| edoc-Server der Humboldt-Universität zu Berlin |
| 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.]) |
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| 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. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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