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Risk Management for Pension Funds = ...
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Menoncin, Francesco.
Risk Management for Pension Funds = A Continuous Time Approach with Applications in R /
Record Type:
Language materials, printed : Monograph/item
Title/Author:
Risk Management for Pension Funds/ by Francesco Menoncin.
Reminder of title:
A Continuous Time Approach with Applications in R /
Author:
Menoncin, Francesco.
Description:
VII, 239 p. 141 illus., 137 illus. in color.online resource. :
Contained By:
Springer Nature eBook
Subject:
Operations research. -
Online resource:
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 Funds
A Continuous Time Approach with Applications in R /[electronic resource] :by Francesco Menoncin. - 1st ed. 2021. - VII, 239 p. 141 illus., 137 illus. in color.online resource. - EURO Advanced Tutorials on Operational Research,2364-6888. - 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:
573517
Operations research.
LC Class. No.: QA402-402.37
Dewey Class. No.: 519.6
Risk Management for Pension Funds = A Continuous Time Approach with Applications in R /
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