Modeling assets and liabilities of a finnish pension insurance company: a VEqC approach

DOI10.1080/03461230510009709zbMath1145.91035OpenAlexW2120158560MaRDI QIDQ5430551

Matti Koivu, Antero Ranne, Teemu Pennanen

Publication date: 16 December 2007

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230510009709

zbMATH Keywords

VARtime series analysisasset liability managementvector equilibrium correction model

Mathematics Subject Classification ID

Related Items (5)

Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model ⋮ A stochastic programming model for asset liability management of a Finnish pension company ⋮ Standard approaches to asset & liability risk** ⋮ Projections of pension fund solvency under alternative valuation regimes ⋮ Stochastic modeling of assets and liabilities with mortality risk

Cites Work

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• Analysis of cointegrated VARMA processes
• Forecasting in Econometrics: editors’ introduction
• Markov Chain Monte Carlo Estimation of Regime Switching Vector Autoregressions
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Forecasting Economic Time Series
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Efficient Tests for an Autoregressive Unit Root

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