On integrated chance constraints

1986 ◽  
pp. 194-209 ◽  
Author(s):  
W. K. Klein Haneveld
Keyword(s):  
Chance Constraints ◽  
Integrated Chance Constraints

scholarly journals An ALM model for pension funds using integrated chance constraints

2009 ◽  
Vol 177 (1) ◽  
pp. 47-62 ◽  
Author(s):  
Willem K. Klein Haneveld ◽  
Matthijs H. Streutker ◽  
Maarten H. van der Vlerk
Keyword(s):  
Pension Funds ◽  
Chance Constraints ◽  
Integrated Chance Constraints

scholarly journals Integrated Chance Constraints: Reduced Forms and an Algorithm

2006 ◽  
Vol 3 (4) ◽  
pp. 245-269 ◽  
Author(s):  
Willem K. Klein Haneveld ◽  
Maarten H. van der Vlerk
Keyword(s):  
Chance Constraints ◽  
Integrated Chance Constraints ◽  
Reduced Forms

scholarly journals ON INTEGRATED CHANCE CONSTRAINTS IN ALM FOR PENSION FUNDS

2018 ◽  
Vol 48 (02) ◽  
pp. 571-609
Author(s):  
Youssouf A. F. Toukourou ◽  
François Dufresne
Keyword(s):  
Asset Allocation ◽  
Programming Model ◽  
Pension Funds ◽  
Chance Constraints ◽  
Chance Constraint ◽  
Stochastic Linear Programming ◽  
Optimal Decisions ◽  
Liability Management ◽  
Integrated Chance Constraints

AbstractWe discuss the role ofintegrated chance constraints(ICC) as quantitative risk constraints in asset and liability management (ALM) for pension funds. We define two types of ICC: theone periodintegrated chance constraint (OICC) and themultiperiodintegrated chance constraint (MICC). As their names suggest, the OICC covers only one period, whereas several periods are taken into account with the MICC. A multistage stochastic linear programming model is therefore developed for this purpose and a special mention is paid to the modeling of the MICC. Based on a numerical example, we first analyze the effects of the OICC and the MICC on the optimal decisions (asset allocation and contribution rate) of a pension fund. By definition, the MICC is more restrictive and safer compared to the OICC. Second, we quantify this MICC safety increase. The results show that although the optimal decisions from the OICC and the MICC differ, the total costs are very close, showing that the MICC is definitely a better approach since it is more prudent.

Integrated Chance Constraints

2019 ◽  
pp. 139-161
Author(s):  
Willem K. Klein Haneveld ◽  
Maarten H. van der Vlerk ◽  
Ward Romeijnders
Keyword(s):  
Chance Constraints ◽  
Integrated Chance Constraints

scholarly journals Energy and reserve dispatch with distributionally robust joint chance constraints

2021 ◽  
Vol 49 (3) ◽  
pp. 291-299 ◽  
Author(s):  
Christos Ordoudis ◽  
Viet Anh Nguyen ◽  
Daniel Kuhn ◽  
Pierre Pinson
Keyword(s):  
Chance Constraints ◽  
Distributionally Robust
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