Stochastic Methods for Pension Funds Format: Hardcover

Quantitative finance has become these last years a extraordinary field of research and interest as well from an academic point of view as for practical applications.

At the same time, pension issue is clearly a major economical and financial topic for the next decades in the context of the well-known longevity risk. Surprisingly few books are devoted to application of modern stochastic calculus to pension analysis.

The aim of this book is to fill this gap and to show how recent methods of stochastic finance can be useful for to the risk management of pension funds. Methods of optimal control will be especially developed and applied to fundamental problems such as the optimal asset allocation of the fund or the cost spreading of a pension scheme.  In these various problems, financial as well as demographic risks will be addressed and modelled.

Pierre Devolder is Professor of quantitative finance and actuarial sciences. He is associate editor of the ASTIN Bulletin and a member of the board of the AFIR section of the International Actuarial Association. His main research interests are pension funding, the application of stochastic processes to finance and insurance, fair valuation and solvency of insurance liabilities.

Jacques Janssen is Honorary Professor at the Solvay Business School in Brussels, Belgium. He is a member of many scientific and actuarial associations (Belgium, France, and Switzerland) and chairman of the International ASMDA Steering Committee. His research interests include stochastic processes, financial and actuarial mathematics, operations research and data mining.

Raimondo Manca is Professor of mathematical methods applied to economics, finance and actuarial science. He is associate editor of the journal Methodology and Computing in Applied Probability. His main research interests are multidimensional linear algebra, computational probability, the application of stochastic processes to economics, finance and insurance and simulation models.