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

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

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

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 (2)

• Cyclical risk exposure of pension funds: a theoretical framework
• Pension funds with longevity risk: an optimal portfolio insurance approach

Uses Software

• R

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