We develop a new sampling method, called an event tree-based sampling, which is suitable for the multistage stochastic programming formulation for the asset liability management. We find that our method captures a special structure inherited in the binomial lattice representation of an event tree, which is the essential part of the stochastic formulation of asset liability management under uncertainty.
All Science Journal Classification (ASJC) codes
- Computer Science(all)
- Modelling and Simulation
- Management Science and Operations Research