4 search results - page 1 / 1 » A stochastic programming model for asset liability managemen... |
ANOR
2007
13 years 5 months ago
2007
This paper describes a stochastic programming model that was developed for asset liability management of a Finnish pension insurance company. In many respects the model resembles t...
EOR
2010
2010
Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
13 years 5 months ago
In this paper we study the optimal management of an aggregated pension fund of defined benefit type, in the presence of a stochastic interest rate. We suppose that the sponsor can ...
JAMDS
2000
13 years 4 months ago
2000
We develop a methodology for evaluating a decision strategy generated by a stochastic optimization model. The methodology is based on a pilot study in which we estimate the distri...
ANOR
2007
13 years 5 months ago
2007
The quality of multi-stage stochastic optimization models as they appear in asset liability management, energy planning, transportation, supply chain management, and other applicat...