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Risk management for pension funds = ...

Menoncin, Francesco.

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Risk management for pension funds = a continuous time approach with applications in R /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Risk management for pension funds/ by Francesco Menoncin.
其他題名:	a continuous time approach with applications in R /
作者:	Menoncin, Francesco.
出版者:	Cham :Springer International Publishing : : 2021.,
面頁冊數:	vii, 239 p. :ill., digital ;24 cm.
Contained By:	Springer Nature eBook
標題:	Pension trusts - Risk management. -
電子資源:	https://doi.org/10.1007/978-3-030-55528-3
ISBN:	9783030555283

Risk management for pension funds = a continuous time approach with applications in R /
Menoncin, Francesco.

Risk management for pension fundsa continuous time approach with applications in R /[electronic resource] :by Francesco Menoncin. - Cham :Springer International Publishing :2021. - vii, 239 p. :ill., digital ;24 cm. - EURO advanced tutorials on operational research,2364-687X. - 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.

ISBN: 9783030555283

Standard No.: 10.1007/978-3-030-55528-3doiSubjects--Topical Terms:

3491587
Pension trusts
--Risk management.

LC Class. No.: HD7105.4 / .M46 2021

Dewey Class. No.: 332.67254

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