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http://hdl.handle.net/10071/14182
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Title: Non-autonomous pensions funds maintenance costs study through a diffusion process
Authors: Ferreira, M. A. M.
Keywords: Pensions fund
Diffusion process
First passage times
Perpetuity
Renewal equation
Issue Date: 2012
Publisher: Progress IPS LLC
Abstract: The case of certain pensions funds that are not auto financed and are systematically maintained with an outside financing effort is considered in this work. As a representation of the unrestricted reserves value process of this kind of funds, a time homogeneous diffusion process with finite expected time to ruin is proposed. Then it is admitted a financial tool that regenerates the diffusion at some level with positive value every time the diffusion hits a barrier at the origin. So, the financing effort may be modeled as a renewal-reward process if the regeneration level is kept constant. The evaluation of the perpetual maintenance cost expected values and of the finite time period maintenance cost are studied. Also an application of this approach when the unrestricted reserves value process behaves as a generalized Brownian motion process is presented.
Peer reviewed: yes
URI: https://ciencia.iscte-iul.pt/id/ci-pub-8467
http://hdl.handle.net/10071/14182
DOI: 10.7813/2075-4124.2012/4-6/A.7
ISSN: 2075-4124
Publisher version: The definitive version is available at: http://dx.doi.org/10.7813/2075-4124.2012/4-6/A.7
Appears in Collections:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

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