Contingent Portfolio Programming for the Management of Risky Projects
Operations Research
A review of scenario generation methods
International Journal of Computing Science and Mathematics
A decision support system for strategic asset allocation
Decision Support Systems
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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.