IDEAS home Printed from https://ideas.repec.org/p/gro/rugsom/03a21.html
   My bibliography  Save this paper

Integrated chance constraints in an ALM model for pension funds

Author

Listed:
  • Vlerk, Maarten 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 an outline of a special-purpose heuristic, which is used to approximately solve the resulting model which contains many binary decision variables.

Suggested Citation

  • 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).
    • Handle: RePEc:gro:rugsom:03a21
    as

    Download full text from publisher

    File URL: http://irs.ub.rug.nl/ppn/252290909
    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. Vlerk, Maarten H. van der, 2002. "Convex approximations for complete integer recourse models," Research Report 02A21, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    4. repec:dgr:rugsom:02a21 is not listed on IDEAS
    5. 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).
    6. repec:dgr:rugsom:02a44 is not listed on IDEAS
    7. Stein W. Wallace & Stein-Erik Fleten, 2002. "Stochastic programming in energy," GE, Growth, Math methods 0201001, University Library of Munich, Germany, revised 13 Nov 2003.
    8. 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. Poojari, Chandra A. & Varghese, Boby, 2008. "Genetic Algorithm based technique for solving Chance Constrained Problems," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1128-1154, March.
    2. A. Alonso-Ayuso & L. Escudero & C. Pizarro, 2009. "On SIP algorithms for minimizing the mean-risk function in the multi-period single-source problem under uncertainty," Annals of Operations Research, Springer, vol. 166(1), pages 223-242, February.
    3. Youssouf A. F. Toukourou & Franc{c}ois Dufresne, 2015. "ON Integrated Chance Constraints in ALM for Pension Funds," Papers 1503.05343, arXiv.org.
    4. Katharina Schwaiger & Cormac Lucas & Gautam Mitra, 2010. "Alternative decision models for liability-driven investment," Journal of Asset Management, Palgrave Macmillan, vol. 11(2), pages 178-193, June.

    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. 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).
    3. 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).
    4. repec:dgr:rugsom:05a03 is not listed on IDEAS
    5. Stougie, Leen & Vlerk, Maarten H. van der, 2003. "Approximation in stochastic integer programming," Research Report 03A14, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    6. repec:dgr:rugsom:03a14 is not listed on IDEAS
    7. repec:dgr:rugsom:02a33 is not listed on IDEAS
    8. 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).
    9. Willem Haneveld & Maarten Vlerk, 2006. "Integrated Chance Constraints: Reduced Forms and an Algorithm," Computational Management Science, Springer, vol. 3(4), pages 245-269, September.
    10. Vlerk, Maarten H. van der, 2004. "Convex approximations for a class of mixed-integer recourse models," Research Report 04A28, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    11. Vlerk, Maarten H. van der, 2002. "Convex approximations for complete integer recourse models," Research Report 02A21, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    12. Vlerk, Maarten H. van der, 2002. "On multiple simple recourse models," Research Report 02A06, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    13. repec:dgr:rugsom:03a01 is not listed on IDEAS
    14. 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.
    15. E. Nasakkala & J. Keppo, 2008. "Hydropower with Financial Information," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(5-6), pages 503-529.
    16. Avilés A., Camilo & Oliva H., Sebastian & Watts, David, 2019. "Single-dwelling and community renewable microgrids: Optimal sizing and energy management for new business models," Applied Energy, Elsevier, vol. 254(C).
    17. repec:dgr:rugsom:00a52 is not listed on IDEAS
    18. Möst, Dominik & Keles, Dogan, 2010. "A survey of stochastic modelling approaches for liberalised electricity markets," European Journal of Operational Research, Elsevier, vol. 207(2), pages 543-556, December.
    19. Yong Zeng & Yanpeng Cai & Guohe Huang & Jing Dai, 2011. "A Review on Optimization Modeling of Energy Systems Planning and GHG Emission Mitigation under Uncertainty," Energies, MDPI, vol. 4(10), pages 1-33, October.
    20. repec:dgr:rugsom:02a21 is not listed on IDEAS
    21. Ventosa, Mariano & Baillo, Alvaro & Ramos, Andres & Rivier, Michel, 2005. "Electricity market modeling trends," Energy Policy, Elsevier, vol. 33(7), pages 897-913, May.
    22. Raimund M. Kovacevic, 2019. "Valuation and pricing of electricity delivery contracts: the producer’s view," Annals of Operations Research, Springer, vol. 275(2), pages 421-460, April.
    23. 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.
    24. Finn R. Førsund, 2015. "Hydropower Economics," International Series in Operations Research and Management Science, Springer, edition 2, number 978-1-4899-7519-5, April.
    25. 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.
    26. 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).
    27. 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.

    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:03a21. 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.