Scenario generation and stochastic programming models for asset liability management

2001 ◽  
Vol 134 (2) ◽  
pp. 279-292 ◽  
Author(s):  
Roy Kouwenberg
Keyword(s):  
Stochastic Programming ◽  
Programming Models ◽  
Scenario Generation ◽  
Asset Liability Management ◽  
Liability Management

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

2016 ◽  
Vol 18 (2) ◽  
pp. 349-368 ◽  
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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