Risk Management for Pension Funds

A Continuous Time Approach with Applications in R

Autor*innen

• Francesco Menoncin

Parameter

• 248 Seiten
• 9 Lesestunden

• Mathematik
• Wirtschaft

Mehr zum Buch

Focusing on the risk management of pension funds, this book offers a comprehensive framework for understanding and analyzing optimal asset allocation in a dynamic, stochastic environment, particularly addressing longevity risk. It equips readers with the necessary tools and R codes to replicate findings and deepen their analysis. The text also explores the complexities of hedging longevity risk within incomplete markets, engaging with ongoing discussions in contemporary literature despite the lack of strong theoretical results in this area.

• Sprache: Englisch
• Erscheinungsdatum: 2021
• Einband: Hardcover