A stochastic programming model for asset liability management of a Finnish pension company

DOI10.1007/s10479-006-0135-3zbMath1132.91493OpenAlexW2022569940MaRDI QIDQ2480243

Matti Koivu, Teemu Pennanen, Petri Hilli, Antero Ranne

Publication date: 31 March 2008

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/8943

zbMATH Keywords

discretizationstochastic optimizationasset-liability managementeconometric modeling

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (16)

Asset liability management for the parliamentary pension scheme of Uganda by stochastic programming ⋮ Coupling a memetic algorithm to simulation models for promising multi-period asset allocations ⋮ ON INTEGRATED CHANCE CONSTRAINTS IN ALM FOR PENSION FUNDS ⋮ Options strategies for international portfolios with overall risk management via multi-stage stochastic programming ⋮ Unnamed Item ⋮ Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints ⋮ Performance Enhancements for Defined Benefit Pension Plans ⋮ Mean-Variance Asset Liability Management with State-Dependent Risk Aversion ⋮ Multiperiod mean-variance efficient portfolios with endogenous liabilities ⋮ Epi-convergent discretizations of multistage stochastic programs via integration quadratures ⋮ Liquidity, risk, and return: specifying an objective function for the management of foreign reserves ⋮ Unnamed Item ⋮ A multistage linear stochastic programming model for optimal corporate debt management ⋮ Projections of pension fund solvency under alternative valuation regimes ⋮ The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market ⋮ DYNAMIC BALANCE SHEET MODEL WITH LIQUIDITY RISK

Uses Software

• AMPL

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