Stochastic Methods for Pension Funds

Nonfiction, Science & Nature, Mathematics, Applied
Cover of the book Stochastic Methods for Pension Funds by Jacques Janssen, Raimondo Manca, Pierre Devolder, Wiley
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Author: Jacques Janssen, Raimondo Manca, Pierre Devolder ISBN: 9781118566268
Publisher: Wiley Publication: March 4, 2013
Imprint: Wiley-ISTE Language: English
Author: Jacques Janssen, Raimondo Manca, Pierre Devolder
ISBN: 9781118566268
Publisher: Wiley
Publication: March 4, 2013
Imprint: Wiley-ISTE
Language: English

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.

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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.

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