Stochastic Methods for Pension Funds
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Beschreibung
Quantitative finance has become these last years a extraordinaryfield of research and interest as well from an academic point ofview as for practical applications.
At the same time, pension issue is clearly a major economicaland financial topic for the next decades in the context of thewell-known longevity risk. Surprisingly few books are devoted toapplication of modern stochastic calculus to pension analysis.
The aim of this book is to fill this gap and to show how recentmethods of stochastic finance can be useful for to the riskmanagement of pension funds. Methods of optimal control will beespecially developed and applied to fundamental problems such asthe optimal asset allocation of the fund or the cost spreading of apension scheme. In these various problems, financial as wellas demographic risks will be addressed and modelled.
Autor*in
Pierre Devolder
Themen in »Stochastic Methods for Pension Funds«
Altersversorgung Angewandte Mathematik Applied Mathematics Finanz- u. Wirtschaftsstatistik Institutionelle Finanzplanung Mathematics Mathematik Statistics Statistics for Finance, Business & Economics Statistik