Non-autonomous pensions funds maintenance costs study through a diffusion process
Autor(a) principal: | |
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Data de Publicação: | 2012 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | https://ciencia.iscte-iul.pt/id/ci-pub-8467 http://hdl.handle.net/10071/14182 |
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. |
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Non-autonomous pensions funds maintenance costs study through a diffusion processPensions fundDiffusion processFirst passage timesPerpetuityRenewal equationThe 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.Progress IPS LLC2017-07-28T09:26:18Z2012-01-01T00:00:00Z20122017-07-28T09:25:34Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://ciencia.iscte-iul.pt/id/ci-pub-8467http://hdl.handle.net/10071/14182eng2075-412410.7813/2075-4124.2012/4-6/A.7Ferreira, M. A. M.info:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:38:37Zoai:repositorio.iscte-iul.pt:10071/14182Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:17:41.387052Repositório 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 |
Non-autonomous pensions funds maintenance costs study through a diffusion process |
title |
Non-autonomous pensions funds maintenance costs study through a diffusion process |
spellingShingle |
Non-autonomous pensions funds maintenance costs study through a diffusion process Ferreira, M. A. M. Pensions fund Diffusion process First passage times Perpetuity Renewal equation |
title_short |
Non-autonomous pensions funds maintenance costs study through a diffusion process |
title_full |
Non-autonomous pensions funds maintenance costs study through a diffusion process |
title_fullStr |
Non-autonomous pensions funds maintenance costs study through a diffusion process |
title_full_unstemmed |
Non-autonomous pensions funds maintenance costs study through a diffusion process |
title_sort |
Non-autonomous pensions funds maintenance costs study through a diffusion process |
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 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. |
publishDate |
2012 |
dc.date.none.fl_str_mv |
2012-01-01T00:00:00Z 2012 2017-07-28T09:26:18Z 2017-07-28T09:25:34Z |
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 |
https://ciencia.iscte-iul.pt/id/ci-pub-8467 http://hdl.handle.net/10071/14182 |
url |
https://ciencia.iscte-iul.pt/id/ci-pub-8467 http://hdl.handle.net/10071/14182 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
2075-4124 10.7813/2075-4124.2012/4-6/A.7 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/embargoedAccess |
eu_rights_str_mv |
embargoedAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Progress IPS LLC |
publisher.none.fl_str_mv |
Progress IPS LLC |
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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1799134735386017792 |