An asset and liability management system for towers Perrin-Tillinghast

Interfaces

Volumn 30, Issue 1, 2000, Pages 96-114

  Mulvey, John M ^a   Gould, Gordon ^b   Morgan, Clive ^c  

^a Princeton University   (United States)

^b Towers Perrin   (United States)

^c Towers Perrin   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0038831433     PISSN: 00922102     EISSN: None     Source Type: Journal    
DOI: 10.1287/inte.30.1.96.11617     Document Type: Article

References (7)

1. Cariño, D. R.; Kent, T.; Myers, D. H; Stacy, C.; Sylvanus, M.; Turner, A.; Watanabe, K.; and Ziemba, W. T. 1994, "The Russell-Yasuda Kasai model: An asset liability model for a Japanese insurance company using multi-stage stochastic programming," Interfaces, Vol. 24, No. 1, pp. 29-49.
2. Lowe, S. P. and Stanard, J. 1996, "An integrated dynamic financial analysis and decision support system for a property catastrophe reinsurer," Casualty Actuarial Society Forum, summer.
3. Mulvey, J. M. 1996, "Generating scenarios for the Towers Perrin investment system, Interfaces, Vol. 26, No. 2, pp. 1-15.
4. Mulvey, J. M.; Correnti, S.; and Lummis, J. 1997, "Total integrated risk management: Insurance elements," Princeton University SOR Report, No. 97-02, Princeton, New Jersey.
5. Mulvey, J. M.; Morin, F.; and Pauling, B. 1999, "Calibration of stochastic scenario generators for DFA," Casualty Actuarial Society Forum, summer, and Annals of Operations Research, Vol. 85, pp. 249-266.
6. Mulvey, J. M. and Thorlacius, E. 1998. "The Towers Perrin global capital market scenario generation system," in Worldwide Asset and Liability Modeling, eds. W. T. Ziemba and J. M. Mulvey, Cambridge University Press, Cambridge, UK.
7. Ziemba, W. T. and Mulvey, J. M., eds. 1998, Worldwide Asset and Liability Modeling, Cambridge University Press, Cambridge, UK.