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Ferreira, M. A. M. & Filipe, J. A. (2013). Costs study through a diffusion process of pensions funds held with an outside financing effort. International Mathematical Forum. 8 (28), 1359-1368

M. A. Ferreira and J. A. Filipe,  "Costs study through a diffusion process of pensions funds held with an outside financing effort", in Int. Mathematical Forum, vol. 8, no. 28, pp. 1359-1368, 2013

@article{ferreira2013_1775753798744,
	author = "Ferreira, M. A. M. and Filipe, J. A.",
	title = "Costs study through a diffusion process of pensions funds held with an outside financing effort",
	journal = "International Mathematical Forum",
	year = "2013",
	volume = "8",
	number = "28",
	doi = "10.12988/imf.2013.36113",
	pages = "1359-1368",
	url = "http://www.m-hikari.com/imf/imf-2013/25-28-2013/ferreiraIMF25-28-2013.pdf"
}

TY  - JOUR
TI  - Costs study through a diffusion process of pensions funds held with an outside financing effort
T2  - International Mathematical Forum
VL  - 8
IS  - 28
AU  - Ferreira, M. A. M.
AU  - Filipe, J. A.
PY  - 2013
SP  - 1359-1368
SN  - 1312-7594
DO  - 10.12988/imf.2013.36113
UR  - http://www.m-hikari.com/imf/imf-2013/25-28-2013/ferreiraIMF25-28-2013.pdf
AB  - Pensions funds not auto financed and systematically maintained with an outside
financing effort are considered in this work. Representing the unrestricted
reserves value process of this kind of funds, a time homogeneous diffusion
process with finite expected time till the ruin is proposed.
It is also admitted a financial tool that regenerates the diffusion, at some level with positive value every time it hits a barrier at the origin. Then the financing effort may be modeled as a renewal-reward process if the regeneration level is kept constant. The
perpetual maintenance cost expected values evaluation and of the finite time
period maintenance cost are studied. An application of this approach, when the
unrestricted reserves value process behaves as a generalized Brownian motion
process, is presented. 
ER  -