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Risk Management for Pension Funds - A Continuous Time Approach with Applications in R (Paperback, 1st ed. 2021)
Loot Price: R1,566
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Risk Management for Pension Funds - A Continuous Time Approach with Applications in R (Paperback, 1st ed. 2021)
Series: EURO Advanced Tutorials on Operational Research
Expected to ship within 10 - 15 working days
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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.
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