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...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | bookPart |
| Language: | eng |
| Published: |
2013
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10071/5938 |
| Country: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/5938 |
| Summary: | 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 necessary financing to overcome the ruin. It is used, with this propose the Renewal Theorem for “renewal-reward” processes. That valuation is discussed, when it is applicable a deterministic interest rate, after the first passage times Laplace Transform. |
|---|