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This book presents a consistent and complete framework for studying the risk management of a pension fund. It gives the reader the opportunity to understand, replicate and widen the analysis. To this aim, the book provides all the tools for computing the optimal asset allocation in a dynamic framework where the financial horizon is stochastic (longevity risk) and the investor's wealth is not self-financed. This tutorial enables the reader to replicate all the results presented. The R codes are provided alongside the presentation of the theoretical framework. The book explains and discusses the problem of hedging longevity risk even in an incomplete market, though strong theoretical results about an incomplete framework are still lacking and the problem is still being discussed in most recent literature.

Operations research. --- Management science. --- Decision making. --- Risk management. --- Statistics . --- Economics, Mathematical . --- Insurance. --- Operations Research, Management Science. --- Operations Research/Decision Theory. --- Risk Management. --- Statistics for Business, Management, Economics, Finance, Insurance. --- Quantitative Finance. --- Assurance (Insurance) --- Coverage, Insurance --- Indemnity insurance --- Insurance coverage --- Insurance industry --- Insurance protection --- Mutual insurance --- Underwriting --- Finance --- Economics --- Mathematical economics --- Econometrics --- Mathematics --- Statistical analysis --- Statistical data --- Statistical methods --- Statistical science --- Insurance --- Management --- Deciding --- Decision (Psychology) --- Decision analysis --- Decision processes --- Making decisions --- Management decisions --- Choice (Psychology) --- Problem solving --- Quantitative business analysis --- Operations research --- Statistical decision --- Operational analysis --- Operational research --- Industrial engineering --- Management science --- Research --- System theory --- Methodology --- Decision making --- Pension trusts --- Employee pension trusts --- Pension funds --- Pension plans --- Trusts and trustees --- Financial risk management. --- Statistics. --- Social sciences --- Financial services industry. --- Operations Research, Management Science . --- Operations Research and Decision Theory. --- Statistics in Business, Management, Economics, Finance, Insurance. --- Mathematics in Business, Economics and Finance. --- Financial Services. --- Mathematics. --- Risk management --- Services, Financial --- Service industries

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L'opera si rivolge a due grandi classi di utenti: gli studenti e coloro che lavorano presso investitori istituzionali. Tutti i corsi che trattano di finanza dei mercati troveranno in questo volume un buon compendio per mostrare immediate applicazioni informatiche della teoria finanziaria. Il libro è disseminato di esempi tratti dalla realtà finanziaria e presenta numerosi programmi, scritti in linguaggio Scilab, per misurare e gestire il rischio sui mercati finanziari. Gli argomenti più rilevanti sono i seguenti: 1) simulazione di processi stocastici, 2) modelli dei tassi di interesse, 3) teorie di portafoglio (media-varianza e con expected shortfall-CVAR, 4) misurazione del rischio (misure coerenti, misure spettrali), 5) prezzatura di titoli derivati. Si presentano le funzioni per risolvere problemi di programmazione lineare e quadratica. Si applicano, inoltre, metodi dei minimi quadrati e della massima verosimiglianza. Operando con tali strumenti e su dati finanziari liberamente disponibili su internet, il lettore sarà in grado di osservare direttamente le applicazioni alla realtà finanziaria dei principali modelli di finanza teorica.

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This book presents a consistent and complete framework for studying the risk management of a pension fund. It gives the reader the opportunity to understand, replicate and widen the analysis. To this aim, the book provides all the tools for computing the optimal asset allocation in a dynamic framework where the financial horizon is stochastic (longevity risk) and the investor's wealth is not self-financed. This tutorial enables the reader to replicate all the results presented. The R codes are provided alongside the presentation of the theoretical framework. The book explains and discusses the problem of hedging longevity risk even in an incomplete market, though strong theoretical results about an incomplete framework are still lacking and the problem is still being discussed in most recent literature.

Statistical science --- Operational research. Game theory --- Mathematical statistics --- Planning (firm) --- Financial organisation --- Production management --- Business management --- management --- mathematische modellen --- statistiek --- sociale interventies --- risk management --- econometrie --- operationeel onderzoek

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