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Devolder, Pierre

Stochastic Methods for Pension Funds

Devolder, Pierre - Stochastic Methods for Pension Funds, e-kirja

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Tulostus30 sivua ja lisä sivu kertyy joka päivä, ylärajana 30 sivua
Kopioi leikepöydälle5 poimintoa

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.

Avainsanat: introduction pensions; perspective; funding; classical actuarial theory; pension; equilibrium; scheme; equation; general; db; principles; mechanisms; necessary conditions; optimality; extension; control; onedimensional stochastic optimal, Statistics for Finance, Business & Economics, Statistics for Finance, Business & Economics

Tekijä(t)
 
 
Julkaisija
John Wiley and Sons, Inc.
Julkaisuvuosi
2010
Kieli
en
Painos
1
Sivumäärä
320 sivua
Kategoria
Tekniikka, energia, liikenne
Tiedostomuoto
E-kirja
eISBN (ePUB)
9781118566268
Painetun ISBN
9781848212046

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