Diffusion model for the financing of a fund that risks ruin

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dc.contributor.authorFerreira, Manuel Alberto M.
dc.contributor.authorAndrade, Marina
dc.date.accessioned2013-11-12T12:28:10Z
dc.date.available2013-11-12T12:28:10Z
dc.date.issued2011
dc.description.abstractIt 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.por
dc.identifier.citationFerreira, M. A. M., & Andrade, M. (2011). Diffusion model for the financing of a fund that risks ruin. Emerging issues in the natural and applied sciences (pp. 89-101). Progress IPS LLC. http://hdl.handle.net/10071/5938
dc.identifier.isbn978-9952-8071-4-1
dc.identifier.urihttp://hdl.handle.net/10071/5938
dc.language.isoengpor
dc.publisherProgress IPS LLCpor
dc.rightsopen accesspor
dc.subjectPensions fundspor
dc.subjectDifusão -- Diffusionpor
dc.subjectRuínas -- Ruinspor
dc.subjectFirst passage timespor
dc.subjectRenewalpor
dc.subjectTransformada de Laplace -- Laplace transformpor
dc.subject.fosDomínio/Área Científica::Ciências Naturais::Matemáticas
dc.titleDiffusion model for the financing of a fund that risks ruinpor
dc.typebookPartpor
degois.publication.firstPage89por
degois.publication.lastPage101por
dspace.entity.typePublicationen

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