Stochastic Methods for Pension Funds

P De Volder (Autor)

Software / Digital Media

320 Seiten

2013
John Wiley & Sons Inc (Hersteller)
978-1-118-56203-1 (ISBN)

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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.

Pierre De Volder, Full-time Professor, UCL; President of the Institut des Sciences Actuarielles, UCL; Member of The Royal Association of Belgian Actuaries (ARAB / KVBA). Jacques Janssen, Universite Libre de Bruxelles. Raimondo Manca, Universita degli Studi di Roma La Sapienza.

Erscheint lt. Verlag	7.3.2013
Verlagsort	New York
Sprache	englisch
Maße	150 x 250 mm
Gewicht	3436 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Algebra
	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
ISBN-10	1-118-56203-8 / 1118562038
ISBN-13	978-1-118-56203-1 / 9781118562031
Zustand	Neuware