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Basic stochastic processes / / Pierre Devolder, Jacques Janssen, Raimondo Manca
| Basic stochastic processes / / Pierre Devolder, Jacques Janssen, Raimondo Manca |
| Autore | Devolder Pierre |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | London, England : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (327 pages) |
| Disciplina | 519.2 |
| Collana | Mathematics and Statistics Series |
| Soggetto topico | Stochastic processes |
| ISBN |
1-119-18454-1
1-119-18457-6 1-119-18458-4 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Chapter 1. Basic Probabilistic Tools for Stochastic Modeling / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 2. Homogeneous and Non-Homogeneous Renewal Models / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 3. Markov Chains / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 4. Homogeneous and Non-Homogeneous Semi-Markov Models / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 5. Stochastic Calculus / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 6. Lévy Processes / Pierre Devolder, Jacques Janssen, Raimondo -- Chapter 7. Actuarial Evaluation, VaR and Stochastic Interest Rate Models. |
| Record Nr. | UNINA-9910131640803321 |
Devolder Pierre
|
||
| London, England : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Basic stochastic processes / / Pierre Devolder, Jacques Janssen, Raimondo Manca
| Basic stochastic processes / / Pierre Devolder, Jacques Janssen, Raimondo Manca |
| Autore | Devolder Pierre |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | London, England : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (327 pages) |
| Disciplina | 519.2 |
| Collana | Mathematics and Statistics Series |
| Soggetto topico | Stochastic processes |
| ISBN |
1-119-18454-1
1-119-18457-6 1-119-18458-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Chapter 1. Basic Probabilistic Tools for Stochastic Modeling / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 2. Homogeneous and Non-Homogeneous Renewal Models / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 3. Markov Chains / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 4. Homogeneous and Non-Homogeneous Semi-Markov Models / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 5. Stochastic Calculus / Pierre Devolder, Jacques Janssen, Raimondo Manca -- Chapter 6. Lévy Processes / Pierre Devolder, Jacques Janssen, Raimondo -- Chapter 7. Actuarial Evaluation, VaR and Stochastic Interest Rate Models. |
| Record Nr. | UNINA-9910816655903321 |
|
Devolder Pierre
|
||
| London, England : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic methods for pension funds [[electronic resource] /] / Pierre Devolder, Jacques Janssen, Raimondo Manca
| Stochastic methods for pension funds [[electronic resource] /] / Pierre Devolder, Jacques Janssen, Raimondo Manca |
| Autore | Devolder Pierre |
| Pubbl/distr/stampa | London, : ISTE Ltd. |
| Descrizione fisica | 1 online resource (476 p.) |
| Disciplina |
332.67/2540151923
332.672540151923 |
| Altri autori (Persone) |
JanssenJacques <1939->
MancaRaimondo |
| Collana | Applied stochastic methods series |
| Soggetto topico |
Pension trusts - Management
Pension trusts - Mathematics Financial risk management - Mathematical models Stochastic models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-56203-8
1-299-31580-1 1-118-56593-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Stochastic Methods for Pension Funds; Title Page; Copyright Page; Table of Contents; Preface; Chapter 1. Introduction: Pensions in Perspective; 1.1. Pension issues; 1.1.1. The challenge; 1.1.2. Some figures; 1.2. Pension scheme; 1.2.1. Definition; 1.2.2. The four dimensions of a pension scheme; 1.3. Pension and risks; 1.3.1. Demographic risks; 1.3.2. Financial risks; 1.3.3. Impact of the risks on various kinds of pension schemes; 1.3.4. The time horizon of a pension scheme; 1.4. The multi-pillar philosophy; Chapter 2. Classical Actuarial Theory of Pension Funding
