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Multi-stage Stochastic Programming Asset/Liability Management Model with VaR Constraint at the Social Security Organization
Objective: Optimizing asset allocation at the asset class level and measuring the insolvency risk of the Social Security Organization (SSO)by considering the value at risk constraint. Methods: At first we hand-collect the book value of assets for the SSO using its financial statements from 2001 through 2015 and categorize assets into three asset classes: stocks, real estate and bonds. We then estimate the market value of assets using returns for the corresponding market during this period.doi:10.22059/frj.2020.267357.1006874 doaj:35037981391a49ccbf2d984dea8fbbe1 fatcat:xmgjh7ygs5fxpmiqcrmxun5a2i