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http://hdl.handle.net/10071/5938| Author(s): | Ferreira, Manuel Alberto M. Andrade, Marina |
| Date: | 2011 |
| Title: | Diffusion model for the financing of a fund that risks ruin |
| Reference: | Ferreira, 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 |
| ISBN: | 978-9952-8071-4-1 |
| Keywords: | Pensions funds Difusão -- Diffusion Ruínas -- Ruins First passage times Renewal Transformada de Laplace -- Laplace transform |
| 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. |
| Access type: | Open Access |
| Appears in Collections: | DM-CLI - Capítulos livros internacionais |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| bookChapter_hdl5938.pdf | 612,41 kB | Adobe PDF | View/Open |
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