Stochastic methods for pension funds /

• Main Author: Devolder, Pierre
• Other Authors: Janssen, Jacques, 1939-, Manca, Raimondo
• Format: eBook
• Language: English
• Published: London : ISTE Ltd. ; 2012.; Hoboken, N.J. : Wiley, 2012.
• Series: Applied stochastic methods series.
• Subjects: Pension trusts > Management.; Pension trusts > Mathematics.; Financial risk management > Mathematical models.; Stochastic models.; Electronic books.

Table of 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.