Stochastic linear programming model for asset liability management: the case of an Indian Insurance Company by Ankur Garg and others ( Working Paper, no. 2006-10-08 1984) (Record no. 72076)

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fixed length control field 02383nam a2200205Ia 4500
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 140323b2006 xxu||||| |||| 00| 0 eng d
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number WP 2006-10-08 (1984)
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Garg, Ankur
9 (RLIN) 69307
245 ## - TITLE STATEMENT
Title Stochastic linear programming model for asset liability management: the case of an Indian Insurance Company by Ankur Garg and others ( Working Paper, no. 2006-10-08 1984)
Statement of responsibility, etc. Garg, Ankur
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc. Ahmedabad
Name of publisher, distributor, etc. Indian Institute of Management
Date of publication, distribution, etc. 2006
300 ## - PHYSICAL DESCRIPTION
Extent 18 p.
520 ## - SUMMARY, ETC.
Summary, etc. Asset - Liability management is one of the most critical tasks for any financial institution for determining its cushion against the risk and the net returns. The problem of asset liability management for an insurance company requires matching the cash inflows from premium collections and investment income with the cash outflows due to casualty and maturity claims. Thus, what is required is a prudent investment strategy such that the returns earned on the assets match the liability claims at all points of time in future. Conventionally, the asset allocation has been done using the Mean Variance approach due to Markowitz (1952, 1959). While such a strategy ensures that the asset value always match or are greater than the liability for the next year, it does not maximise the net worth of the firm nor does it take care of all the cash inflows and outflows over a long term period. A stochastic linear programming model (on the lines of Pirbhai, 2004) maximises the net worth of the firm and also takes care of the uncertainties. While there are instances of stochastic linear programming being applied for ALM in financial institutions in developed markets, no such practical application has been reported in this area in Indian context as yet. In this paper, we describe the development of a multi stage stochastic linear programming model for insurance companies. The multi-stage stochastic linear programming model was developed on the modelling language AMPL (Fourer, 2002).
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Linear Programming
9 (RLIN) 393
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Insurance - India
9 (RLIN) 72297
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Asset-liability management
9 (RLIN) 28205
700 ## - ADDED ENTRY--PERSONAL NAME
Personal name Tiwari, Apoorva
9 (RLIN) 74580
700 ## - ADDED ENTRY--PERSONAL NAME
Personal name Dutta, Goutam
9 (RLIN) 68522
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Koha item type Working Paper
952 ## - LOCATION AND ITEM INFORMATION (KOHA)
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-- INR
-- 23/12/2006
Holdings
Withdrawn status Lost status Source of classification or shelving scheme Damaged status Not for loan Permanent Location Current Location Date acquired Full call number Barcode Date last seen Price effective from Koha item type
          Vikram Sarabhai Library Vikram Sarabhai Library 05/05/2009 WP 2006-10-08 (1984) WP001984 04/09/2009 04/09/2009 Working Paper

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