Towers Perrin-Tillinghast employs a stochastic asset-and-liability management system for helping its pension plan and insurance clients understand the risks and opportunities related to capital market investments and other major decisions. The system has three major components: (1) a stochastic scenario generator (CAP:Link); (2) a nonlinear optimization simulation model (OPT:Link); and (3) a flexible liability- and financial-reporting module (FIN:Link). Each part improves over existing technology as compared with traditional actuarial approaches. The integrated investment system links asset risks to liabilities so that company goals are best achieved. For example, US WEST saved $450 to $1,000 million in opportunity costs in its pension plan by following the advice of the asset-and-liability system.
[1]
J. Mulvey,et al.
The Towers Perrin Global Capital Market Scenario Generation System
,
2002
.
[2]
W. Ziemba,et al.
The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming
,
1994
.
[3]
John M. Mulvey,et al.
Linking strategic and tactical planning systemsfor asset and liability management
,
1999,
Ann. Oper. Res..
[4]
Stephen P. Lowe,et al.
An Integrated Dynamic Financial Analysis and Decision Support System for a Property Catastrophe Reinsurer
,
1997,
ASTIN Bulletin.
[5]
J. Mulvey.
Generating Scenarios for the Towers Perrin Investment System
,
1996
.