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Stochastic programming models for strategic and tactical asset allocation:a study from Norwegian life insurance

Wallace, Stein W and Høyland, Kjetil (2007) Stochastic programming models for strategic and tactical asset allocation:a study from Norwegian life insurance. In: Handbook of Asset and Liability Management. Elsevier, London, New York and Amsterdam, pp. 591-625. ISBN 9780444532480

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Abstract

In this chapter we describe the development and use of two decision support models for asset allocation used within the Gjensidige-NOR Group,1 one of Norway's three largest financial groups. For strategic, long-term, asset liability management, the life insurance company within the Group uses an ALM-model. GN Asset Management, the asset management company within the group, uses a different model for shorter term tactical asset allocation in a hedge fund. Both models are based on stochastic programming. The models have been developed in close cooperation between GN Asset Management and the Norwegian University of Science and Technology.

Item Type: Contribution in Book/Report/Proceedings
Subjects:
Departments: Lancaster University Management School > Management Science
ID Code: 47228
Deposited By: ep_importer_pure
Deposited On: 11 Jul 2011 21:13
Refereed?: No
Published?: Published
Last Modified: 10 Apr 2014 00:32
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/47228

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