Risk Management for Pension Funds: A Continuous Time Approach with Applications in R

This book provides a comprehensive framework for studying the risk management of a pension fund, including tools for computing optimal asset allocation in a dynamic framework with stochastic longevity risk and non-self-financed wealth. It discusses the problem of hedging longevity risk in an incomplete market and offers R codes for replication of the results.

Format: Paperback / softback
Length: 239 pages
Publication date: 10 February 2022
Publisher: Springer Nature Switzerland AG

This comprehensive book offers a robust and thorough framework for analyzing the risk management of a pension fund. It provides readers with a deep understanding, enables them to replicate, and expands upon the analysis. To achieve this, the book equips readers with the necessary tools to compute the optimal asset allocation within a dynamic framework that considers both stochastic longevity risk and the investor's self-financed wealth. By following this tutorial, readers can reproduce all the results presented. Additionally, the book includes R codes alongside the theoretical framework, facilitating a seamless replication process.

Despite substantial theoretical advancements in an incomplete market, robust results regarding hedging longevity risk remain scarce, and the issue continues to be a topic of discussion in the most recent literature.

Weight: 385g
Dimension: 235 x 155 (mm)
ISBN-13: 9783030555306
Edition number: 1st ed. 2021