Linking strategic and tactical planning systemsfor asset and liability management

Authors: Mulvey J.M.; Madsen C.; Morin F.

Source: Annals of Operations Research, Volume 85, Number 1, 1999 , pp. 249-266(18)

Publisher: Springer

Buy & download fulltext article:

OR

Price: $47.00 plus tax (Refund Policy)

Abstract:

Total enterprise risk management involves a systematic approach for evaluating/controlling risks within a large firm such as a property-casualty insurance company. Thebasic idea is to coordinate planning throughout the organization, from traders and underwritersto the CFO, in order to maximize the company’s economic surplus at the desiredlevel of enterprise risk. At present, it is difficult to link strategic systems, such as assetallocation, to tactical systems for pricing securities and selecting new products. We proposetwo solutions. First, we develop a “price of risk” for significant decisions possessingcorrelatedfactors. Second, we create a set of dynamic investment categories, called hybrid assets,for use in an asset and liability management framework. We illustrate the concepts via aninsurance planning problem, whereby the goal is to optimize the company’s surplus.

Language: English

Document Type: Regular paper

Publication date: 1999-01-01

Related content

Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content

Text size:

A | A | A | A
Share this item with others: These icons link to social bookmarking sites where readers can share and discover new web pages. print icon Print this page