Please use this identifier to cite or link to this item: http://buratest.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

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