The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming

DOI Web Site 2 Citations
  • David R. Cariño
    Frank Russell Company, 909 A Street, Tacoma, Washington 98402
  • Terry Kent
    Frank Russell Company, 909 A Street, Tacoma, Washington 98402
  • David H. Myers
    Frank Russell Company, 909 A Street, Tacoma, Washington 98402
  • Celine Stacy
    Frank Russell Company, 909 A Street, Tacoma, Washington 98402
  • Mike Sylvanus
    Frank Russell Company, 909 A Street, Tacoma, Washington 98402
  • Andrew L. Turner
    Frank Russell Company, 909 A Street, Tacoma, Washington 98402
  • Kouji Watanabe
    The Yasuda Fire and Marine Insurance Co., Ltd., Shinjuku-ku, Tokyo 160 Japan
  • William T. Ziemba
    The University of British Columbia, Vancouver, British Columbia V6T 1Y8, Canada

Description

<jats:p> Frank Russell Company and The Yasuda Fire and Marine Insurance Co., Ltd., developed an asset/liability management model using multistage stochastic programming. It determines an optimal investment strategy that incorporates a multiperiod approach and enables the decision makers to define risks in tangible operational terms. It also handles the complex regulations imposed by Japanese insurance laws and practices. The most important goal is to produce a high-income return to pay annual interest on savings-type insurance policies without sacrificing the goal of maximizing the long-term wealth of the firm. During the first two years of use, fiscal 1991 and 1992, the investment strategy devised by the model yielded extra income of 42 basis points (¥8.7 billion or US$79 million). </jats:p>

Journal

  • Interfaces

    Interfaces 24 (1), 29-49, 1994-02

    Institute for Operations Research and the Management Sciences (INFORMS)

Citations (2)*help

See more

Details 詳細情報について

Report a problem

Back to top