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Risk Management for Pension Funds: A Continuous Time Approach with Applications in R: EURO Advanced Tutorials on Operational Research

Autor Francesco Menoncin
en Limba Engleză Paperback – 10 feb 2022
This book presents a consistent and complete framework for studying the risk management of a pension fund. It gives the reader the opportunity to understand, replicate and widen the analysis. To this aim, the book provides all the tools for computing the optimal asset allocation in a dynamic framework where the financial horizon is stochastic (longevity risk) and the investor's wealth is not self-financed. This tutorial enables the reader to replicate all the results presented. The R codes are provided alongside the presentation of the theoretical framework. The book explains and discusses the problem of hedging longevity risk even in an incomplete market, though strong theoretical results about an incomplete framework are still lacking and the problem is still being discussed in most recent literature.
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Specificații

ISBN-13: 9783030555306
ISBN-10: 3030555305
Pagini: 239
Ilustrații: VII, 239 p. 141 illus., 137 illus. in color.
Dimensiuni: 155 x 235 mm
Greutate: 0.35 kg
Ediția:1st ed. 2021
Editura: Springer International Publishing
Colecția Springer
Seria EURO Advanced Tutorials on Operational Research

Locul publicării:Cham, Switzerland

Cuprins

- Introduction. - Decision Theory Under Uncertainty. - Stochastic Processes. - The Financial Market. - The Actuarial Framework. - Financial-Actuarial Assets. - Pension Fund Management. - A Workable Framework. - A Pure Accumulation Fund.

Recenzii

“The book presents a consistent and complete framework for studying the risk management of a pension fund. It is useful for students and teachers in financial and actuarial mathematics as well as for professionals in the area of pension funds.” (Pavel Stoynov, zbMATH 1460.91007, 2021)

Notă biografică

Francesco Menoncin is Full Professor of Economic Policy at the University of Brescia, Italy. He has a Master’s in Economics and a PhD in Economics both from Université Catholique de Louvain (Belgium), and a PhD in Economics from the University of Pavia (Italy). He teaches in the field of finance in Italy and France at Masters and PhDs. He has published articles and books about optimal control in financial market, asset prices, and risk management.

Textul de pe ultima copertă

This book presents a consistent and complete framework for studying the risk management of a pension fund. It gives the reader the opportunity to understand, replicate and widen the analysis. To this aim, the book provides all the tools for computing the optimal asset allocation in a dynamic framework where the financial horizon is stochastic (longevity risk) and the investor's wealth is not self-financed. This tutorial enables the reader to replicate all the results presented. The R codes are provided alongside the presentation of the theoretical framework. The book explains and discusses the problem of hedging longevity risk even in an incomplete market, though strong theoretical results about an incomplete framework are still lacking and the problem is still being discussed in most recent literature.

Caracteristici

Provides a complete and consistent presentation of financial and actuarial risk All theoretical models are coupled with numerical methods (R codes provided) Introduces the "Martingale Method" to solve the dynamic optimization problem