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Publication Detailed Description
Searching for answers to the maintenance problem of insufficiently financed, financially dependent pension funds through stochastic diffusion processes
Journal Title
International Journal of Mathematics, Game Theory and Algebra
Year (definitive publication)
2017
Language
English
Country
United States of America
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Abstract
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.
Acknowledgements
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Keywords
Pensions fund,Diffusion process,First passage times,Perpetuity,Renewal equation
Fields of Science and Technology Classification
- Mathematics - Natural Sciences
- Economics and Business - Social Sciences
Funding Records
| Funding Reference | Funding Entity |
|---|---|
| UID/GES/00315/2013 | Fundação para a Ciência e a Tecnologia |
| UID/MULTI/0446/2013 | Fundação para a Ciência e a Tecnologia |
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