Raimondo Manca
Stochastic Methods for Pension Funds
Ebook (PDF Format)
Quantitative finance has become these last years a extraordinaryfield of research and interest as well from an academic point ofview as for practical applications.At the same time, pension issue is clearly a major economicaland financial topic for the next decades in the context of thewell-known longevity risk. Surprisingly few books are devoted toapplication of modern stochastic calculus to pension analysis.The aim of this book is to fill this gap and to show how recentmethods of stochastic finance can be useful for to the riskmanagement of pension funds. Methods of optimal control will beespecially developed and applied to fundamental probl…
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Beschreibung
Quantitative finance has become these last years a extraordinaryfield of research and interest as well from an academic point ofview as for practical applications.At the same time, pension issue is clearly a major economicaland financial topic for the next decades in the context of thewell-known longevity risk. Surprisingly few books are devoted toapplication of modern stochastic calculus to pension analysis.The aim of this book is to fill this gap and to show how recentmethods of stochastic finance can be useful for to the riskmanagement of pension funds. Methods of optimal control will beespecially developed and applied to fundamental problems such asthe optimal asset allocation of the fund or the cost spreading of apension scheme. In these various problems, financial as wellas demographic risks will be addressed and modelled.
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Produktdetails
Weitere Autoren: Janssen, Jacques / Devolder, Pierre
- ISBN: 978-1-118-56593-3
- EAN: 9781118565933
- Produktnummer: 16378086
- Verlag: Wiley
- Sprache: Englisch
- Erscheinungsjahr: 2013
- Seitenangabe: 320 S.
- Plattform: PDF
- Masse: 3'188 KB
Über den Autor
Pierre De Volder, Full-time Professor, UCL; President of the Institut des Sciences Actuarielles, UCL; Member of The Royal Association of Belgian Actuaries (ARAB / KVBA). Jacques Janssen, Universite Libre de Bruxelles. Raimondo Manca, Università degli Studi di Roma La Sapienza.
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