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- Title
The Russel-Yasuda Kasai Model: An Asset/ Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming.
- Authors
Carino, David R.; Kent, Terry; Myers, David H.; Stacey, Celine; Sylvanus, Mike; Turner, Andrew L.; Watanabe, Kouji; Ziemba, William T.
- Abstract
This article describes an asset/liability management model using multistage stochastic programming by Frank Russell Co. and Yasuda Fire and Marine Insurance Co. Ltd. It determines an optimal investment strategy that incorporates a multiperiod approach and enables the decision makers to define risks intangible operational terms. It also handles the complex regulations imposed by Japanese insurance laws and practices. The most important goal is to produce a high-income return to pay annual interest on savings-type insurance policies without sacrificing the goal of maximizing the long-term wealth of the firm. During the first two years of use, fiscal 1991 and 1992, the investment strategy devised by the model yielded extra income of 42 basis points.
- Subjects
STOCHASTIC programming; FRANK Russell Co.; YASUDA Fire &; Marine Insurance Co. Ltd.; MARINE insurance; INSURANCE law; MATHEMATICAL analysis
- Publication
Interfaces, 1994, Vol 24, Issue 1, p29
- ISSN
0092-2102
- Publication type
Article
- DOI
10.1287/inte.24.1.29