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http://hdl.handle.net/10071/16393
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Title: Financially dependent pensions funds maintenance approach through Brownian motion processes
Authors: Ferreira, M. A. M.
Keywords: Diffusion process
First passage time
Pensions fund
Perpetuity
Renewal equation
Issue Date: 2018
Publisher: Slovak University of Technology
Abstract: The situation of some pensions funds that are not appropriately auto financed and are thoroughly maintained with an outside financing effort is considered in this paper. To represent the unrestricted reserves value process of this kind of funds, a time homogeneous diffusion stochastic process is proposed. Then it is projected a financial tool that regenerates the diffusion at some level with positive value. So, the financing effort may be modeled as a renewal-reward process. The relevant costs are studied when the unrestricted reserves value process behaves as a generalized Brownian motion process.
Peer reviewed: yes
URI: https://ciencia.iscte-iul.pt/id/ci-pub-46508
http://hdl.handle.net/10071/16393
ISBN: 978-80-227-4765-3
Appears in Collections:BRU-CRI - Comunicações a conferências internacionais

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