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Stochastic methods for pension funds / Pierre Devolder, Jacques Janssen, Raimondo Manca.

By: Contributor(s): Material type: TextTextSeries: Applied stochastic methods seriesPublication details: London : ISTE Ltd. ; Hoboken, N.J. : Wiley, 2012.Description: 1 online resource (xv, 458 pages) : illustrationsContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9781118565933
  • 1118565932
  • 9781118562031
  • 1118562038
Subject(s): Genre/Form: Additional physical formats: Print version:: Stochastic methods for pension funds.DDC classification:
  • 332.67/2540151923 23
LOC classification:
  • HD7105.4 .D48 2012eb
Online resources:
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.