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Risk Management for Pension Funds - A Continuous Time Approach with Applications in R (Paperback, 1st ed. 2021) Loot Price: R1,508
Discovery Miles 15 080
Repayment Terms: R141 pm x 12*
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Risk Management for Pension Funds - A Continuous Time Approach with Applications in R (Paperback, 1st ed. 2021): Francesco...

Risk Management for Pension Funds - A Continuous Time Approach with Applications in R (Paperback, 1st ed. 2021)

Francesco Menoncin

Series: EURO Advanced Tutorials on Operational Research

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Loot Price R1,508 Discovery Miles 15 080 | Repayment Terms: R141 pm x 12*

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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.

General

Imprint: Springer Nature Switzerland AG
Country of origin: Switzerland
Series: EURO Advanced Tutorials on Operational Research
Release date: February 2022
First published: 2021
Authors: Francesco Menoncin
Dimensions: 235 x 155mm (L x W)
Format: Paperback
Pages: 239
Edition: 1st ed. 2021
ISBN-13: 978-3-03-055530-6
Categories: Books > Business & Economics > Finance & accounting > Finance > Pensions
Books > Business & Economics > Finance & accounting > Finance > Insurance > General
Books > Money & Finance > Insurance > General
Books > Money & Finance > Pensions
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LSN: 3-03-055530-5
Barcode: 9783030555306

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