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Author: Pierre Devolder
Publisher: John Wiley & Sons
ISBN: 1118566262
Category : Mathematics
Languages : en
Pages : 331
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Book Description
Quantitative finance has become these last years a extraordinary field of research and interest as well from an academic point of view as for practical applications. At the same time, pension issue is clearly a major economical and financial topic for the next decades in the context of the well-known longevity risk. Surprisingly few books are devoted to application of modern stochastic calculus to pension analysis. The aim of this book is to fill this gap and to show how recent methods of stochastic finance can be useful for to the risk management of pension funds. Methods of optimal control will be especially developed and applied to fundamental problems such as the optimal asset allocation of the fund or the cost spreading of a pension scheme. In these various problems, financial as well as demographic risks will be addressed and modelled.
Author: Pierre Devolder
Publisher: John Wiley & Sons
ISBN: 1118566262
Category : Mathematics
Languages : en
Pages : 331
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Book Description
Quantitative finance has become these last years a extraordinary field of research and interest as well from an academic point of view as for practical applications. At the same time, pension issue is clearly a major economical and financial topic for the next decades in the context of the well-known longevity risk. Surprisingly few books are devoted to application of modern stochastic calculus to pension analysis. The aim of this book is to fill this gap and to show how recent methods of stochastic finance can be useful for to the risk management of pension funds. Methods of optimal control will be especially developed and applied to fundamental problems such as the optimal asset allocation of the fund or the cost spreading of a pension scheme. In these various problems, financial as well as demographic risks will be addressed and modelled.
Author: Francesco Menoncin
Publisher: Springer Nature
ISBN: 3030555283
Category : Business & Economics
Languages : en
Pages : 239
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Book Description
This 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.
Author: Tommy Bengtsson
Publisher: Springer
ISBN: 3030050750
Category : Social Science
Languages : en
Pages : 341
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Book Description
This open access book describes methods of mortality forecasting and discusses possible improvements. It contains a selection of previously unpublished and published papers, which together provide a state-of-the-art overview of statistical approaches as well as behavioural and biological perspectives. The different parts of the book provide discussions of current practice, probabilistic forecasting, the linearity in the increase of life expectancy, causes of death, and the role of cohort factors. The key question in the book is whether it is possible to project future mortality accurately, and if so, what is the best approach. This makes the book a valuable read to demographers, pension planners, actuaries, and all those interested and/or working in modelling and forecasting mortality.
Author: Bernt Øksendal
Publisher: Springer Science & Business Media
ISBN: 3540698264
Category : Mathematics
Languages : en
Pages : 263
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Book Description
Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.
Author: Ermanno Pitacco
Publisher: OUP Oxford
ISBN: 0191563153
Category : Business & Economics
Languages : en
Pages : 417
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Book Description
Mortality improvements, uncertainty in future mortality trends and the relevant impact on life annuities and pension plans constitute important topics in the field of actuarial mathematics and life insurance techniques. In particular, actuarial calculations concerning pensions, life annuities and other living benefits (provided, for example, by long-term care insurance products and whole life sickness covers) are based on survival probabilities which necessarily extend over a long time horizon. In order to avoid underestimation of the related liabilities, the insurance company (or the pension plan) must adopt an appropriate forecast of future mortality. Great attention is currently being devoted to the management of life annuity portfolios, both from a theoretical and a practical point of view, because of the growing importance of annuity benefits paid by private pension schemes. In particular, the progressive shift from defined benefit to defined contribution pension schemes has increased the interest in life annuities with a guaranteed annual amount. This book provides a comprehensive and detailed description of methods for projecting mortality, and an extensive introduction to some important issues concerning longevity risk in the area of life annuities and pension benefits. It relies on research work carried out by the authors, as well as on a wide teaching experience and in CPD (Continuing Professional Development) initiatives. The following topics are dealt with: life annuities in the framework of post-retirement income strategies; the basic mortality model; recent mortality trends that have been experienced; general features of projection models; discussion of stochastic projection models, with numerical illustrations; measuring and managing longevity risk.
