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

— —

Francesco Menoncin

Risk Management for Pension Funds

A Continuous Time Approach with Applications in R

Francesco Menoncin

$107.95 $86.53

Paperback

Not in-store but you can order this
How long will it take?

Availability Information

We source books from suppliers in Australia and overseas. For books we don't currently have in stock, the time it takes to get them from our suppliers can vary widely - from a few days to a few months - so we check each book with each supplier to determine the expected time it will take to be supplied to us.

We then advise you accordingly. If the time taken to get any book is too long for you, you can let us know and we will cancel or adjust your order, and refund as required.

To find out the anticipated arrival time for specific items prior to ordering, please contact us by phone or email:

Phone +61 2 9264 3111, or 1800 4 BOOKS (1800 4 26657) if outside Sydney:
option 1 Abbey's Bookshop (Crime, History, Science, Kids & more) • info@abbeys.com.au
option 2 Language Book Centre (ESL & Foreign Languages) • language@abbeys.com.au
option 3 Galaxy Bookshop (Sci-fi, Fantasy, Romance, Graphic Novels) • sf@galaxybooks.com.au

QTY:

English

Springer Nature Switzerland AG
10 February 2022

Insurance & actuarial studies; Pensions

Series: EURO Advanced Tutorials on Operational Research

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.

By: Francesco Menoncin
Imprint: Springer Nature Switzerland AG
Country of Publication: Switzerland
Edition: 2021 ed.
Dimensions: Height: 235mm, Width: 155mm,
Weight: 385g
ISBN: 9783030555306
ISBN 10: 3030555305
Series: EURO Advanced Tutorials on Operational Research
Pages: 239
Publication Date: 10 February 2022
Audience: Professional and scholarly , Undergraduate
Format: Paperback
Publisher's Status: Active

- 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.

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.

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

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)