Analyzing legal regulations in the Norwegian life insurance business using a multistage asset-liability management model

DOI10.1016/S0377-2217(00)00262-9zbMath1017.91054MaRDI QIDQ5945851

Stein W. Wallace, Kjetil Høyland

Publication date: 29 January 2002

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

stochastic programminglife insuranceAsset-liability managementlegal regulations

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (2)

Modeling financial reinsurance in the casualty insurance business via stochastic programming ⋮ The performance of stochastic dynamic and fixed mix portfolio models

Cites Work

• Generating Scenario Trees for Multistage Decision Problems
• Dynamic stochastic programming for asset-liability management
• Asset/liability management under uncertainty for fixed-income securities
• Formulation of the Russell-Yasuda Kasai Financial Planning Model
• Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model
• Comparison of Alternative Utility Functions in Portfolio Selection Problems
• Stochastic Network Programming for Financial Planning Problems
• Risk, Return, and Utility
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