A hybrid simulation/optimisation scenario model for asset/liability management
Article Abstract:
A hybrid simulation/optimization method for sustaining the management of pension funds in the strategic planning of asset and liability policy instruments is proposed. A significant feature of the method is that the relevant risk-drivers are modelled by scenarios rather than by probability distributions. Efficient frontiers can be constructed since the hybrid method optimizes over the initial asset-allocation of the simulation model.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 1997
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Bank asset and liability management under uncertainty
Article Abstract:
An asset and liability management model was created to maintain profitability and ideal management of risks associated with bank asset and liability. The model allows such favorable condition while at the same time balancing sources and funds use to attain legal and policy requirements. It regards outstanding deposits, primary liquidity, second liquidity and total reserve requirements as discrete random variables.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 1997
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Analyzing legal regulations in the Norwegian life insurance business using a multistage asset-liability management model
Article Abstract:
Research is presented concerning the development of an asset-liability management model which can be applied to the analysis of the legal regulation of the Norwegian life insurance industry.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2001
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