scientific article; zbMATH DE number 1304958

MaRDI QIDQ4251871zbMATH OpenFDO

Authors Cees L. Dert

Publication date 16 December 1999

zbMATH Keywords

asset liability managementscenario-based optimization

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Economic growth models (91B62) Economic time series analysis (91B84)

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• Analyzing legal regulations in the Norwegian life insurance business using a multistage asset-liability management model
• On multistage stochastic integer programming for incorporating logical constraints in asset and liability management under uncertainty
• BFC-MSMIP: an exact branch-and-fix coordination approach for solving multistage stochastic mixed 0-1 problems
• The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach

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