An asset and liability management (ALM) model using integrated chance constraints
This paper discusses and develops a Two Stage Integrated Chance Constraints Programming for the Employees Provident Fund Malaysia. The main aim is to manage, that is, balance assets and liabilities. Integrated Chance Constraints not only limit the event of underfunding but also the amount of underfu...
| Main Authors: | , , , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
American Institute of Physics Inc.
2014
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| Subjects: | |
| Online Access: | View Fulltext in Publisher View in Scopus |
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| 001 | 10.1063-1.4903637 | ||
| 008 | 220112c20149999CNT?? ? 0 0und d | ||
| 020 | |a 0094243X (ISSN); 9780735412743 (ISBN) | ||
| 245 | 1 | 0 | |a An asset and liability management (ALM) model using integrated chance constraints |
| 260 | 0 | |b American Institute of Physics Inc. |c 2014 | |
| 856 | |z View Fulltext in Publisher |u https://doi.org/10.1063/1.4903637 | ||
| 856 | |z View in Scopus |u https://www.scopus.com/inward/record.uri?eid=2-s2.0-84916620425&doi=10.1063%2f1.4903637&partnerID=40&md5=732e65bf963d189c7add491ed5a8bb7a | ||
| 520 | 3 | |a This paper discusses and develops a Two Stage Integrated Chance Constraints Programming for the Employees Provident Fund Malaysia. The main aim is to manage, that is, balance assets and liabilities. Integrated Chance Constraints not only limit the event of underfunding but also the amount of underfunding. This paper includes the numerical illustration. © 2014 AIP Publishing LLC. | |
| 650 | 0 | 4 | |a Asset & Liability Management |
| 650 | 0 | 4 | |a Employees Provident Fund |
| 650 | 0 | 4 | |a Integrated Chance constraints |
| 650 | 0 | 4 | |a Stochastic Optimisation |
| 700 | 1 | 0 | |a Ahmad N. |e author |
| 700 | 1 | 0 | |a Aziz N. |e author |
| 700 | 1 | 0 | |a Hussin, S.A.S. |e author |
| 700 | 1 | 0 | |a Ibrahim H. |e author |
| 700 | 1 | 0 | |a Mitra, G. |e author |
| 700 | 1 | 0 | |a Rahman S.A. |e author |
| 700 | 1 | 0 | |a Roman, D. |e author |
| 700 | 1 | 0 | |a Zulkepli J. |e author |