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http://hdl.handle.net/10071/5938
acessibilidade
Title: Diffusion model for the financing of a fund that risks ruin
Authors: Ferreira, Manuel Alberto M.
Andrade, Marina
Keywords: Pensions funds
Diffusion
Ruin
First passage times
Renewal
Laplace Transform
Issue Date: 2011
Publisher: Progress IPS LLC
Abstract: 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.
URI: http://hdl.handle.net/10071/5938
ISBN: 978-9952-8071-4-1
Appears in Collections:DM-CLI - Autoria capítulos livros internacionais

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