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Ferreira, M. A. M. (2017). Searching for answers to the maintenance problem of insufficiently financed, financially dependent pension funds through stochastic diffusion processes . International Journal of Mathematics, Game Theory and Algebra. 26 (1), 25-34
M. A. Ferreira, "Searching for answers to the maintenance problem of insufficiently financed, financially dependent pension funds through stochastic diffusion processes ", in Int. Journal of Mathematics, Game Theory and Algebra, vol. 26, no. 1, pp. 25-34, 2017
@article{ferreira2017_1732414767380, author = "Ferreira, M. A. M.", title = "Searching for answers to the maintenance problem of insufficiently financed, financially dependent pension funds through stochastic diffusion processes ", journal = "International Journal of Mathematics, Game Theory and Algebra", year = "2017", volume = "26", number = "1", pages = "25-34", url = "https://www.novapublishers.com/catalog/product_info.php?products_id=1712" }
TY - JOUR TI - Searching for answers to the maintenance problem of insufficiently financed, financially dependent pension funds through stochastic diffusion processes T2 - International Journal of Mathematics, Game Theory and Algebra VL - 26 IS - 1 AU - Ferreira, M. A. M. PY - 2017 SP - 25-34 SN - 1060-9881 UR - https://www.novapublishers.com/catalog/product_info.php?products_id=1712 AB - The generic case of pensions fund that it is not sufficiently auto financed and it is thoroughly maintained with an external financing effort is considered in this chapter. To represent the unrestricted reserves value process of this kind of funds, a time homogeneous diffusion stochastic process with finite expected time to ruin is proposed. Then it is projected a financial tool that regenerates the diffusion at some level with positive value every time the diffusion hits a barrier placed at the origin. So, the financing effort can be modeled as a renewal-reward process if the regeneration level is preserved constant. The perpetual maintenance cost expected values and the finite time maintenance cost evaluations are studied. An application of this approach when the unrestricted reserves value process behaves as a generalized Brownian motion process is presented. ER -