edoc-Server der Humboldt-Universität zu Berlin

SPEPS Preprint

Author(s): Petri Hilli, Helsinki School of Economics
Matti Koivu, Helsinki School of Economics
Teemu Pennanen, Helsinki School of Economics
Antero Ranne, Mutual Pension Insurance Company Ilmarinen
Title: A stochastic programming model for asset liability management of a Finnish pension company
Date of Acceptance: 20.06.2003
Submission Date: 03.03.2003
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Submitted in: Annals of operations research
Springer Science + Business Media B.V (Dordrecht [u.a.])
Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link. Endnote   Bibtex  

Abstract (eng):
This paper describes a stochastic programming model that was developed for asset liability management of a Finnish pension company. In many respects the model resembles those presented in the literature , but it has some unique features stemming from the statutory restrictions for Finnish pension companies. Particular attention is paid to modeling the stochastic factors, implementation and to numerical testing. Out-of-sample tests clearly favor the strategies suggested by our model over fixed-mix strategies.
Access Statistics: These data concerning access statistics for individual documents have been compiled using the webserver log files aggregated by AWSTATS. They refer to a monthly access count to the full text documents as well as to the entry page.
 
As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.
 
To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.
PDF: 5 Zugriffe Startseite: 3 Zugriffe PDF: 11 Zugriffe Startseite: 1 Zugriffe PDF: 7 Zugriffe Startseite: 2 Zugriffe PDF: 16 Zugriffe Startseite: 2 Zugriffe PDF: 12 Zugriffe PDF: 6 Zugriffe Startseite: 2 Zugriffe PDF: 6 Zugriffe Startseite: 9 Zugriffe PDF: 7 Zugriffe PDF: 10 Zugriffe Startseite: 1 Zugriffe PDF: 11 Zugriffe Startseite: 1 Zugriffe PDF: 10 Zugriffe PDF: 12 Zugriffe Startseite: 3 Zugriffe PDF: 29 Zugriffe PDF: 3 Zugriffe PDF: 20 Zugriffe PDF: 11 Zugriffe PDF: 11 Zugriffe PDF: 19 Zugriffe PDF: 20 Zugriffe PDF: 17 Zugriffe Startseite: 1 Zugriffe PDF: 12 Zugriffe Startseite: 2 Zugriffe PDF: 18 Zugriffe PDF: 12 Zugriffe PDF: 11 Zugriffe PDF: 9 Zugriffe Startseite: 4 Zugriffe PDF: 14 Zugriffe Startseite: 1 Zugriffe PDF: 15 Zugriffe Startseite: 3 Zugriffe PDF: 4 Zugriffe PDF: 10 Zugriffe Startseite: 3 Zugriffe PDF: 8 Zugriffe Startseite: 2 Zugriffe PDF: 7 Zugriffe Startseite: 1 Zugriffe PDF: 4 Zugriffe PDF: 4 Zugriffe Startseite: 2 Zugriffe PDF: 6 Zugriffe PDF: 6 Zugriffe PDF: 6 Zugriffe PDF: 9 Zugriffe
Jul
11
Aug
11
Sep
11
Oct
11
Nov
11
Dec
11
Jan
12
Feb
12
Apr
12
May
12
Jun
12
Jul
12
Aug
12
Sep
12
Oct
12
Nov
12
Dec
12
Jan
13
Feb
13
Mar
13
Apr
13
May
13
Jun
13
Jul
13
Aug
13
Sep
13
Oct
13
Nov
13
Dec
13
Jan
14
Feb
14
Mar
14
Apr
14
May
14
Jun
14
Jul
14
Aug
14
Monat Jul
11
Aug
11
Sep
11
Oct
11
Nov
11
Dec
11
Jan
12
Feb
12
Apr
12
May
12
Jun
12
Jul
12
Aug
12
Sep
12
Oct
12
Nov
12
Dec
12
Jan
13
Feb
13
Mar
13
Apr
13
May
13
Jun
13
Jul
13
Aug
13
Sep
13
Oct
13
Nov
13
Dec
13
Jan
14
Feb
14
Mar
14
Apr
14
May
14
Jun
14
Jul
14
Aug
14
Startseite   3 1 2 2   2 9   1 1   3               1 2       4 1 3   3 2 1   2      
PDF 5 11 7 16 12 6 6 7 10 11 10 12 29 3 20 11 11 19 20 17 12 18 12 11 9 14 15 4 10 8 7 4 4 6 6 6 9

Gesamtzahl der Zugriffe seit Jul 2011:

  • Startseite – 43 (1.19 pro Monat)
  • PDF – 398 (10.76 pro Monat)
 
 
Generated at 21.09.2014, 06:12:37