A stochastic programming model for asset liability management of a Finnish pension company. (English) Zbl 1132.91493
Summary: This paper describes a stochastic programming model that was developed for asset liability management of a Finnish pension insurance 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 insurance companies. Particular attention is paid to modeling the stochastic factors, numerical solution of the resulting optimization problem and evaluation of the solution. Out-of-sample tests clearly favor the strategies suggested by our model over static fixed-mix and dynamic portfolio insurance strategies.
MSC:
| 91B30 | Risk theory, insurance (MSC2010) |
| 90C15 | Stochastic programming |
Software:
AMPLReferences:
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