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

Harish Venkatesh Rao, Goutam Dutta and Sankarshan Basu

No WP2014-06-02, IIMA Working Papers from Indian Institute of Management Ahmedabad, Research and Publication Department

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.

Date: 2014-06-10
New Economics Papers: this item is included in nep-cmp, nep-ias, nep-ore and nep-rmg
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