Από κοινού διαχείριση περιουσιακών στοιχείων και υποχρεώσεων με τη χρήση μεθόδων στοχαστικού προγραμματισμού
Βλάχου, Αθηνά Θ.
The aim of this thesis is the representation and the implementation of methods for Asset/Liability Management in a unified framework. The methodology is based on modeling investment planning using sophisticated mathematical tools and intending to integrating the multi – stage nature of the total balance sheet’s elements to which the financial institutions are facing. In essence, the optimization of an objective function is pursued, either by maximizing or by minimizing it. Linear Programming represents the simplest form of solving optimization problems. However, the necessity to integrate the uncertainty that governs both the assets and the liabilities, due to various social and economic changes, requires the use of Stochastic Programming approaches. In such a case, additional auxiliary models (interest rate models) are implemented in order to capture the current uncertainty of both the assets and liabilities. In particular, we pursue the construction of a portfolio that matches the cash flows arising from the assets with those resulting from the liabilities. The application of the models was performed for the social security schemes of I.K.A. – E.T.A.M., O.A.E.E. and O.G.A., based on the data of the Actuarial Study (2010). Our results are related to the initial investment costs, the surpluses that were formed in each case, the amount of borrowing (where necessary) and the amount of investment in bonds.