Searching for answers to the maintenance problem of insufficiently financed, financially dependent pension funds through stochastic diffusion processes
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10071/14571 |
Resumo: | 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. |
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Searching for answers to the maintenance problem of insufficiently financed, financially dependent pension funds through stochastic diffusion processesPensions fundDiffusion processFirst passage timesPerpetuityRenewal equationThe 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.Nova Science Publishers2017-11-02T17:30:57Z2017-01-01T00:00:00Z20172019-04-02T16:27:15Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10071/14571eng1060-9881Ferreira, M. A. M.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T18:01:58Zoai:repositorio.iscte-iul.pt:10071/14571Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:33:17.963813Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Searching for answers to the maintenance problem of insufficiently financed, financially dependent pension funds through stochastic diffusion processes |
title |
Searching for answers to the maintenance problem of insufficiently financed, financially dependent pension funds through stochastic diffusion processes |
spellingShingle |
Searching for answers to the maintenance problem of insufficiently financed, financially dependent pension funds through stochastic diffusion processes Ferreira, M. A. M. Pensions fund Diffusion process First passage times Perpetuity Renewal equation |
title_short |
Searching for answers to the maintenance problem of insufficiently financed, financially dependent pension funds through stochastic diffusion processes |
title_full |
Searching for answers to the maintenance problem of insufficiently financed, financially dependent pension funds through stochastic diffusion processes |
title_fullStr |
Searching for answers to the maintenance problem of insufficiently financed, financially dependent pension funds through stochastic diffusion processes |
title_full_unstemmed |
Searching for answers to the maintenance problem of insufficiently financed, financially dependent pension funds through stochastic diffusion processes |
title_sort |
Searching for answers to the maintenance problem of insufficiently financed, financially dependent pension funds through stochastic diffusion processes |
author |
Ferreira, M. A. M. |
author_facet |
Ferreira, M. A. M. |
author_role |
author |
dc.contributor.author.fl_str_mv |
Ferreira, M. A. M. |
dc.subject.por.fl_str_mv |
Pensions fund Diffusion process First passage times Perpetuity Renewal equation |
topic |
Pensions fund Diffusion process First passage times Perpetuity Renewal equation |
description |
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. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-11-02T17:30:57Z 2017-01-01T00:00:00Z 2017 2019-04-02T16:27:15Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10071/14571 |
url |
http://hdl.handle.net/10071/14571 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
1060-9881 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Nova Science Publishers |
publisher.none.fl_str_mv |
Nova Science Publishers |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799134894688829440 |