| 書目名稱 | Risk Management for Pension Funds |
| 副標題 | A Continuous Time Ap |
| 編輯 | Francesco Menoncin |
| 視頻video | http://file.papertrans.cn/831/830676/830676.mp4 |
| 概述 | Provides a complete and consistent presentation of financial and actuarial risk.All theoretical models are coupled with numerical methods (R codes provided).Introduces the "Martingale Method" to solve |
| 叢書名稱 | EURO Advanced Tutorials on Operational Research |
| 圖書封面 |  |
| 描述 | .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.. |
| 出版日期 | Textbook 2021 |
| 關鍵詞 | Asset Pricing; Dynamic Optimization; Longevity Risk; Martingale Method; Optimal Asset Allocation; Optimal |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-030-55528-3 |
| isbn_softcover | 978-3-030-55530-6 |
| isbn_ebook | 978-3-030-55528-3Series ISSN 2364-687X Series E-ISSN 2364-6888 |
| issn_series | 2364-687X |
| copyright | Springer Nature Switzerland AG 2021 |
|Archiver|手機版|小黑屋|
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