Article2000

An Asset and Liability Management System for Towers Perrin-Tillinghast

94 citations0/0 files storedINFORMS Journal on Applied Analytics

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Risk and Portfolio Optimization Financial Analysis and Corporate Governance Stochastic processes and financial applications

Abstract

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.

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References

1998Worldwide asset and liability modeling 1994The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming 1996Generating Scenarios for the Towers Perrin Investment System

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