IDEAS home Printed from https://ideas.repec.org/a/inm/orinte/v26y1996i2p1-15.html
   My bibliography  Save this article

Generating Scenarios for the Towers Perrin Investment System

Author

Listed:
  • John M. Mulvey

    (Department of Civil Engineering and Operations Research, E-Quad, Olden Street, Princeton University, Princeton, New Jersey 08544)

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.

Suggested Citation

  • John M. Mulvey, 1996. "Generating Scenarios for the Towers Perrin Investment System," Interfaces, INFORMS, vol. 26(2), pages 1-15, April.
    • Handle: RePEc:inm:orinte:v:26:y:1996:i:2:p:1-15
    DOI: 10.1287/inte.26.2.1
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1287/inte.26.2.1
    Download Restriction: no
    File URL: https://libkey.io/10.1287/inte.26.2.1?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sergio Alvares Maffra & John Armstrong & Teemu Pennanen, 2020. "Stochastic modeling of assets and liabilities with mortality risk," Papers 2005.09974, arXiv.org.
    2. Luis Rios & Nikolaos Sahinidis, 2010. "Portfolio optimization for wealth-dependent risk preferences," Annals of Operations Research, Springer, vol. 177(1), pages 63-90, June.
    3. Consiglio, Andrea & Tumminello, Michele & Zenios, Stavros A., 2015. "Designing and pricing guarantee options in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 267-279.
    4. ManMohan S. Sodhi, 2005. "LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications," Operations Research, INFORMS, vol. 53(2), pages 181-196, April.
    5. C A Poojari & C Lucas & G Mitra, 2008. "Robust solutions and risk measures for a supply chain planning problem under uncertainty," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 59(1), pages 2-12, January.
    6. Hoyland, Kjetil & Wallace, Stein W., 2001. "Analyzing legal regulations in the Norwegian life insurance business using a multistage asset-liability management model," European Journal of Operational Research, Elsevier, vol. 134(2), pages 293-308, October.
    7. Tokat, Yesim & Rachev, Svetlozar T. & Schwartz, Eduardo S., 2003. "The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 937-969, April.
    8. Maranas, C. D. & Androulakis, I. P. & Floudas, C. A. & Berger, A. J. & Mulvey, J. M., 1997. "Solving long-term financial planning problems via global optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1405-1425, June.
    9. Birge, John R. & Júdice, Pedro, 2013. "Long-term bank balance sheet management: Estimation and simulation of risk-factors," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4711-4720.
    10. Beltratti, Andrea & Laurant, Andrea & Zenios, Stavros A., 2004. "Scenario modelling for selective hedging strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 955-974, February.
    11. John M. Mulvey & Gordon Gould & Clive Morgan, 2000. "An Asset and Liability Management System for Towers Perrin-Tillinghast," Interfaces, INFORMS, vol. 30(1), pages 96-114, February.
    12. John M. Mulvey & Koray D. Simsek & Zhuojuan Zhang & Frank J. Fabozzi & William R. Pauling, 2008. "OR PRACTICE---Assisting Defined-Benefit Pension Plans," Operations Research, INFORMS, vol. 56(5), pages 1066-1078, October.
    13. Owen, Susan Hesse & Daskin, Mark S., 1998. "Strategic facility location: A review," European Journal of Operational Research, Elsevier, vol. 111(3), pages 423-447, December.
    14. Alois Geyer & William T. Ziemba, 2008. "The Innovest Austrian Pension Fund Financial Planning Model InnoALM," Operations Research, INFORMS, vol. 56(4), pages 797-810, August.
    15. Sodhi, ManMohan S. & Tang, Christopher S., 2009. "Modeling supply-chain planning under demand uncertainty using stochastic programming: A survey motivated by asset-liability management," International Journal of Production Economics, Elsevier, vol. 121(2), pages 728-738, October.
    16. Tokat, Yesim & Rachev, Svetlozar T. & Schwartz, Eduardo, 2000. "The Stable non-Gaussian Asset Allocation: A Comparison with the Classical Gaussian Approach," University of California at Santa Barbara, Economics Working Paper Series qt9ph6b5gp, Department of Economics, UC Santa Barbara.
    17. S. Seshadri & A. Khanna & F. Harche & R. Wyle, 1999. "A Method for Strategic Asset-Liability Management with an Application to the Federal Home Loan Bank of New York," Operations Research, INFORMS, vol. 47(3), pages 345-360, June.
    18. Blomvall, Jorgen & Lindberg, Per Olov, 2003. "Back-testing the performance of an actively managed option portfolio at the Swedish Stock Market, 1990-1999," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1099-1112, April.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:orinte:v:26:y:1996:i:2:p:1-15. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.