An asset and liability management system for towers Perrin-Tillinghast

John M. Mulvey, Gordon Gould, Clive Morgan

Research output: Contribution to journalArticlepeer-review

53 Scopus citations

Abstract

Towers Perrin-Tillinghast employs a stochastic asset-and-liability management system for helping its pension plan and insurance clients understand the risks and opportunities related to capital market investments and other major decisions. The system has three major components: (1) a stochastic scenario generator (CAP:Link); (2) a nonlinear optimization simulation model (OPT:Link); and (3) a flexible liability-and financial-reporting module (FIN:Link). Each part improves over existing technology as compared with traditional actuarial approaches. The integrated investment system links asset risks to liabilities so that company goals are best achieved. For example, US WEST saved $450 to $1,000 million in opportunity costs in its pension plan by following the advice of the asset-and-liability system.

Original languageEnglish (US)
Pages (from-to)96-114
Number of pages19
JournalInterfaces
Volume30
Issue number1
DOIs
StatePublished - 2000

All Science Journal Classification (ASJC) codes

  • Strategy and Management
  • Management Science and Operations Research
  • Management of Technology and Innovation

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