Risk Management for Pension Funds
A Continuous Time Approach with Applications in R
Authors: Menoncin, Francesco
Free Preview- 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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- About this Textbook
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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
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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.
- Table of contents (9 chapters)
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Introduction
Pages 1-10
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Decision Theory Under Uncertainty
Pages 11-36
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Stochastic Processes
Pages 37-55
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The Financial Market
Pages 57-82
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The Actuarial Framework
Pages 83-111
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Table of contents (9 chapters)
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Bibliographic Information
- Bibliographic Information
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- Book Title
- Risk Management for Pension Funds
- Book Subtitle
- A Continuous Time Approach with Applications in R
- Authors
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- Francesco Menoncin
- Series Title
- EURO Advanced Tutorials on Operational Research
- Copyright
- 2021
- 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
- VII, 239
- Number of Illustrations
- 4 b/w illustrations, 137 illustrations in colour
- Topics
