H. van der Vlerk, 2017. "Assessing the Quality of Convex Approximations for Two-Stage Totally Unimodular Integer Recourse Models," INFORMS Journal on Computing, INFORMS, vol. 29(2), pages 211-231, May.
    15. repec:dgr:rugsom:03a14 is not listed on IDEAS
    16. Aakil M. Caunhye & Xiaofeng Nie, 2018. "A Stochastic Programming Model for Casualty Response Planning During Catastrophic Health Events," Transportation Science, INFORMS, vol. 52(2), pages 437-453, March.
    17. repec:dgr:rugsom:04a28 is not listed on IDEAS
    18. Escudero Bueno, Laureano F. & Garín Martín, María Araceli & Merino Maestre, María & Pérez Sainz de Rozas, Gloria, 2011. "A parallelizable algorithmic framework for solving large scale multi-stage stochastic mixed 0-1 problems under uncertainty," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    19. Castro, Jordi, 2009. "A stochastic programming approach to cash management in banking," European Journal of Operational Research, Elsevier, vol. 192(3), pages 963-974, February.
    20. Nesbitt, Peter & Blake, Lewis R. & Lamas, Patricio & Goycoolea, Marcos & Pagnoncelli, Bernardo K. & Newman, Alexandra & Brickey, Andrea, 2021. "Underground mine scheduling under uncertainty," European Journal of Operational Research, Elsevier, vol. 294(1), pages 340-352.
    21. Drijver, Sibrand J. & Klein Haneveld, Willem K. & Vlerk, Maarten H. van der, 2002. "ALM model for pension funds : numerical results for a prototype model," Research Report 02A44, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    22. repec:dgr:rugsom:02a44 is not listed on IDEAS
    23. repec:dgr:rugsom:00a26 is not listed on IDEAS
    24. repec:dgr:rugsom:02a33 is not listed on IDEAS
    25. Francesca Maggioni & Elisabetta Allevi & Marida Bertocchi, 2016. "Monotonic bounds in multistage mixed-integer stochastic programming," Computational Management Science, Springer, vol. 13(3), pages 423-457, July.
    26. Côté, Jean-François & Alves de Queiroz, Thiago & Gallesi, Francesco & Iori, Manuel, 2023. "A branch-and-regret algorithm for the same-day delivery problem," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 177(C).
    27. W. A. Rijpkema & E. M. T. Hendrix & R. Rossi & J. G. A. J. Vorst, 2016. "Application of stochastic programming to reduce uncertainty in quality-based supply planning of slaughterhouses," Annals of Operations Research, Springer, vol. 239(2), pages 613-624, April.
    28. Vlerk, Maarten H. van der, 2003. "Simplification of recourse models by modification of recourse data," Research Report 03A01, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    29. Brian Keller & Güzin Bayraksan, 2012. "Disjunctive Decomposition for Two-Stage Stochastic Mixed-Binary Programs with Generalized Upper Bound Constraints," INFORMS Journal on Computing, INFORMS, vol. 24(1), pages 172-186, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gro:rugsom:05a03. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Hanneke Tamling (email available below). General contact details of provider: https://edirc.repec.org/data/ferugnl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.