2.1. General equilibrium equation of a pension scheme2.1.1. Principles; 2.1.2. The retrospective reserve; 2.1.3. The prospective reserve; 2.1.4. Equilibrated pension funding; 2.1.5. Decomposition of the reserve; 2.1.6. Classification of the methods; 2.2. General principles of funding mechanisms for DB Schemes; 2.3. Particular funding methods; 2.3.1. Unit credit cost methods; 2.3.2. Level premium methods; 2.3.3. Aggregate cost methods; Chapter 3. Deterministic and Stochastic Optimal Control; 3.1. Introduction; 3.2. Deterministic optimal control 3.2.1. Formulation of the optimal control problem3.3. Necessary conditions for optimality; 3.3.1. Bellman function; 3.3.2. Bellman optimality equation; 3.3.3. Hamilton-Jacobi equation; 3.3.4. The synthesis function; 3.3.5. Other types of optimal controls; 3.3.6. Example: the classical quadratic/linear control problem; 3.4. The maximum principle; 3.4.1. The maximum principle from the dynamic programming approach; 3.5. Extension to the one-dimensional stochastic optimal control; 3.5.1. Formulation of the one-dimensional stochastic optimal control problem 3.5.2. Necessary conditions for one-dimensional stochastic optimality3.5.3. Extension to the multi-dimensional stochastic optimal control; 3.5.4. Dynamic programming principle; 3.5.5. The Hamilton-Jacobi-Bellman equation; 3.6. Examples; 3.6.1. Merton portfolio allocation problem; Chapter 4. Defined Contribution and Defined Benefit Pension Plans; 4.1. Introduction; 4.2. The defined benefit method; 4.3. The defined contribution method; 4.3.1. The model; 4.3.2. The capitalization system; 4.4. The notional defined contribution (NDC) method; 4.4.1. Historical preliminaries 4.4.2. The Dini reform transformation coefficients4.4.3. Theoretical preliminaries; 4.4.4. The construction of a unitary pension present value; 4.4.5. Numerical example and results comparison; 4.5. Conclusions; Chapter 5. Fair and Market Values and Interest Rate Stochastic Models; 5.1. Fair value; 5.2. Market value of financial flows; 5.3. Yield curve; 5.4. Yield to maturity for a financial investment and for a bond; 5.5. Dynamic deterministic continuous time model for an instantaneous interest rate; 5.5.1. Instantaneous interest rate; 5.5.2. Particular cases 5.5.3. Yield curve associated with an instantaneous interest rate |
| Record Nr. | UNINA-9910139239203321 |
|
Devolder Pierre
|
||
| London, : ISTE Ltd. | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic methods for pension funds [[electronic resource] /] / Pierre Devolder, Jacques Janssen, Raimondo Manca
| Stochastic methods for pension funds [[electronic resource] /] / Pierre Devolder, Jacques Janssen, Raimondo Manca |
| Autore | Devolder Pierre |
| Pubbl/distr/stampa | London, : ISTE Ltd. |
| Descrizione fisica | 1 online resource (476 p.) |
| Disciplina |
332.67/2540151923
332.672540151923 |
| Altri autori (Persone) |
JanssenJacques <1939->
MancaRaimondo |
| Collana | Applied stochastic methods series |
| Soggetto topico |
Pension trusts - Management
Pension trusts - Mathematics Financial risk management - Mathematical models Stochastic models |
| ISBN |
1-118-56203-8
1-299-31580-1 1-118-56593-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Stochastic Methods for Pension Funds; Title Page; Copyright Page; Table of Contents; Preface; Chapter 1. Introduction: Pensions in Perspective; 1.1. Pension issues; 1.1.1. The challenge; 1.1.2. Some figures; 1.2. Pension scheme; 1.2.1. Definition; 1.2.2. The four dimensions of a pension scheme; 1.3. Pension and risks; 1.3.1. Demographic risks; 1.3.2. Financial risks; 1.3.3. Impact of the risks on various kinds of pension schemes; 1.3.4. The time horizon of a pension scheme; 1.4. The multi-pillar philosophy; Chapter 2. Classical Actuarial Theory of Pension Funding
2.1. General equilibrium equation of a pension scheme2.1.1. Principles; 2.1.2. The retrospective reserve; 2.1.3. The prospective reserve; 2.1.4. Equilibrated pension funding; 2.1.5. Decomposition of the reserve; 2.1.6. Classification of the methods; 2.2. General principles of funding mechanisms for DB Schemes; 2.3. Particular funding methods; 2.3.1. Unit credit cost methods; 2.3.2. Level premium methods; 2.3.3. Aggregate cost methods; Chapter 3. Deterministic and Stochastic Optimal Control; 3.1. Introduction; 3.2. Deterministic optimal control 3.2.1. Formulation of the optimal control problem3.3. Necessary conditions for optimality; 3.3.1. Bellman function; 3.3.2. Bellman optimality equation; 3.3.3. Hamilton-Jacobi equation; 3.3.4. The synthesis function; 3.3.5. Other types of optimal controls; 3.3.6. Example: the classical quadratic/linear control problem; 3.4. The maximum principle; 3.4.1. The maximum principle from the dynamic programming approach; 3.5. Extension to the one-dimensional stochastic optimal control; 3.5.1. Formulation of the one-dimensional stochastic optimal control problem 3.5.2. Necessary conditions for one-dimensional stochastic optimality3.5.3. Extension to the multi-dimensional stochastic optimal control; 3.5.4. Dynamic programming principle; 3.5.5. The Hamilton-Jacobi-Bellman equation; 3.6. Examples; 3.6.1. Merton portfolio allocation problem; Chapter 4. Defined Contribution and Defined Benefit Pension Plans; 4.1. Introduction; 4.2. The defined benefit method; 4.3. The