03271nam 22006975 450 991048313540332120230810171527.03-030-55528-310.1007/978-3-030-55528-3(CKB)4100000011759469(DE-He213)978-3-030-55528-3(MiAaPQ)EBC6475837(PPN)25386058X(EXLCZ)99410000001175946920210209d2021 u| 0engurnn|008mamaatxtrdacontentcrdamediacrrdacarrierRisk Management for Pension Funds A Continuous Time Approach with Applications in R /by Francesco Menoncin1st ed. 2021.Cham :Springer International Publishing :Imprint: Springer,2021.1 online resource (VII, 239 p. 141 illus., 137 illus. in color.) EURO Advanced Tutorials on Operational Research,2364-68883-030-55527-5 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.EURO Advanced Tutorials on Operational Research,2364-6888Operations researchManagement scienceFinancial risk managementStatisticsSocial sciencesMathematicsFinancial services industryOperations Research, Management Science Operations Research and Decision TheoryRisk ManagementStatistics in Business, Management, Economics, Finance, InsuranceMathematics in Business, Economics and FinanceFinancial ServicesOperations research.Management science.Financial risk management.Statistics.Social sciencesMathematics.Financial services industry.Operations Research, Management Science .Operations Research and Decision Theory.Risk Management.Statistics in Business, Management, Economics, Finance, Insurance.Mathematics in Business, Economics and Finance.Financial Services.332.67254Menoncin Francesco563347MiAaPQMiAaPQUtOrBLWBOOK9910483135403321Risk Management for pension funds1205402UNINA