英文标题：
《ON Integrated Chance Constraints in ALM for Pension Funds》
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作者：
Youssouf A. F. Toukourou and Fran\\c{c}ois Dufresne
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最新提交年份：
2015
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英文摘要：
We discuss the role of integrated chance constraints (ICC) as quantitative risk constraints in asset and liability management (ALM) for pension funds. We define two types of ICC: the one period integrated chance constraint (OICC) and the multiperiod integrated 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 firstly analyse 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. Secondly, 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.
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中文摘要：
我们讨论了综合机会约束（ICC）作为量化风险约束在养老基金资产负债管理（ALM）中的作用。我们定义了两种类型的ICC：单周期综合机会约束（OICC）和多周期综合机会约束（MICC）。顾名思义，OICC只涵盖一个时期，而MICC则考虑了几个时期。为此，我们开发了一个多级随机线性规划模型，并特别提到了MICC的建模。基于一个数值例子，我们首先分析了OICC和MICC对养老基金最优决策（资产配置和缴费率）的影响。根据定义，MICC比OICC更具限制性和安全性。其次，我们量化了这种MICC安全性增加。结果表明，尽管OICC和MICC的最优决策不同，但总成本非常接近，表明MICC肯定是一种更好的方法，因为它更谨慎。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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