论文标题
维护问题不足以融资的养老基金 - 一种随机方法
Maintenance Problem of Insufficiently Financed Pension Funds -- A Stochastic Approach
论文作者
论文摘要
养老金基金的通用案例是，它没有足够的汽车融资，并且在本章中考虑了外部融资工作的彻底维护。为了代表这种资金的不受限制的储量过程，提出了一个均匀的扩散随机过程，并提出了有限的预期时间毁灭的时间。然后，它被预测为一种财务工具，每当扩散撞击势头时，将在某个级别上以积极价值再生扩散。因此，如果保留了恒定的再生水平，则可以将融资努力建模为更新奖励过程。研究了永久维护成本预期值和有限的时间维护成本评估。当不受限制的储量过程表现为普遍的布朗运动过程时，这种方法的应用。
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.
