Risk management for pension funds. A continuous time approach with applications in R

DOI10.1007/978-3-030-55528-3zbMATH Open1460.91007OpenAlexW4285523746MaRDI QIDQ2007484FDOQ2007484

Authors: Francesco Menoncin 

Publication date: 14 October 2020

Published in: EURO Advanced Tutorials on Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-55528-3

Recommendations

• Pension fund risk management. Financial and actuarial modeling.
• Dynamic hedging of the mortality risk via a continuous control strategy of the portfolio of investments of a pension fund
• Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
• Minimization of risks in pension funding by means of contributions and portfolio selection.
• The Calculus of Retirement Income

zbMATH Keywords

decision theorystochastic processesrisk managementpension funds

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

Cited In (3)

• Cyclical risk exposure of pension funds: a theoretical framework
• Pension funds with longevity risk: an optimal portfolio insurance approach
• Pension fund risk management. Financial and actuarial modeling.

Uses Software

• R

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