Fully revised and restructured, Measuring Market Risk, Second Edition includes a new
chapter on options risk management, as well as substantial new information on parametric …

We investigate asset-allocation strategies open to members of defined-contribution pension
plans with a model that incorporates asset, salary (labour-income) and interest-rate risk. We …

Dieses Buch gibt einen Überblick über die aktuellsten Entwicklungen im Bereich Value at
Risk (VaR) und Expected Tail Loss (ETL). Mit umfassenden Informationen zu verschiedenen …

One of the most significant recent developments in the risk measurement and management
area has been the emergence of value at risk (VaR). The VaR of a portfolio is the maximum …

We discuss a number of quantile‐based risk measures (QBRMs) that have recently been
developed in the financial risk and actuarial/insurance literatures. The measures considered …

In this paper, we derive a formula for the optimal investment allocation (derived from a
dynamic programming approach) in a defined contribution (DC) pension scheme whose …

We consider the choices available to a defined contribution (DC) pension plan member at
the time of retirement for conversion of his pension fund into a stream of retirement income …

Assuming the loss aversion framework of Tversky and Kahneman (1992), stochastic
investment and labour income processes, and a path-dependent fund target, we show that …

Target date retirement funds have gained favor with retirement plan investors in recent
years. Typically, these funds initially have a high allocation to stocks but move towards less …

This paper focuses on the constant elasticity of variance (CEV) model for studying the
optimal investment strategy before and after retirement in a defined contribution pension …