Overview
- 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
Part of the book series: EURO Advanced Tutorials on Operational Research (EUROATOR)
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Table of contents (9 chapters)
Keywords
About this book
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.
Reviews
“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)
Authors and Affiliations
About the author
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.
Bibliographic Information
Book Title: Risk Management for Pension Funds
Book Subtitle: A Continuous Time Approach with Applications in R
Authors: Francesco Menoncin
Series Title: EURO Advanced Tutorials on Operational Research
DOI: https://doi.org/10.1007/978-3-030-55528-3
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer Nature Switzerland AG 2021
Hardcover ISBN: 978-3-030-55527-6Published: 10 February 2021
Softcover ISBN: 978-3-030-55530-6Published: 10 February 2022
eBook ISBN: 978-3-030-55528-3Published: 09 February 2021
Series ISSN: 2364-687X
Series E-ISSN: 2364-6888
Edition Number: 1
Number of Pages: VII, 239
Number of Illustrations: 4 b/w illustrations, 137 illustrations in colour
Topics: Operations Research, Management Science, Operations Research/Decision Theory, Risk Management, Statistics for Business, Management, Economics, Finance, Insurance, Quantitative Finance, Insurance