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Modeling assets and liabilities of a finnish pension insurance company: a VEqC approach
Scandinavian Actuarial Journal
Koivu M., Pennanen T., Ranne A. Modeling assets and liabilities of a Finnish pension company: a VEqC approach. Scandinavian Actuarial Journal. This paper develops a stochastic model for assets and liabilities of a Finnish pension insurance company. The assets and liabilities are expressed in terms of seven economic factors from Finland and the EU-area. The development of these factors is modeled with a Vector Equilibrium Correction model, that incorporates statistical information with expertdoi:10.1080/03461230510009709 fatcat:de4ee2gyl5aqzk7wkziybhco4e