Stochastic Methods for Pension Funds Cover

Stochastic Methods for Pension Funds

ISBN/ASIN: 9781848212046,9781118562031 | 2012 | English | pdf | 466/466 pages | 4.22 Mb
Publisher: Wiley-ISTE | Author: Pierre Devolder, Jacques Janssen, Raimondo Manca(auth.)

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.
Content:
Chapter 1 Introduction: Pensions in Perspective (pages 1–14):
Chapter 2 Classical Actuarial Theory of Pension Funding (pages 15–30):
Chapter 3 Deterministic and Stochastic Optimal Control (pages 31–54):
Chapter 4 Defined Contribution and Defined Benefit Pension Plans (pages 55–94):
Chapter 5 Fair and Market Values and Interest Rate Stochastic Models (pages 95–147):
Chapter 6 Risk Modeling and Solvency for Pension Funds (pages 149–180):
Chapter 7 Optimal Control of a Defined Benefit Pension Scheme (pages 181–206):
Chapter 8 Optimal Control of a Defined Contribution Pension Scheme (pages 207–230):
Chapter 9 Simulation Models (pages 231–275):
Chapter 10 Discrete Time Semi?Markov Processes (SMP) and Reward SMP (pages 277–306):
Chapter 11 Generalized Semi?Markov Non?homogeneous Models for Pension Funds and Manpower Management (pages 307–385):

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