Risk Management and Planning in the Vienna Siemens Pension Model, InnoALM

The Russell–Yasuda Kasai model was a great success and it was wonderful to implement a very good asset-liability planning model. After this model was implemented in 1991 and we won second prize in the Edelmann practice of management science contest in 1993, I kept on this line of research. In 1995, there was a 6 month workshop at the Isaac Newton Institute at the University of Cambridge. The facility is beautifully laid out with open spaces for research contact. These programs were very prestigious and people like Stephen Hawking were involved in other similar programs. Ours was called financial mathematics and the organizers invited me to put together 2 weeks of the program. They had known me from a workshop I was involved with in 1993 organized by Paul Wilmott and Sam Howison of Oxford University and Frank Kelly of the University of Cambridge. That earlier workshop led to a special issue of the Philosophical Transactions of the Royal Society in London. I wrote a paper on calendar anomalies with my Frank Russell colleague Chris Hensel…