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Stochastic methods for pension funds / [electronic resource]

by Devolder, Pierre; Janssen, Jacques; Manca, Raimondo.
Material type: materialTypeLabelBookSeries: Applied stochastic methods series: Publisher: London : Hoboken, N.J. : ISTE Ltd. ; Wiley, 2012Description: 1 online resource (xv, 458 pages) : illustrations.ISBN: 9781118565933; 1118565932; 9781118562031; 1118562038.Subject(s): Pension trusts -- Management | Pension trusts -- Mathematics | Financial risk management -- Mathematical models | Stochastic models | Electronic booksOnline resources: Wiley Online Library
Contents:
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.
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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.

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