Artigo em revista científica
Non-autonomous pensions funds maintenance costs study through a diffusion process
Manuel Ferreira (Ferreira, M. A. M.);
Título Revista
International Journal of Academic Research
Ano (publicação definitiva)
2012
Língua
Inglês
País
Azerbeijão
Mais Informação
Web of Science®

Esta publicação não está indexada na Web of Science®

Scopus

Esta publicação não está indexada na Scopus

Google Scholar

N.º de citações: 7

(Última verificação: 2024-03-28 17:40)

Ver o registo no Google Scholar

Abstract/Resumo
The case of certain pensions funds that are not auto financed and are systematically maintained with an outside financing effort is considered in this work. As a representation of the unrestricted reserves value process of this kind of funds, a time homogeneous diffusion process with finite expected time to ruin is proposed. Then it is admitted a financial tool that regenerates the diffusion at some level with positive value every time the diffusion hits a barrier at the origin. So, the financing effort may be modeled as a renewal-reward process if the regeneration level is kept constant. The evaluation of the perpetual maintenance cost expected values and of the finite time period maintenance cost are studied. Also an application of this approach when the unrestricted reserves value process behaves as a generalized Brownian motion process is presented.
Agradecimentos/Acknowledgements
--
Palavras-chave
Pensions fund,Diffusion process,First passage times,Perpetuity,Renewal equation
Registos de financiamentos
Referência de financiamento Entidade Financiadora
PEst-OE/EGE/UI0315/2011 Fundação para a Ciência e a Tecnologia