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Linking strategic and tactical planning systemsfor asset and liability management

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  • John Mulvey
  • Chris Madsen
  • François Morin

Abstract

Total enterprise risk management involves a systematic approach for evaluating/controlling risks within a large firm such as a property‐casualty insurance company. Thebasic idea is to coordinate planning throughout the organization, from traders and underwritersto the CFO, in order to maximize the company's economic surplus at the desiredlevel of enterprise risk. At present, it is difficult to link strategic systems, such as assetallocation, to tactical systems for pricing securities and selecting new products. We proposetwo solutions. First, we develop a “price of risk” for significant decisions possessingcorrelatedfactors. Second, we create a set of dynamic investment categories, called hybrid assets,for use in an asset and liability management framework. We illustrate the concepts via aninsurance planning problem, whereby the goal is to optimize the company's surplus. Copyright Kluwer Academic Publishers 1999

Suggested Citation

  • John Mulvey & Chris Madsen & François Morin, 1999. "Linking strategic and tactical planning systemsfor asset and liability management," Annals of Operations Research, Springer, vol. 85(0), pages 249-266, January.
    • Handle: RePEc:spr:annopr:v:85:y:1999:i:0:p:249-266:10.1023/a:1018925912190
    DOI: 10.1023/A:1018925912190
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    Cited by:

    1. Jules Raymond Kala & Didier Michael Kre & Armelle N’Guessan Gnassou & Jean Robert Kamdjoug Kala & Yves Melaine Akpablin Akpablin & Tiorna Coulibaly, 2022. "Assets management on electrical grid using Faster-RCNN," Annals of Operations Research, Springer, vol. 308(1), pages 307-320, January.
    2. ManMohan S. Sodhi, 2005. "LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications," Operations Research, INFORMS, vol. 53(2), pages 181-196, April.

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