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Stochastic programming models for strategic and tactical asset allocation: a study from Norwegian life insurance

Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

Publication date2007
Host publicationHandbook of Asset and Liability Management
Place of PublicationLondon, New York and Amsterdam
Number of pages35
ISBN (print)9780444532480
<mark>Original language</mark>English


In this chapter we describe the development and use of two decision support models for asset allocation used within the Gjensidige-NOR Group,1 one of Norway's three largest financial groups. For strategic, long-term, asset liability management, the life insurance company within the Group uses an ALM-model. GN Asset Management, the asset management company within the group, uses a different model for shorter term tactical asset allocation in a hedge fund. Both models are based on stochastic programming. The models have been developed in close cooperation between GN Asset Management and the Norwegian University of Science and Technology.