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

DOI10.1007/978-3-030-55528-3MaRDI QIDQ2007484zbMATH OpenOpenAlexFDO

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

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)

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

Cited in

(3)

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

Describes a project that uses

Uses Software

• R

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