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 ...
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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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Add this copy of Risk Management for Pension Funds: A Continuous Time to cart. £49.38, new condition, Sold by Ria Christie Books rated 5.0 out of 5 stars, ships from Uxbridge, MIDDLESEX, UNITED KINGDOM, published 2022 by Springer Nature Switzerland AG.
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New. Contains: Illustrations, black & white, Illustrations, color. EURO Advanced Tutorials on Operational Research . VII, 239 p. 141 illus., 137 illus. in color. Intended for professional and scholarly audience.
Add this copy of Risk Management for Pension Funds: A Continuous Time to cart. £49.72, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2022 by Springer Nature Switzerland AG.
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New. Print on demand Contains: Illustrations, black & white, Illustrations, color. EURO Advanced Tutorials on Operational Research . VII, 239 p. 141 illus., 137 illus. in color. Intended for professional and scholarly audience.
Add this copy of Risk Management for Pension Funds to cart. £55.16, new condition, Sold by discount_scientific_books rated 5.0 out of 5 stars, ships from Sterling Heights, MI, UNITED STATES, published 2022 by Springer Nature Switzerland AG.
Add this copy of Risk Management for Pension Funds: A Continuous Time to cart. £68.97, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2021 by Springer Nature Switzerland AG.
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Seller's Description:
New. Print on demand Contains: Illustrations, black & white, Illustrations, color. EURO Advanced Tutorials on Operational Research . VII, 239 p. 141 illus., 137 illus. in color. Intended for professional and scholarly audience.
