Risk Management for Pension Funds
A Continuous Time Approach with Applications in R
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Beschreibung
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.
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.
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
Autor*in
Francesco Menoncin
Themen in »Risk Management for Pension Funds«
Asset Pricing Dynamic Optimization Longevity Risk Martingale Method Optimal Asset Allocation Optimal Portfolio R Statistics Software Stochastic Dynamic Programming quantitative finance insurance
Stimmen zu »Risk Management for Pension Funds«
“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)
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