Asset-liability management for Czech pension funds using stochastic programming

Annals of Operations Research

Volumn 165, Issue 1, 2009, Pages 5-28

  Dupačová, Jitka ^a   Polívka, Jan ^a  

^a CHARLES UNIVERSITY   (Czech Republic)

Author keywords

ALM; Case study; Defined contribution plan; Output analysis; Scenario based stochastic programs

Indexed keywords

EID: 58149481454     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-008-0358-6     Document Type: Article

References (17)

1. Association of the Pension Funds of the Czech Republic (2002). Supplementary pension insurance with state contribution. APF, Prague.
2. Birge, J. R., & Louveaux, F. (1997). Introduction to stochastic programming. Berlin: Springer.
3. M. A. H. Dempster M. Germano E. A. Medova M. Villaverde 2003 Global asset liability management British Actuarial Journal 9 137 216 with discussion
4. J. Dupačová 1996 Scenario-based stochastic programs: resistance with respect to sample Ann. Oper. Res. 64 21 38
5. J. Dupačová 1999 Portfolio optimization via stochastic programming: methods of output analysis MMOR 50 245 270
6. J. Dupačová N. Gröwe-Kuska W. Römisch 2003 Scenario reduction in stochastic programming: an approach using probability metrics Math. Progr. A 95 493 511
7. Dupačová, J., Hurt, J., & Štěpán, J. (2002). Stochastic modeling in economics and finance, Parts I and II. Dordrecht: Kluwer
8. Geyer, A., Herold, W., Kontriner, K., & Ziemba, W. T. (2003). The Innovest Austrian pension fund financial planning model InnoALM. To appear in Operations Research.
9. K. Høyland S. W. Wallace 2001 Generating scenario trees for multistage problems Management Science 47 295 307
10. G. Ch. Pflug A. Swietanowski 1999 Dynamic asset allocation under uncertainty for pension fund management Control Cybernetics 28 755 777
11. Polívka, J. (2002). Liability side of asset-liability management model. In: J. Šafránková (Ed.) WDS'02, Part I. (pp. 61-67) Prague: Matfyzpress.
12. Polívka, J. (2003). Building of scenario tree for asset returns via moment fitting: experience and problems in case of ALM model. In: M. Houška (Ed.) Proc. of the international conference mathematical methods in economics 2003 (pp. 214-218). Prague: Czech Univ. of Aggriculture.
13. State-contributory Supplementary Pension Insurance, Act No. 42/1994 with its later amendments, Collection of laws, Prague (in Czech).
14. H. E. Winklevoss 1982 Plasm: pension liability and asset simulation model Journal Finance 37 585 594
15. Zenios, S. A., & Ziemba, W. T. (eds.) (2006). Handbook of ALM I. Amsterdam: North-Holland.
16. Ziemba, W. T. (2004). The stochastic programming approach to asset, liability and wealth management. Charlotteville: AIMR.
17. Ziemba, W. T., & Mulvey, J. (eds.) (1998). World wide asset and liability modeling. Cambridge: Cambridge Univ. Press.