Worst-Case Conditional Value at Risk for Asset Liability Management: A Novel Framework for General Loss Functions
Asset-liability management (ALM) is a challenging task faced by pension funds due to the uncertain nature of future asset returns and interest rates. To address this challenge, this paper presents a new mathematical model that uses aWorst-case Conditional Value-at-Risk (WCVaR) constraint to ensure that the funding ratio remains above a regulator-mandated threshold with a high … Read more