A stochastic model for assets and liabilities of a Finnish pension company


This paper develops a stochastic model for assets and liabilities of a 
Finnish pension company. The assets and liabilities are expressed in terms 
of seven economic factors from Finland and EU-area. The development of these 
factors is modelled with a Vector Equilibrium Correction model, that 
incorporates statistical information with expert views in the form of user 
specified growth rates and long term equilibria. The resulting model will 
be used in ALM analysis.