|edoc-Server der Humboldt-Universität zu Berlin|
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|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
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|
|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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