Dynamic Stochastic Programming Tools for Individual Asset Liability Management

Recent times have seen the transfer of risks to individual households as the unintended consequences of pension reforms and new rules for regulation of financial advisory companies. We present new theory and technology for individual Asset Liability Management (iALM) which addresses these critical issues for individuals. The iALM tool uses a cutting edge dynamic stochastic programming formulation based on ideas from behavioural finance and decision theory. The resulting system will be Illustrated in terms of solutions for representative households. The technological challenges of practical mass implementation requiring current HPC solutions such as the cloud and the progress in this direction made to date will also be discussed.