defined contribution method; 4.3.1. The model; 4.3.2. The capitalization system; 4.4. The notional defined contribution (NDC) method; 4.4.1. Historical preliminaries 4.4.2. The Dini reform transformation coefficients4.4.3. Theoretical preliminaries; 4.4.4. The construction of a unitary pension present value; 4.4.5. Numerical example and results comparison; 4.5. Conclusions; Chapter 5. Fair and Market Values and Interest Rate Stochastic Models; 5.1. Fair value; 5.2. Market value of financial flows; 5.3. Yield curve; 5.4. Yield to maturity for a financial investment and for a bond; 5.5. Dynamic deterministic continuous time model for an instantaneous interest rate; 5.5.1. Instantaneous interest rate; 5.5.2. Particular cases 5.5.3. Yield curve associated with an instantaneous interest rate |
| Record Nr. | UNINA-9910830121303321 |
|
Devolder Pierre
|
||
| London, : ISTE Ltd. | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic methods for pension funds / / Pierre Devolder, Jacques Janssen, Raimondo Manca
| Stochastic methods for pension funds / / Pierre Devolder, Jacques Janssen, Raimondo Manca |
| Autore | Devolder Pierre |
| Pubbl/distr/stampa | London, : ISTE Ltd. |
| Descrizione fisica | 1 online resource (476 p.) |
| Disciplina | 332.67/2540151923 |
| Altri autori (Persone) |
JanssenJacques <1939->
MancaRaimondo |
| Collana | Applied stochastic methods series |
| Soggetto topico |
Pension trusts - Management
Pension trusts - Mathematics Financial risk management - Mathematical models Stochastic models |
| ISBN |
1-118-56203-8
1-299-31580-1 1-118-56593-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Stochastic Methods for Pension Funds; Title Page; Copyright Page; Table of Contents; Preface; Chapter 1. Introduction: Pensions in Perspective; 1.1. Pension issues; 1.1.1. The challenge; 1.1.2. Some figures; 1.2. Pension scheme; 1.2.1. Definition; 1.2.2. The four dimensions of a pension scheme; 1.3. Pension and risks; 1.3.1. Demographic risks; 1.3.2. Financial risks; 1.3.3. Impact of the risks on various kinds of pension schemes; 1.3.4. The time horizon of a pension scheme; 1.4. The multi-pillar philosophy; Chapter 2. Classical Actuarial Theory of Pension Funding
2.1. General equilibrium equation of a pension scheme2.1.1. Principles; 2.1.2. The retrospective reserve; 2.1.3. The prospective reserve; 2.1.4. Equilibrated pension funding; 2.1.5. Decomposition of the reserve; 2.1.6. Classification of the methods; 2.2. General principles of funding mechanisms for DB Schemes; 2.3. Particular funding methods; 2.3.1. Unit credit cost methods; 2.3.2. Level premium methods; 2.3.3. Aggregate cost methods; Chapter 3. Deterministic and Stochastic Optimal Control; 3.1. Introduction; 3.2. Deterministic optimal control 3.2.1. Formulation of the optimal control problem3.3. Necessary conditions for optimality; 3.3.1. Bellman function; 3.3.2. Bellman optimality equation; 3.3.3. Hamilton-Jacobi equation; 3.3.4. The synthesis function; 3.3.5. Other types of optimal controls; 3.3.6. Example: the classical quadratic/linear control problem; 3.4. The maximum principle; 3.4.1. The maximum principle from the dynamic programming approach; 3.5. Extension to the one-dimensional stochastic optimal control; 3.5.1. Formulation of the one-dimensional stochastic optimal control problem 3.5.2. Necessary conditions for one-dimensional stochastic optimality3.5.3. Extension to the multi-dimensional stochastic optimal control; 3.5.4. Dynamic programming principle; 3.5.5. The Hamilton-Jacobi-Bellman equation; 3.6. Examples; 3.6.1. Merton portfolio allocation problem; Chapter 4. Defined Contribution and Defined Benefit Pension Plans; 4.1. Introduction; 4.2. The defined benefit method; 4.3. The defined contribution method; 4.3.1. The model; 4.3.2. The capitalization system; 4.4. The notional defined contribution (NDC) method; 4.4.1. Historical preliminaries 4.4.2. The Dini reform transformation coefficients4.4.3. Theoretical preliminaries; 4.4.4. The construction of a unitary pension present value; 4.4.5. Numerical example and results comparison; 4.5. Conclusions; Chapter 5. Fair and Market Values and Interest Rate Stochastic Models; 5.1. Fair value; 5.2. Market value of financial flows; 5.3. Yield curve; 5.4. Yield to maturity for a financial investment and for a bond; 5.5. Dynamic deterministic continuous time model for an instantaneous interest rate; 5.5.1. Instantaneous interest rate; 5.5.2. Particular cases 5.5.3. Yield curve associated with an instantaneous interest rate |
| Record Nr. | UNINA-9910877108403321 |
|
Devolder Pierre
|
||
| London, : ISTE Ltd. | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||