Stochastic methods for pension funds /
Devolder, Pierre.
Stochastic methods for pension funds / Pierre Devolder, Jacques Janssen, Raimondo Manca. - London : Hoboken, N.J. : ISTE Ltd. ; Wiley, 2012. - 1 online resource (xv, 458 pages) : illustrations. - Applied stochastic methods series . - Applied stochastic methods series. .
Includes bibliographical references and index.
Introduction: pensions in perspective -- Classical actuarial theory of pension funding -- Deterministic and stochastic optimal control -- Defined contribution and defined benefit pension plans -- Fair and market values and interest rate stochastic models -- Risk modeling and solvency for pension funds -- Optimal control of a defined benefit pension scheme -- Optimal control of a defined contribution pension scheme -- Simulation models -- Discrete time semi-Markov processes (SMP) and reward SMP -- Generalized semi-Markov non-homogeneous models for pension funds and manpower management -- Appendices. Basic probabilistic tools for stochastic modeling -- Itô calculus and diffusion processes -- Bibliography -- Index.
9781118565933 1118565932 9781118562031 1118562038
Pension trusts--Management.
Pension trusts--Mathematics.
Financial risk management--Mathematical models.
Stochastic models.
Electronic books.
HD7105.4 / .D48 2012eb
332.67/2540151923
Stochastic methods for pension funds / Pierre Devolder, Jacques Janssen, Raimondo Manca. - London : Hoboken, N.J. : ISTE Ltd. ; Wiley, 2012. - 1 online resource (xv, 458 pages) : illustrations. - Applied stochastic methods series . - Applied stochastic methods series. .
Includes bibliographical references and index.
Introduction: pensions in perspective -- Classical actuarial theory of pension funding -- Deterministic and stochastic optimal control -- Defined contribution and defined benefit pension plans -- Fair and market values and interest rate stochastic models -- Risk modeling and solvency for pension funds -- Optimal control of a defined benefit pension scheme -- Optimal control of a defined contribution pension scheme -- Simulation models -- Discrete time semi-Markov processes (SMP) and reward SMP -- Generalized semi-Markov non-homogeneous models for pension funds and manpower management -- Appendices. Basic probabilistic tools for stochastic modeling -- Itô calculus and diffusion processes -- Bibliography -- Index.
9781118565933 1118565932 9781118562031 1118562038
Pension trusts--Management.
Pension trusts--Mathematics.
Financial risk management--Mathematical models.
Stochastic models.
Electronic books.
HD7105.4 / .D48 2012eb
332.67/2540151923