159 research outputs found
An ALM Model for Pension Funds using Integrated Chance Constraints
Get PDFWe 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.
Asset liability management modeling using multi-stage mixed-integer stochastic programming
Get PDFA pension fund has to match the portfolio of long-term liabilities with the portfolio of assets. Key instruments in strategic Asset Liability Management (ALM) are the adjustments of the contribution rate of the sponsor and the reallocation of the investments in several asset classes at various points of time. We formulate a multistage mixed-integer stochastic program to model this ALM process. Special attention is paid to the use of binary variables.
Optimizing electricity distribution using two-stage integer recourse models
Get PDFWe consider two planning problems faced by an electricity distributor. Electricity can be ob-tained both from power plants and small generators such as hospitals and greenhouses, whereas the future demand for electricity is uncertain. The price of electricity obtained from the power plants depends on quota that are to be determined in a yearly contract, whereas the (given) contracts with small generators contain various constraints on switching them on or off.
Implementation of new regulatory rules in a multistage ALM model for Dutch pension funds
Get PDFThis paper discusses the implementation of new regulatory rules in a multistage recourse ALM model for Dutch pension funds. The new regulatory rules, which are called the ?Financieel Toetsingskader?, are effective as of January 2007 and have deep impact on the issues of valuation of liabilities, solvency, contribution rate, and indexation. Multistage recourse models have proved to be valuable for pension fund ALM. The ability to include the new regulatory rules would increase the practical value of these models.
Integrated chance constraints: reduced forms and an algorithm
Get PDFWe consider integrated chance constraints (ICC), which provide quantitative alternatives for traditional chance constraints.We derive explicit polyhedral descriptions for the convex feasible sets induced by ICCs, for the case that the underlying distribution is discrete. Based on these reduced forms, we propose an efficient algorithm for this problem class. The relation to conditional value-at-risk models and (simple) recourse models is discussed, leading to a special purpose algorithm for simple recourse models with discretely distributed technology matrix. For both algorithms, numerical results are presented.
Fast heuristics for a dynamic paratransit problem
Get PDFIn a previous paper we developed a non-standard two-stage recourse model for the dynamic day-ahead paratransit planning problem. Two heuristics, which are frequently applied in the recourse model, contain many details which leads to large CPU times to solve instances of relatively small size. In this paper we simplify both heuristics to decrease CPU time considerably while maintaining the quality of the obtained solutions as much as possible. Numerical experiments on (semi-)realistic instances, inspired by practice, show that our recourse model with fast heuristics provides acceptable solutions within reasonable time.
On multiple simple recourse models
Get PDFWe consider multiple simple recourse (MSR) models, both continuous and integer versions, which generalize the corresponding simple recourse (SR) models by allowing for a refined penalty cost structure for individual shortages and surpluses. It will be shown that (convex approximations of) such MSR models can be represented as explicitly specified continuous SR models, and thus can be solved efficiently by existing algorithms.
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