DocumentCode
2343630
Title
The Hurdle-Race Problem
Author
Nong, Jifu
Author_Institution
Coll. of Math. & Comput. Sci., Guangxi Univ. for Nat., Nanning, China
fYear
2011
fDate
15-19 April 2011
Firstpage
117
Lastpage
121
Abstract
We consider the problem of how to determine the required level of the current provision in order to be able to meet a series of future deterministic payment obligations, in case the provision is invested according to a given random return process. Approximate solutions are derived, taking into account imposed minimum levels of the future random values of the reserve. The paper ends with numerical examples illustrating the presented approximations.
Keywords
finance; approximate solutions; future random values; hurdle race problem; payment obligations; random return process; Approximation methods; Correlation; Distribution functions; Economics; Investments; Random variables; comonotonicity; optimal investment strategy; solvency; stochastic provision;
fLanguage
English
Publisher
ieee
Conference_Titel
Computational Sciences and Optimization (CSO), 2011 Fourth International Joint Conference on
Conference_Location
Yunnan
Print_ISBN
978-1-4244-9712-6
Electronic_ISBN
978-0-7695-4335-2
Type
conf
DOI
10.1109/CSO.2011.269
Filename
5957623
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