A stochastic programming model for asset liability management of a Finnish pension company
dc.contributor.author | Hilli, Petri | |
dc.contributor.author | Koivu, Matti | |
dc.contributor.author | Pennanen, Teemu | |
dc.contributor.author | Ranne, Antero | |
dc.contributor.editor | Higle, Julie L. | |
dc.contributor.editor | Römisch, Werner | |
dc.contributor.editor | Sen, Surrajeet | |
dc.date.accessioned | 2017-06-16T19:52:14Z | |
dc.date.available | 2017-06-16T19:52:14Z | |
dc.date.created | 2006-03-01 | |
dc.date.issued | 2003-06-20 | |
dc.date.submitted | 2003-03-03 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/8943 | |
dc.description.abstract | 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. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject.ddc | 510 Mathematik | |
dc.title | A stochastic programming model for asset liability management of a Finnish pension company | |
dc.type | book | |
dc.identifier.urn | urn:nbn:de:kobv:11-110-18452/8943-9 | |
dc.identifier.doi | http://dx.doi.org/10.18452/8291 | |
local.edoc.type-name | Buch | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
dc.identifier.zdb | 2936317-2 | |
dcterms.bibliographicCitation.originalpublishername | Springer Science + Business Media B.V | |
dcterms.bibliographicCitation.originalpublisherplace | Dordrecht [u.a.] | |
bua.series.name | Stochastic Programming E-Print Series | |
bua.series.issuenumber | 2003,9 |