A stochastic programming model for funding single premium deferred annuities

DOI10.1007/BF02592151zbMath0874.90149MaRDI QIDQ1363425

Stavros A. Zenios, Søren S. Nielsen

Publication date: 7 August 1997

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

zbMATH Keywords

government bondsmultiperiod, dynamic stochastic programsingle premium deferred annuities

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15)

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Solving multistage stochastic network programs on massively prallel computers ⋮ A stochastic programming model for the optimal issuance of government bonds ⋮ A Discrete Stochastic Goal Program for Portfolio Selection: The Case of United Arab Emirates Equity Market ⋮ Partially Adaptive Stochastic Optimization for Electric Power Generation Expansion Planning ⋮ Asset and liability modelling for participating policies with guarantees ⋮ Pension fund management with investment certificates and stochastic dominance ⋮ A stochastic programming model for asset liability management of a Finnish pension company ⋮ Multi-period stochastic portfolio optimization: block-separable decomposition ⋮ Testing the structure of multistage stochastic programs ⋮ Horizon and stages in applications of stochastic programming in finance ⋮ On the effectiveness of scenario generation techniques in single-period portfolio optimization ⋮ Mortgage loan portfolio optimization using multi-stage stochastic programming ⋮ Dynamic models for fixed-income portfolio management under uncertainty ⋮ Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach

Uses Software

• MSLiP

Cites Work

• MSLiP: A computer code for the multistage stochastic linear programming problem
• A stochastic programming model for money management
• A model for portfolio management with mortgage-backed securities
• Solving multistage stochastic network programs on massively prallel computers
• Short Term Financial Planning under Uncertainty
• Growth Versus Security in Dynamic Investment Analysis
• Stochastic Network Programming for Financial Planning Problems
• Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition
• Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities

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