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2003-06-20Buch DOI: 10.18452/8291
A stochastic programming model for asset liability management of a Finnish pension company
dc.contributor.authorHilli, Petri
dc.contributor.authorKoivu, Matti
dc.contributor.authorPennanen, Teemu
dc.contributor.authorRanne, Antero
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:52:14Z
dc.date.available2017-06-16T19:52:14Z
dc.date.created2006-03-01
dc.date.issued2003-06-20
dc.date.submitted2003-03-03
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8943
dc.description.abstractThis 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subject.ddc510 Mathematik
dc.titleA stochastic programming model for asset liability management of a Finnish pension company
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/8943-9
dc.identifier.doihttp://dx.doi.org/10.18452/8291
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-publisher-nameSpringer Science + Business Media B.V
local.edoc.container-publisher-placeDordrecht [u.a.]
local.edoc.container-volume2003
local.edoc.container-issue9
local.edoc.container-erstkatid2936317-2

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