000			01865nam a22003375i 4500
001			92062
005			20240124141354.0
010			_a978-3-030-55528-3 _dcompra
090			_a92062
100			_a20231023d2021 k||y0pory50 ba
101			_aeng
102			_aCH
200			_aRisk management for pension funds _bDocumento eletrónico _ea continuous time approach with applications in r _fby Francesco Menoncin
210			_aCham _cSpringer International Publishing _cSpringer _d2021
215			_aVII, 239 p. _cil.
225			_aEURO Advanced Tutorials on Operational Research
303			_aThis 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.
606			_aOperations research
606			_aManagement science
606			_aFinancial risk management
606			_aStatistics
606			_aSocial sciences _xMathematics
606			_aFinancial services industry
680			_aT57.6-57.97
680			_aT55.4-60.8
700			_aMenoncin _bFrancesco _972132
801			_aPT _gRPC
856			_uhttps://doi.org/10.1007/978-3-030-55528-3
942			_2lcc _cF _n0