Rao, Harish Venkatesh; Dutta, Goutam; Basu, Sankarshan - Economics, Indian Institute of Management
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...