The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach

TL;DR

This paper presents a numerical stochastic optimization approach to asset liability management for nuclear plant decommissioning, linking risk aversion to a de-risking strategy and proposing a stable heuristic solution.

Contribution

It introduces a novel numerical method for optimizing asset liability management in nuclear decommissioning, incorporating risk aversion and demonstrating strategy stability.

Findings

Optimal strategy resembles a de-risking, concave management approach.

The proposed heuristic effectively simulates the optimal strategy.

Strategy stability is confirmed across key parameters.

Abstract

We numerically study an Asset Liability Management problem linked to the decommissioning of French nuclear power plants. We link the risk aversion of practitioners to an optimization problem. Using different price models we show that the optimal solution is linked to a de-risking management strategy similar to a concave strategy and we propose an effective heuristic to simulate the underlying optimal strategy. Besides we show that the strategy is stable with respect to the main parameters involved in the liability problem.