A stochastic programming model for asset liability management of a Finnish pension company

Annals of Operations Research

Volumn 152, Issue 1, 2007, Pages 115-139

  Hilli, Petri ^a   Koivu, Matti ^b   Pennanen, Teemu ^a   Ranne, Antero ^c  

^a HELSINKI SCHOOL OF ECONOMICS   (Finland)

^b EUROPEAN CENTRAL BANK   (Germany)

^c Mutual Pension Insurance Company Ilmarinen   (Finland)

Author keywords

Asset liability management; Discretization; Econometric modeling; Stochastic optimization

Indexed keywords

EID: 33847409281     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-006-0135-3     Document Type: Article

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