Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10071/26044
Autoria: | Ferreira, M. A. M. |
Editor: | Alexandra Webb |
Data: | 2017 |
Título próprio: | Searching for answers to the maintenance problem of insufficiently financed, financially dependent pension funds through stochastic diffusion processes |
Título e volume do livro: | Pensions: Global Issues, Perspectives and Challenges |
Paginação: | 113 - 126 |
Título e número da coleção: | Business Issues, Competition and Entrepreneurship |
Referência bibliográfica: | Ferreira, M. A. M. (2017). Searching for answers to the maintenance problem of insufficiently financed, financially dependent pension funds through stochastic diffusion processes. Em A. Webb Ed.), Pensions: Global Issues, Perspectives and Challenges (pp. 113-126). Nova Science Publishers. |
ISBN: | 978-1-53612-462-0 |
Palavras-chave: | Diffusion process First passage times Pensions fund Perpetuity Renewal equation |
Resumo: | The generic case of pensions fund that it is not sufficiently auto financed and it is thoroughly maintained with an external financing effort is considered in this chapter. To represent the unrestricted reserves value process of this kind of funds, a time homogeneous diffusion stochastic process with finite expected time to ruin is proposed. Then it is projected a financial tool that regenerates the diffusion at some level with positive value every time the diffusion hits a barrier placed at the origin. So, the financing effort can be modeled as a renewal-reward process if the regeneration level is preserved constant. The perpetual maintenance cost expected values and the finite time maintenance cost evaluations are studied. An application of this approach when the unrestricted reserves value process behaves as a generalized Brownian motion process is presented. |
Arbitragem científica: | yes |
Acesso: | Acesso Aberto |
Aparece nas coleções: | ISTAR-CLI - Capítulos de livros internacionais |
Ficheiros deste registo:
Ficheiro | Tamanho | Formato | |
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bookPart_37969.pdf | 278,11 kB | Adobe PDF | Ver/Abrir |
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