Generating Scenarios for the Towers Perrin Investment System

John M. Mulvey
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John M. Mulvey: Department of Civil Engineering and Operations Research, E-Quad, Olden Street, Princeton University, Princeton, New Jersey 08544

Interfaces, 1996, vol. 26, issue 2, 1-15

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.

Keywords: finance: investment criteria; forecasting: applications (search for similar items in EconPapers)
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:inm:orinte:v:26:y:1996:i:2:p:1-15

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