Risk Management for Pension Funds: A Continuous Time Approach with Applications in R
Francesco Menoncin
Résumé
This book presents a consistent and complete framework for studying the risk management of a pension fund.
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.
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.
Caractéristiques techniques
| PAPIER | |
| Éditeur(s) | Springer |
| Auteur(s) | Francesco Menoncin |
| Parution | 09/02/2021 |
| Nb. de pages | 239 |
| EAN13 | 9783030555276 |
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