Stochastic Methods for Pension Funds (PDF)
(Sprache: Englisch)
Quantitative finance has become these last years a extraordinary
field of research and interest as well from an academic point of
view as for practical applications.
At the same time, pension issue is clearly a major economical
and financial topic for...
field of research and interest as well from an academic point of
view as for practical applications.
At the same time, pension issue is clearly a major economical
and financial topic for...
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Quantitative finance has become these last years a extraordinary
field of research and interest as well from an academic point of
view as for practical applications.
At the same time, pension issue is clearly a major economical
and financial topic for the next decades in the context of the
well-known longevity risk. Surprisingly few books are devoted to
application of modern stochastic calculus to pension analysis.
The aim of this book is to fill this gap and to show how recent
methods of stochastic finance can be useful for to the risk
management of pension funds. Methods of optimal control will be
especially developed and applied to fundamental problems such as
the optimal asset allocation of the fund or the cost spreading of a
pension scheme. In these various problems, financial as well
as demographic risks will be addressed and modelled.
field of research and interest as well from an academic point of
view as for practical applications.
At the same time, pension issue is clearly a major economical
and financial topic for the next decades in the context of the
well-known longevity risk. Surprisingly few books are devoted to
application of modern stochastic calculus to pension analysis.
The aim of this book is to fill this gap and to show how recent
methods of stochastic finance can be useful for to the risk
management of pension funds. Methods of optimal control will be
especially developed and applied to fundamental problems such as
the optimal asset allocation of the fund or the cost spreading of a
pension scheme. In these various problems, financial as well
as demographic risks will be addressed and modelled.
Autoren-Porträt von Pierre Devolder, Jacques Janssen, Raimondo Manca
Pierre De Volder, Full-time Professor, UCL; President of the Institut des Sciences Actuarielles, UCL; Member of The Royal Association of Belgian Actuaries (ARAB / KVBA).Jacques Janssen, Universite Libre de Bruxelles.
Raimondo Manca, Università degli Studi di Roma La Sapienza.
Bibliographische Angaben
- Autoren: Pierre Devolder , Jacques Janssen , Raimondo Manca
- 2013, 1. Auflage, 320 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 1118565932
- ISBN-13: 9781118565933
- Erscheinungsdatum: 04.03.2013
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