Author: Miguel González Velasco
Publisher: John Wiley & Sons
ISBN: 1786302535
Category : Mathematics
Languages : en
Pages : 240
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Book Description
The purpose of this book is to provide a comprehensive discussion of the available results for discrete time branching processes with random control functions. The independence of individuals’ reproduction is a fundamental assumption in the classical branching processes. Alternatively, the controlled branching processes (CBPs) allow the number of reproductive individuals in one generation to decrease or increase depending on the size of the previous generation. Generating a wide range of behaviors, the CBPs have been successfully used as modeling tools in diverse areas of applications.
Author: Christian Hertrich
Publisher: Springer Science & Business Media
ISBN: 3658021675
Category : Business & Economics
Languages : en
Pages : 405
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Book Description
The central research objective of the dissertation is to assess the suitability of Social Responsible Investments (SRIs) as well as alternative investments for the strategic asset allocation of German Pension Insurance Funds (Pensionskassen). Using a Vector Error Correction model, we estimate the data generating process of the underlying input variables. A bootstrap simulation allows generating future return paths of the underlying portfolios. These return distributions will subsequently be used as input for different asset allocation strategies.The empirical results of our research study offer valuable conclusions: (1) SRI-structured portfolios consistently perform better than conventional portfolios, (2) including alternative investments has a beneficial effect on the risk-return distribution and (3) derivative overlay structures mitigate downside risk exposure without impacting average fund performance. In terms of alternative allocation models, (1) high-equity portfolios lead to an increase in return volatility without sufficiently compensating investors with higher returns, (2) hedging against price increases by engineering a portfolio with inflation-suitable assets yields mixed results, (3) a portfolio composition that combines derivative overlay strategies for both equities and corporate bonds and uses SRI-screened assets as underlying generates the best results.
Author: Rodolfo Console
Publisher: John Wiley & Sons
ISBN: 1119372224
Category : Mathematics
Languages : en
Pages : 141
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Book Description
Earthquake Occurrence provides the reader with a review of algorithms applicable for modeling seismicity, such as short-term earthquake clustering and pseudo-periodic long-term behavior of major earthquakes. The concept of the likelihood ratio of a set of observations under different hypotheses is applied for comparison among various models. In short-term models, known by the term ETAS, the occurrence space and time rate density of earthquakes is modeled as the sum of two terms, one representing the independent or spontaneous events, and the other representing the activity triggered by previous earthquakes. Examples of the application of such algorithms in real cases are also reported. Dealing with long-term recurrence models, renewal time-dependent models, implying a pseudo-periodicity of earthquake occurrence, are compared with the simple time-independent Poisson model, in which every event occurs regardless of what has occurred in the past. The book also introduces a number of computer codes developed by the authors over decades of seismological research.
Author: Marta Peris-Ortiz
Publisher: Springer Nature
ISBN: 3030379124
Category : Business & Economics
Languages : en
Pages : 487
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Book Description
This book examines the major economic challenges associated with the sustainability of public pensions, specifically demographic change, labor-market relations, and risk sharing. The issue of public pensions occupies the political and economic agendas of many major governments in the world. International organizations such as the World Bank and the OECD warn that the economic changes driven by an aging society negatively affects the sustainability of pension systems. This book analyzes different global public pension systems to offer policies, methods and tools for sustainable public pensions. Real case studies from France, Sweden, Latin America, Algeria, USA and Mexico are featured.
Author: Guglielmo D'Amico
Publisher: John Wiley & Sons
ISBN: 111941511X
Category : Mathematics
Languages : en
Pages : 322
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Book Description
Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers. This approach provides a good method of evaluating the default risk and the classical VaR indicators used for Solvency II and Basel III governance rules. This book is the first to present a complete semi-Markov treatment of credit risk while also insisting on the practical use of the models presented here, including numerical aspects, so that this book is not only useful for scientific research but also to managers working in this field for banks, insurance companies, pension funds and other financial institutions.
