Stochastic methods for pension funds /

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριος συγγραφέας: Devolder, Pierre
Άλλοι συγγραφείς: Janssen, Jacques, 1939-, Manca, Raimondo
Μορφή: Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: London : ISTE Ltd. ; 2012.
Hoboken, N.J. : Wiley, 2012.
Σειρά:Applied stochastic methods series.
Θέματα:
Διαθέσιμο Online:Full Text via HEAL-Link
Πίνακας περιεχομένων:
  • 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.