A stochastic programming model for asset liability management of a Finnish pension company
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Publication:2480243
DOI10.1007/S10479-006-0135-3zbMATH Open1132.91493OpenAlexW2022569940MaRDI QIDQ2480243FDOQ2480243
Authors: Petri Hilli, Matti Koivu, Teemu Pennanen, Antero Ranne 
Publication date: 31 March 2008
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/8943
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Cited In (29)
- Asset liability management for the parliamentary pension scheme of Uganda by stochastic programming
- A decision-dependent randomness stochastic program for asset-liability management model with a pricing decision
- Stochastic programming framework for Lithuanian pension payout modelling
- Liquidity, risk, and return: specifying an objective function for the management of foreign reserves
- Epi-convergent discretizations of multistage stochastic programs via integration quadratures
- A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry
- A multistage stochastic programming model with multiple objectives for the optimal issuance of corporate bonds
- ALM modeling for Dutch pension funds in an era of pension reform
- On integrated chance constraints in ALM for pension funds
- Multiperiod mean-variance efficient portfolios with endogenous liabilities
- Scenario generation and stochastic programming models for asset liability management
- Mean-Variance Asset Liability Management with State-Dependent Risk Aversion
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- Coupling a memetic algorithm to simulation models for promising multi-period asset allocations
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- Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
- Dynamic balance sheet model with liquidity risk
- Performance enhancements for defined benefit pension plans
- Statistical applications in Finnish pension insurance
- The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market
- Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
- Projections of pension fund solvency under alternative valuation regimes
- Asset-liability management for Czech pension funds using stochastic programming
- Numerical study of discretizations of multistage stochastic programs
- Asset liability management for Tanzania: pension funds by stochastic programming
- A semi-supervised learning approach for variance reduction in life insurance
- A multistage linear stochastic programming model for optimal corporate debt management
- Modeling assets and liabilities of a finnish pension insurance company: a VEqC approach
- Formulation of the Russell-Yasuda Kasai financial planning model
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