Formulation of the Russell-Yasuda Kasai Financial Planning Model
描述了Russell-Yasuda Kasai金融规划模型的构建动机和数学形式，该模型用多阶段随机线性规划优化保险公司未来五年的资产负债配置，以最大化长期利润并最小化违规惩罚。
This paper describes the formulation of the Russell-Yasuda Kasai financial planning model, including the motivation for the model. The presentation complements the discussion of the technical details of the financial modeling process and the managerial impact of its use to help allocate the firm's assets over time discussed in Cariño et al. (1994, 1998, respectively). The multistage stochastic linear program incorporates Yasuda Kasai's asset and liability mix over a five-year horizon followed by an infinite horizon steady-state end-effects period. The objective is to maximize expected long-run profits less expected penalty costs from constraint violations over the infinite horizon. Scenarios are used to represent the uncertain parameter distributions. The constraints represent the institutional, cash flow, legal, tax, and other limitations on the asset and liability mix over time.