| Article ID: | iaor20104501 |
| Volume: | 177 |
| Issue: | 1 |
| Start Page Number: | 47 |
| End Page Number: | 62 |
| Publication Date: | Jun 2010 |
| Journal: | Annals of Operations Research |
| Authors: | Vlerk Maarten H, Klein Haneveld Willem K, Streutker Matthijs H |
| Keywords: | programming: probabilistic |
We discuss integrated chance constraints in their role of short-term risk constraints in a strategic Asset Liability Management (ALM) model for Dutch pension funds. The problem is set up as a multistage recourse model, with special attention for modeling short-term risk prompted by the development of new guidelines by the regulating authority for Dutch pension funds. The paper concludes with a numerical illustration of the importance of such short-term risk constraints.