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|a 9783030555283
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|a Menoncin, Francesco
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|a Risk Management for Pension Funds
|h Elektronische Ressource
|b A Continuous Time Approach with Applications in R
|c by Francesco Menoncin
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| 250 |
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|a 1st ed. 2021
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| 260 |
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|a Cham
|b Springer International Publishing
|c 2021, 2021
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| 300 |
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|a VII, 239 p. 141 illus., 137 illus. in color
|b online resource
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| 653 |
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|a Risk Management
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| 653 |
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|a Financial Services
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| 653 |
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|a Mathematics in Business, Economics and Finance
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| 653 |
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|a Operations Research, Management Science
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| 653 |
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|a Operations research
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| 653 |
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|a Management science
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| 653 |
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|a Statistics
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| 653 |
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|a Statistics in Business, Management, Economics, Finance, Insurance
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| 653 |
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|a Financial risk management
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| 653 |
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|a Social sciences / Mathematics
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| 653 |
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|a Financial services industry
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| 653 |
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|a Operations Research and Decision Theory
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| 041 |
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|a eng
|2 ISO 639-2
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| 989 |
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|b Springer
|a Springer eBooks 2005-
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| 490 |
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|a EURO Advanced Tutorials on Operational Research
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| 028 |
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|a 10.1007/978-3-030-55528-3
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| 856 |
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|u https://doi.org/10.1007/978-3-030-55528-3?nosfx=y
|x Verlag
|3 Volltext
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|a 003
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|a 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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