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Risk Management for Pension Funds

- A Continuous Time Approach with Applications in R
Af: Francesco Menoncin Engelsk Paperback

Risk Management for Pension Funds

- A Continuous Time Approach with Applications in R
Af: Francesco Menoncin Engelsk Paperback
Tjek vores konkurrenters priser

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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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.

Produktdetaljer
Sprog: Engelsk
Sider: 239
ISBN-13: 9783030555306
Indbinding: Paperback
Udgave:
ISBN-10: 3030555305
Udg. Dato: 10 feb 2022
Længde: 0mm
Bredde: 155mm
Højde: 235mm
Forlag: Springer Nature Switzerland AG
Oplagsdato: 10 feb 2022
Forfatter(e): Francesco Menoncin
Forfatter(e) Francesco Menoncin


Kategori Forsikring og aktuarstudier


ISBN-13 9783030555306


Sprog Engelsk


Indbinding Paperback


Sider 239


Udgave


Længde 0mm


Bredde 155mm


Højde 235mm


Udg. Dato 10 feb 2022


Oplagsdato 10 feb 2022


Forlag Springer Nature Switzerland AG

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