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Database Structure for a Multi Stage Stochastic Optimization Based Decision Support System for Asset – Liability Management of a Life Insurance Company

Harish V. Rao, Goutam Dutta and Sankarshan Basu
2014
Working Paper No
467
Body

We introduce a stochastic optimization based decision support system (DSS) for asset-liability management of a life insurance firm using a multi-stage, stochastic optimization model. The DSS is based on a multi-stage stochastic linear program (SLP) with recourse for strategic planning. The model can be used with little or no knowledge of management sciences. The model maximizes the expected value of total reserve (policy holders' reserve and shareholders' reserve) at the end of the time period of planning. We discuss the issues related to database design structure, DSS interface design, database updating procedure, and solution reporting.

Key words
Decision support system, stochastic optimization, financial institutions, strategic planning, asset liability management, insurance
WP_No._467.pdf (1.3 MB)

Database Structure for a Multi Stage Stochastic Optimization Based Decision Support System for Asset – Liability Management of a Life Insurance Company

Author(s) Name: Harish V. Rao, Goutam Dutta and Sankarshan Basu, 2014
Working Paper No : 467
Abstract:

We introduce a stochastic optimization based decision support system (DSS) for asset-liability management of a life insurance firm using a multi-stage, stochastic optimization model. The DSS is based on a multi-stage stochastic linear program (SLP) with recourse for strategic planning. The model can be used with little or no knowledge of management sciences. The model maximizes the expected value of total reserve (policy holders' reserve and shareholders' reserve) at the end of the time period of planning. We discuss the issues related to database design structure, DSS interface design, database updating procedure, and solution reporting.

Keywords: Decision support system, stochastic optimization, financial institutions, strategic planning, asset liability management, insurance
WP_No._467.pdf (1.3 MB)