Generating scenarios for the Towers Perrin investment system

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Abstract

The Towers Perrin company applies integrative asset-liability planning to the problem of pension management. The planning system depends upon a stochastic economic projection model - called CAP:Link - for generating economic factors and asset returns via a set of representative scenarios. Each scenario depicts a coherent set of outcomes. The projections span a long-run horizon - 10 to 40 years. Risks and rewards for alternative investment strategies are determined via dynamic asset and liability allocation over the scenarios. The approach has been implemented in 12 countries in Europe, North America, and Asia.

Original languageEnglish (US)
Pages (from-to)1-15
Number of pages15
JournalInterfaces
Volume26
Issue number2
DOIs
StatePublished - Jan 1 1996

All Science Journal Classification (ASJC) codes

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

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