Database Structure for a Multi Stage Stochastic Optimization Based Decision Support System for Asset Liability Management of a Life Insurance Company

Abstract

We introduce a stochastic optimization based decisi on support system (DSS) for asset-liability management of a life insurance firm using a multi-s tage, stochastic optimization model. The DSS is based on a multi-stage stochastic linear pro gram (SLP) with recourse for strategic planning. The model can be used with little or no k nowledge of management sciences. The model maximizes the expected value of total reserve (policy holders’ reserve and shareholders’ reserve) at the end of the time period of planning. We discuss the issues related to database design structure, DSS interface design, database up dating procedure, and solution reporting.