Risk Management for Pension Funds: A Continuous Time Approach with Applications

Description: Risk Management for Pension Funds by Francesco Menoncin This book presents a consistent and complete framework for studying the risk management of a pension fund. FORMAT Paperback LANGUAGE English CONDITION Brand New Publisher Description 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 investors 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. Back Cover 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 investors 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. Author Biography Francesco Menoncin is Full Professor of Economic Policy at the University of Brescia, Italy. He has a Masters 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. Table of Contents - 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. Review "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) Review Quote "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) Feature 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 Details ISBN3030555305 Author Francesco Menoncin Short Title Risk Management for Pension Funds Pages 239 Series EURO Advanced Tutorials on Operational Research Language English Year 2022 ISBN-10 3030555305 ISBN-13 9783030555306 Format Paperback Subtitle A Continuous Time Approach with Applications in R Publisher Springer Nature Switzerland AG Edition 1st Imprint Springer Nature Switzerland AG Place of Publication Cham Country of Publication Switzerland Publication Date 2022-02-10 UK Release Date 2022-02-10 Edited by Carmelo Maria Torre Birth 1974 Affiliation Massachusetts Institute of Technology Position journalist Qualifications S. J. Edition Description 1st ed. 2021 Alternative 9783030555276 DEWEY 332.67254 Audience Professional & Vocational Illustrations 137 Illustrations, color; 4 Illustrations, black and white; VII, 239 p. 141 illus., 137 illus. in color. We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:134552346;

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