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

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INPUT OUTPUT

Multiperiod stochastic optimization model Econometric

model - Assets - Wage index

Liability model - Cash flows - Technical

reserves

Scenario generator - Statistics - Graphics

Solver - AMPL - Mosek

Solution - Optimal strategy - Statistics - Graphics Data

- Market data - Expert

information

Data - Initial values - Population

forecasts

COMPUTER SYSTEM

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0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1

Initial SP1 SP2 SP3 SP4 SP5

property stocks bonds short rate loans

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