Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
Thiago B. Duarte, Davi M. Valladão, Álvaro Veiga
| Year of publication: |
November 2017
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|---|---|
| Authors: | Duarte, Thiago B. ; Valladão, Davi M. ; Veiga, Alvaro |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 77.2017, p. 177-188
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| Subject: | ALM | Stochastic programming | Insolvency risk | Supplementary pension | Optimal allocation | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Theorie | Theory | Pensionskasse | Pension fund | Mathematische Optimierung | Mathematical programming | Altersvorsorge | Retirement provision | Insolvenz | Insolvency | Private Altersvorsorge | Private retirement provision |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2017.09.022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011783945