Diffusion model for the financing of a fund that risks ruin
It is proposed initially a diffusion process to represent a system subject to systematic ruin, with a stochastic regime of inflows and outflows of capital, establishing an analogy between this process and a pensions fund. Based the system in a periodic reflection scheme, it is valued the additional...
| Autor principal: | |
|---|---|
| Outros Autores: | |
| Formato: | bookPart |
| Idioma: | eng |
| Publicado em: |
2013
|
| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10071/5938 |
| País: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/5938 |