Stochastic methods for pension funds - Devolder, Pierre; Janssen, Jacques, 1939-; Manca, Raimondo (London : ISTE Ltd. ; Hoboken, N.J. : Wiley, 2012)
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.
Includes bibliographical references and index.
Keywords: Pension trusts -- Management; Pension trusts -- Mathematics; Financial risk management -- Mathematical models; Stochastic models; Electronic books