Handbook of Asset and Liability Management, Vol. 2, No. suppl (C) • 2007

ISSN: 1872-0978

doi: 10.1016/S1872-0978(06)02013-8

Chapter 13 Stochastic Programming Models for Strategic and Tactical Asset Allocation—a study from Norwegian life insurance

Kjetil Høyland

Gjensidige-NOR Asset Management, P.O. Box 276, NO-1326 Lysaker, Norway

E-mail address:kjetil.hoyland@spk.no,

Stein W. Wallace,

Molde University College, P.O. Box 2110, NO-6402 Molde, Norway

E-mail address:stein.w.wallace@himolde.no,

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, ...

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