Diffusion model for the financing of a fund that risks ruin

Ferreira, Manuel Alberto M.; Andrade, Marina

Utilize este identificador para referenciar este registo: http://hdl.handle.net/10071/5938

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Campo DC	Valor	Idioma
dc.contributor.author	Ferreira, Manuel Alberto M.	-
dc.contributor.author	Andrade, Marina	-
dc.date.accessioned	2013-11-12T12:28:10Z	-
dc.date.available	2013-11-12T12:28:10Z	-
dc.date.issued	2011	-
dc.identifier.citation	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	-
dc.identifier.isbn	978-9952-8071-4-1	-
dc.identifier.uri	http://hdl.handle.net/10071/5938	-
dc.description.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.	por
dc.language.iso	eng	por
dc.publisher	Progress IPS LLC	por
dc.rights	openAccess	por
dc.subject	Pensions funds	por
dc.subject	Difusão -- Diffusion	por
dc.subject	Ruínas -- Ruins	por
dc.subject	First passage times	por
dc.subject	Renewal	por
dc.subject	Transformada de Laplace -- Laplace transform	por
dc.title	Diffusion model for the financing of a fund that risks ruin	por
dc.type	bookPart	por
degois.publication.firstPage	89	por
degois.publication.lastPage	101	por
dc.subject.fos	Domínio/Área Científica::Ciências Naturais::Matemáticas	-
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