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Produktbild: Stochastic Methods for Pension Funds

Stochastic Methods for Pension Funds

Aus der Reihe ISTE

Fr. 228.00

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Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

13.02.2012

Verlag

John Wiley & Sons

Seitenzahl

320

Maße (L/B/H)

23.4/15.7/3 cm

Gewicht

839 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-84821-204-6

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

13.02.2012

Verlag

John Wiley & Sons

Seitenzahl

320

Maße (L/B/H)

23.4/15.7/3 cm

Gewicht

839 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-84821-204-6

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: GPSR Kontakt

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  • Produktbild: Stochastic Methods for Pension Funds
  • Preface xiii

    Chapter 1. Introduction: Pensions in Perspective 1

    1.1. Pension issues 1

    1.2. Pension scheme 7

    1.3. Pension and risks 11

    1.4. The multi-pillar philosophy 14

    Chapter 2. Classical Actuarial Theory of Pension Funding15

    2.1. General equilibrium equation of a pension scheme 15

    2.2. General principles of funding mechanisms for DB Schemes21

    2.3. Particular funding methods 22

    Chapter 3. Deterministic and Stochastic Optimal Control31

    3.1. Introduction 31

    3.2. Deterministic optimal control 31

    3.3. Necessary conditions for optimality 33

    3.4. The maximum principle 42

    3.5. Extension to the one-dimensional stochastic optimal control45

    3.6. Examples 52

    Chapter 4. Defined Contribution and Defined Benefit PensionPlans 55

    4.1. Introduction 55

    4.2. The defined benefit method 56

    4.3. The defined contribution method 57

    4.4. The notional defined contribution (NDC) method 58

    4.5. Conclusions 93

    Chapter 5. Fair and Market Values and Interest RateStochastic Models 95

    5.1. Fair value 95

    5.2. Market value of financial flows 96

    5.3. Yield curve 97

    5.4. Yield to maturity for a financial investment and for a bond99

    5.5. Dynamic deterministic continuous time model for aninstantaneous interest rate 100

    5.6. Stochastic continuous time dynamic model for aninstantaneous interest rate 104

    5.7. Zero-coupon pricing under the assumption of no arbitrage114

    5.8. Market evaluation of financial flows 130

    5.9. Stochastic continuous time dynamic model for asset values132

    5.10. VaR of one asset 136

    Chapter 6. Risk Modeling and Solvency for Pension Funds149

    6.1. Introduction 149

    6.2. Risks in defined contribution 149

    6.3. Solvency modeling for a DC pension scheme 150

    6.4. Risks in defined benefit 170

    6.5. Solvency modeling for a DB pension scheme 171

    Chapter 7. Optimal Control of a Defined Benefit PensionScheme 181

    7.1. Introduction 181

    7.2. A first discrete time approach: stochastic amortizationstrategy 181

    7.3. Optimal control of a pension fund in continuous time194

    Chapter 8. Optimal Control of a Defined Contribution PensionScheme 207

    8.1. Introduction 207

    8.2. Stochastic optimal control of annuity contracts 208

    8.3. Stochastic optimal control of DC schemes with guaranteesand under stochastic interest rates 223

    Chapter 9. Simulation Models 231

    9.1. Introduction231

    9.2. The direct method 233

    9.3. The Monte Carlo models 250

    9.4. Salary lines construction 252

    Chapter 10. Discrete Time Semi-Markov Processes (SMP) andReward SMP 277

    10.1. Discrete time semi-Markov processes 277

    10.2. DTSMP numerical solutions 280

    10.3. Solution of DTHSMP and DTNHSMP in the transient case: atransportation example 284

    10.4. Discrete time reward processes 294

    10.5. General algorithms for DTSMRWP 304

    Chapter 11. Generalized Semi-Markov Non-homogeneous Modelsfor Pension Funds and Manpower Management 307

    11.1. Application to pension funds evolution 307

    11.2. Generalized non-homogeneous semi-Markov model for manpowermanagement 338

    11.3. Algorithms 347

    APPENDICES 359

    Appendix 1. Basic Probabilistic Tools for Stochastic Modeling361

    Appendix 2. Itô Calculus and Diffusion Processes 397

    Bibliography 437

    Index 449