An asset and liability management (ALM) model using integrated chance constraints

Hussin, SAS; Mitra, G; Roman, D

Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/11747

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DC Field	Value	Language
dc.contributor.author	Hussin, SAS	-
dc.contributor.author	Mitra, G	-
dc.contributor.author	Roman, D	-
dc.date.accessioned	2015-12-11T09:17:39Z	-
dc.date.available	2014-01-01	-
dc.date.available	2015-12-11T09:17:39Z	-
dc.date.issued	2014	-
dc.identifier.citation	AIP Conference Proceedings,1635 pp. 558 - 565, Langkawi, Kedah Malysia, 12-14 August 2014	en_US
dc.identifier.isbn	9780735412743	-
dc.identifier.issn	0094-243X	-
dc.identifier.issn	1551-7616	-
dc.identifier.uri	http://scitation.aip.org/content/aip/proceeding/aipcp/10.1063/1.4903637	-
dc.identifier.uri	http://bura.brunel.ac.uk/handle/2438/11747	-
dc.description.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.	en_US
dc.format.extent	558 - 565	-
dc.language.iso	en	en_US
dc.publisher	American Institute of Physics	en_US
dc.subject	Employees provident fund	en_US
dc.subject	Stochastic optimisation	en_US
dc.subject	Integrated chance constraints	en_US
dc.subject	Asset & liability management	en_US
dc.title	An asset and liability management (ALM) model using integrated chance constraints	en_US
dc.type	Conference Paper	en_US
dc.identifier.doi	http://dx.doi.org/10.1063/1.4903637	-
dc.relation.isPartOf	AIP Conference Proceedings	-
pubs.publication-status	Published	-
pubs.publication-status	Published	-
pubs.volume	1635	-
Appears in Collections:	Dept of Mathematics Research Papers

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