Concepedia

Stochastic Liability Modeling

Stochastic Liability Modeling is a quantitative risk modeling framework that belongs to the class of stochastic forecasting methods and specifically characterizes the uncertain future cash flow obligations of institutional investors by simulating a range of possible liability trajectories under probabilistic assumptions.

36

Publications

1.6K

Citations

81

Authors

49

Institutions

Publications per year

2017–2026

4

Parents

Publications

36

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

David R. Cariño, Terry Kent, David Hobson Myers et al. · INFORMS Journal on Applied Analytics · 1994 · 363 citations

, , +15

Prediction of Outstanding Liabilities in Non-Life Insurance

Ragnar Norberg · Astin Bulletin · 1993 · 169 citations · Full text

, , +15

Continuous-time portfolio selection with liability: Mean–variance model and stochastic LQ approach

Shuxiang Xie, Zhongfei Li, Shouyang Wang · Insurance Mathematics and Economics · 2007 · 100 citations

, , +16

An Asset and Liability Management System for Towers Perrin-Tillinghast

John M. Mulvey, Gordon Gould, Clive Morgan · INFORMS Journal on Applied Analytics · 2000 · 95 citations

, , +17

Annual variation of sporadic radar meteor rates

M. Campbell‐Brown, J. Jones · Monthly Notices of the Royal Astronomical Society · 2006 · 94 citations · Full text

, , +17

1–5 of 36

Authors

81

  1. MK
    Matti Koivu

    European Central Bank, Germany

    2 publications · 93 citations

    2

    h-index

  2. XQ
    Xiao Qing-xian

    University of Shanghai for Science and Technology, China

    2 publications · 49 citations

    2

    h-index

  3. AR
    Antero Ranne

    European Central Bank, Germany

    2 publications · 93 citations

    2

    h-index

  4. JP
    Jian Pan

    Gannan Normal University, China

    2 publications · 49 citations

    2

    h-index

  5. TP
    Teemu Pennanen

    Aalto University, Finland

    2 publications · 93 citations

    2

    h-index

1–5 of 81

Institutions

49

  1. University of Shanghai for Science and Technology

    Shanghai, China

    2 h-index

    4 publications

    98 citations

  2. Gannan Normal University

    Ganzhou, China

    2 h-index

    2 publications

    49 citations

  3. Canadian General-Tower (Canada)

    Cambridge, Canada

    1 h-index

    1 publications

    95 citations

  4. University of Toronto

    Toronto, Canada

    1 h-index

    2 publications

    118 citations

  5. European Central Bank

    Frankfurt am Main, Germany

    1 h-index

    1 publications

    76 citations

  6. Middle East Technical University

    Ankara, Türkiye

    1 h-index

    2 publications

    64 citations

  7. Western University

    London, Canada

    1 h-index

    2 publications

    188 citations

  8. March of Dimes

    White Plains, United States

    1 h-index

    1 publications

    22 citations

1–8 of 49

Venues

  1. Annals of Operations Research

    4 publications · 169 citations

    3

    h-index

  2. Astin Bulletin

    3 publications · 202 citations

    3

    h-index

  3. North American Actuarial Journal

    NAAJ · 3 publications · 112 citations

    3

    h-index

  4. INFORMS Journal on Applied Analytics

    2 publications · 458 citations

    2

    h-index

  5. Insurance Mathematics and Economics

    2 publications · 118 citations

    2

    h-index

1–5