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http://bura.brunel.ac.uk/handle/2438/11747| Title: | An asset and liability management (ALM) model using integrated chance constraints |
| Authors: | Hussin, SAS Mitra, G Roman, D |
| Keywords: | Employees provident fund;Stochastic optimisation;Integrated chance constraints;Asset & liability management |
| Issue Date: | 2014 |
| Publisher: | American Institute of Physics |
| Citation: | AIP Conference Proceedings,1635 pp. 558 - 565, Langkawi, Kedah Malysia, 12-14 August 2014 |
| Abstract: | 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. |
| URI: | http://scitation.aip.org/content/aip/proceeding/aipcp/10.1063/1.4903637 http://bura.brunel.ac.uk/handle/2438/11747 |
| DOI: | http://dx.doi.org/10.1063/1.4903637 |
| ISBN: | 9780735412743 |
| ISSN: | 0094-243X 1551-7616 |
| Appears in Collections: | Dept of Mathematics Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Fulltext.pdf | 594.29 kB | Adobe PDF | View/Open |
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