search query: @author Mulvey, J. M. / total: 8
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| Author: | Mulvey, J. M. Gould, G. Morgan, C. |
| Title: | An asset and liability management system for Towers Perrin-Tillinghast |
| Journal: | Interfaces
2000 : JAN-FEB, VOL. 30:1, p. 96-114 |
| Index terms: | Operational research Insurance Company performance Stochastic processes Assets Investments Systems analysis Simulation models USA |
| Language: | eng |
| Abstract: | The article deals with a stochastic asset-and-liability management system in Tower Perrin-Tillinhast, the largest employer of actuaries in the world. The system has three major components: a stochastic scenario generator, a nonlinear optimization simulation model, and a flexible liability- and financial-reporting module. Each part improves over existing technology as compared with traditional actuarial approaches. |
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