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Risk Management for Pension Funds Francesco Menoncin

Risk Management for Pension Funds By Francesco Menoncin

Risk Management for Pension Funds by Francesco Menoncin


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Summary

This book presents a consistent and complete framework for studying the risk management of a pension fund.

Risk Management for Pension Funds Summary

Risk Management for Pension Funds: A Continuous Time Approach with Applications in R by Francesco Menoncin

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.

Risk Management for Pension Funds Reviews

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)

About Francesco Menoncin

Francesco Menoncin is Full Professor of Economic Policy at the University of Brescia, Italy. He has a Master's in Economics and a PhD in Economics both from Universite Catholique de Louvain (Belgium), and a PhD in Economics from the University of Pavia (Italy). He teaches in the field of finance in Italy and France at Masters and PhDs. He has published articles and books about optimal control in financial market, asset prices, and risk management.

Table of Contents

- Introduction. - Decision Theory Under Uncertainty. - Stochastic Processes. - The Financial Market. - The Actuarial Framework. - Financial-Actuarial Assets. - Pension Fund Management. - A Workable Framework. - A Pure Accumulation Fund.

Additional information

NPB9783030555276
9783030555276
3030555275
Risk Management for Pension Funds: A Continuous Time Approach with Applications in R by Francesco Menoncin
New
Hardback
Springer Nature Switzerland AG
2021-02-10
239
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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