Title of article
The hurdle-race problem
Author/Authors
Wim Vanduffel، نويسنده , , S. and Dhaene، نويسنده , , J. and Goovaerts، نويسنده , , M. and Kaas، نويسنده , , R.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2003
Pages
9
From page
405
To page
413
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
Comonotonicity , Stochastic provision , Optimal investment strategy , solvency
Journal title
Insurance Mathematics and Economics
Serial Year
2003
Journal title
Insurance Mathematics and Economics
Record number
1542677
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