Stochastic Methods for Pension Funds
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Form:Einzelkauf Download
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Sprache:Englisch
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eBook Format:PDF
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Produktdetails
Format
Kopierschutz
Ja
Family Sharing
Nein
Text-to-Speech
Nein
Erscheinungsdatum
04.03.2013
Verlag
WileySeitenzahl
320 (Printausgabe)
Dateigröße
3188 KB
Auflage
1. Auflage
Sprache
Englisch
EAN
9781118565933
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.
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