Article1996

Generating Scenarios for the Towers Perrin Investment System

125 citations0/0 files storedINFORMS Journal on Applied Analytics

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Risk and Portfolio Optimization Financial Literacy, Pension, Retirement Analysis Stochastic processes and financial applications

Abstract

The Towers Perrin company applies integrative asset-liability planning to the problem of pension management. The planning system depends upon a stochastic economic projection model—called CAP:Link—for generating economic factors and asset returns via a set of representative scenarios. Each scenario depicts a coherent set of outcomes. The projections span a long-run horizon—10 to 40 years. Risks and rewards for alternative investment strategies are determined via dynamic asset and liability allocation over the scenarios. The approach has been implemented in 12 countries in Europe, North America, and Asia.

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References

1995Robust Optimization of Large-Scale Systems 2000Timid Choices and Bold Forecasts: A Cognitive Perspective on Risk Taking 1988Dynamic Strategies for Asset Allocation 1982An Equilibrium Model of Bond Pricing and a Test of Market Efficiency 1994The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming

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1997Making a Case for Robust Optimization Models 2008The Innovest Austrian Pension Fund Financial Planning Model InnoALM 2003Financial planning via multi-stage stochastic optimization 1997Strategic financial risk management and operations research 2000An Asset and Liability Management System for Towers Perrin-Tillinghast 2008Stochastic programming models for asset liability management 1995Multistage stochastic programs: The state-of-the-art and selected bibliography 2005A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming

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