Raimondo Manca
Stochastic Methods for Pension Funds
Ebook (EPUB Format)
Quantitative finance has become these last years a extraordinary field of research and interest as well from an academic point of view as for practical applications. At the same time, pension issue is clearly a major economical and financial topic for the next decades in the context of the well-known longevity risk. Surprisingly few books are devoted to application of modern stochastic calculus to pension analysis. The aim of this book is to fill this gap and to show how recent methods of stochastic finance can be useful for to the risk management of pension funds. Methods of optimal control will be especially developed and applied to fundame…
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Beschreibung
Quantitative finance has become these last years a extraordinary field of research and interest as well from an academic point of view as for practical applications. At the same time, pension issue is clearly a major economical and financial topic for the next decades in the context of the well-known longevity risk. Surprisingly few books are devoted to application of modern stochastic calculus to pension analysis. The aim of this book is to fill this gap and to show how recent methods of stochastic finance can be useful for to the risk management of pension funds. Methods of optimal control will be especially developed and applied to fundamental problems such as the optimal asset allocation of the fund or the cost spreading of a pension scheme. In these various problems, financial as well as demographic risks will be addressed and modelled.
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Produktdetails
Weitere Autoren: Janssen, Jacques / Devolder, Pierre
- ISBN: 978-1-118-56626-8
- EAN: 9781118566268
- Produktnummer: 16375327
- Verlag: Wiley
- Sprache: Englisch
- Erscheinungsjahr: 2013
- Seitenangabe: 320 S.
- Plattform: EPUB
- Masse: 5'257 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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