Risk management for pension funds. A continuous time approach with applications in R (Q2007484)

The aim of the book is to present ways of solving asset allocation problem of a pension fund which aims to maximize the expected utility of the wealth remaining at the death time of a representative pensioner. Chapter 1, Introduction, presents the structure of the book. Chapter 2, Decision Theory Under Uncertainty, is about decision theory based on utility function. Chapter 3, Stochastic Processes, presents the stochastic processes used to model the state variables of the optimization problem. Chapter 4, The Financial Market, shows how a financial market can be modelled through the stochastic processes described in the previous chapter. Chapter 5, The Actuarial Framework, shows how to use stochastic processes for modelling the actuarial indicators, like the survival probability or the mortality intensity. In Chapter 6, Financial-Actuarial Assets, the fundamental theorem for asset pricing is used in a version suitable for pricing actuarial assets. Chapter 7, Pension Fund Management, presents the martingale approach to optimal portfolio computation for a pension fund. In Chapter 8, A Workable Framework, a full numerical example with US data performed for a portfolio consisting of a riskless asset, a stock, a rolling zero coupon bond, and a rolling longevity zero coupon bond. Chapter 9, A Pure Accumulation Fund, is devoted to the case of a pure accumulation fund that receives contributions and pays a final amount of money at retirement, without any mortality or longevity risk. The book presents a consistent and complete framework for studying the risk management of a pension fund. It is useful for students and teachers in financial and actuarial mathematics as well as for professionals in the area of pension funds.