A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry

Alan Delgado de Oliveira; Tiago Pascoal Filomena; Marcelo  Scherer Perlin; Miguel Lejeune; Guilherme Ribeiro de Macedo

doi:10.1007/s11081-016-9316-3

A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry

Optimization and Engineering ◽

10.1007/s11081-016-9316-3 ◽

2016 ◽

Vol 18 (2) ◽

pp. 349-368 ◽

Cited By ~ 3

Author(s):

Alan Delgado de Oliveira ◽

Tiago Pascoal Filomena ◽

Marcelo Scherer Perlin ◽

Miguel Lejeune ◽

Guilherme Ribeiro de Macedo

Keyword(s):

Stochastic Programming ◽

Pension Fund ◽

Management Model ◽

Multistage Stochastic Programming ◽

Asset Liability Management ◽

Liability Management ◽

Fund Industry

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Bank Asset Liability Management Model Based on Multi-period Stochastic Programming

2006 6th World Congress on Intelligent Control and Automation ◽

10.1109/wcica.2006.1712628 ◽

2006 ◽

Author(s):

Xiu Jin ◽

Yingjie Feng ◽

Xiaoyuan Huang

Keyword(s):

Stochastic Programming ◽

Management Model ◽

Asset Liability Management ◽

Model Based ◽

Liability Management

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Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2017.09.022 ◽

2017 ◽

Vol 77 ◽

pp. 177-188 ◽

Cited By ~ 6

Author(s):

Thiago B. Duarte ◽

Davi M. Valladão ◽

Álvaro Veiga

Keyword(s):

Stochastic Programming ◽

Solvency Ii ◽

Multistage Stochastic Programming ◽

Asset Liability Management ◽

Liability Management ◽

Regulatory Constraints ◽

Pension Schemes

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AN ASSET LIABILITY MANAGEMENT MODEL FOR HOUSING ASSOCIATIONS

10.15396/eres2000_062 ◽

2000 ◽

Keyword(s):

Management Model ◽

Asset Liability Management ◽

Housing Associations ◽

Liability Management

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An asset/liability management model of a Federal Intermediate Credit Bank

10.31274/rtd-180813-8666 ◽

1987 ◽

Author(s):

Ann Marie Hackert

Keyword(s):

Management Model ◽

Asset Liability Management ◽

Liability Management

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Scenario generation and stochastic programming models for asset liability management

European Journal of Operational Research ◽

10.1016/s0377-2217(00)00261-7 ◽

2001 ◽

Vol 134 (2) ◽

pp. 279-292 ◽

Cited By ~ 143

Author(s):

Roy Kouwenberg

Keyword(s):

Stochastic Programming ◽

Programming Models ◽

Scenario Generation ◽

Asset Liability Management ◽

Liability Management

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Dynamic stochastic programming tools for individual asset liability management

2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) ◽

10.1109/cifer.2014.6924044 ◽

2014 ◽

Author(s):

M. A. H. Dempster

Keyword(s):

Stochastic Programming ◽

Asset Liability Management ◽

Liability Management ◽

Dynamic Stochastic Programming ◽

Programming Tools ◽

Dynamic Stochastic ◽

Individual Asset

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Robust Approaches to Pension Fund Asset Liability Management Under Uncertainty

Optimal Financial Decision Making under Uncertainty - International Series in Operations Research & Management Science ◽

10.1007/978-3-319-41613-7_4 ◽

2016 ◽

pp. 89-119 ◽

Cited By ~ 3

Author(s):

Dessislava Pachamanova ◽

Nalan Gülpınar ◽

Ethem Çanakoğlu

Keyword(s):

Pension Fund ◽

Asset Liability Management ◽

Liability Management

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PERFORMANCE COMPARISON OF SCENARIO-GENERATION METHODS APPLIED TO A STOCHASTIC OPTIMIZATION ASSET-LIABILITY MANAGEMENT MODEL

Pesquisa Operacional ◽

10.1590/0101-7438.2018.038.01.0053 ◽

2018 ◽

Vol 38 (1) ◽

pp. 53-72 ◽

Cited By ~ 1

Author(s):

Alan Delgado de Oliveira ◽

Tiago Pascoal Filomena ◽

Marcelo Brutti Righi

Keyword(s):

Stochastic Optimization ◽

Performance Comparison ◽

Management Model ◽

Scenario Generation ◽

Asset Liability Management ◽

Liability Management

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Research on asset-liability management model of China insurance companies

2011 International Conference on E-Business and E-Government (ICEE) ◽

10.1109/icebeg.2011.5877054 ◽

2011 ◽

Author(s):

Jianjun Shao

Keyword(s):

Insurance Companies ◽

Management Model ◽

Asset Liability Management ◽

Liability Management

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Modeling supply-chain planning under demand uncertainty using stochastic programming: A survey motivated by asset–liability management

International Journal of Production Economics ◽

10.1016/j.ijpe.2009.02.009 ◽

2009 ◽

Vol 121 (2) ◽

pp. 728-738 ◽

Cited By ~ 57

Author(s):

ManMohan S. Sodhi ◽

Christopher S. Tang

Keyword(s):

Supply Chain ◽

Stochastic Programming ◽

Demand Uncertainty ◽

Asset Liability Management ◽

Supply Chain Planning ◽

Liability Management

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