EURO Advanced Tutorials on Operational Research
cover

Risk Management for Pension Funds

A Continuous Time Approach with Applications in R

Authors: Menoncin, Francesco

  • Provides a complete and consistent presentation of financial and actuarial risk
  • All theoretical models are coupled with numerical methods (R codes provided)
  • Introduces the "Martingale Method" to solve the dynamic optimization problem
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eBook 58,84 €
price for Spain (gross)
  • The eBook version of this title will be available soon
  • Due: January 29, 2021
  • ISBN 978-3-030-55528-3
  • Digitally watermarked, DRM-free
  • Included format:
  • ebooks can be used on all reading devices
Hardcover 72,79 €
price for Spain (gross)
About this Textbook

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.

About the authors

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.

Buy this book

eBook 58,84 €
price for Spain (gross)
  • The eBook version of this title will be available soon
  • Due: January 29, 2021
  • ISBN 978-3-030-55528-3
  • Digitally watermarked, DRM-free
  • Included format:
  • ebooks can be used on all reading devices
Hardcover 72,79 €
price for Spain (gross)
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Bibliographic Information

Bibliographic Information
Book Title
Risk Management for Pension Funds
Book Subtitle
A Continuous Time Approach with Applications in R
Authors
Series Title
EURO Advanced Tutorials on Operational Research
Copyright
2020
Publisher
Springer International Publishing
Copyright Holder
Springer Nature Switzerland AG
eBook ISBN
978-3-030-55528-3
DOI
10.1007/978-3-030-55528-3
Hardcover ISBN
978-3-030-55527-6
Series ISSN
2364-687X
Edition Number
1
Number of Pages
X, 240
Number of Illustrations
34 b/w illustrations, 16 illustrations in colour
Topics