The level of modeling sophistication in financial services has increased considerably over
the years. Nowadays, the complexity of financial problems and the vast amount of data …

Asset–liability management (ALM) is a challenging task faced by pension funds due to the
uncertain nature of future asset returns, employees' wages, and interest rates. To address …

The swift development and transformation of emerging technologies such as augmented
reality, robotics, biometrics and 3D printing place varying degree of pressure to the …

Abstract Asset and Liability Management (ALM) is a critical framework for pension funds,
ensuring they have sufficient assets to meet future liabilities (pension payments) while …

We present a novel tool for generating speculative and hedging foreign exchange (FX)
trading policies. Our solution provides a schedule that determines trades in each …

The impact of a Stochastic Linear Programming (SLP) based Decision Support System in a
manufacturing company, such as an integrated aluminum plant, is measured by two …

In defined contribution (DC) pension schemes, the regulator usually imposes asset
allocation constraints (minimum and maximum limits by asset class) in order to create funds …

This paper considers both a top regulation bound and a bottom regulation bound imposed
on the asset‐liability ratio at the regulatory time T to reduce risks of abnormal high‐speed …

Asset-Liability Management (ALM) is a technique used to optimize investment portfolios,
onsidering a future flow of liabilities. Its stochastic nature and multi-period decision structure …

We propose a method to compute derivatives of multistage linear stochastic optimization
problems with respect to parameters that influence the problem's data. Our results are based …