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＜電子ブック＞
Risk Management for Pension Funds : A Continuous Time Approach with Applications in R / by Francesco Menoncin
(EURO Advanced Tutorials on Operational Research. ISSN:23646888)

版	1st ed. 2021.
出版者	Cham : Springer International Publishing : Imprint: Springer
出版年	2021
本文言語	英語
大きさ	VII, 239 p. 141 illus., 137 illus. in color : online resource
著者標目	*Menoncin, Francesco author SpringerLink (Online service)
件　名	LCSH:Operations research LCSH:Management science LCSH:Financial risk management LCSH:Statistics  LCSH:Social sciences -- Mathematics  全ての件名で検索 LCSH:Financial services industry FREE:Operations Research, Management Science FREE:Operations Research and Decision Theory FREE:Risk Management FREE:Statistics in Business, Management, Economics, Finance, Insurance FREE:Mathematics in Business, Economics and Finance FREE:Financial Services
一般注記	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 HTTP:URL=https://doi.org/10.1007/978-3-030-55528-3

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