Title :
The Hurdle-Race Problem
Author_Institution :
Coll. of Math. & Comput. Sci., Guangxi Univ. for Nat., Nanning, China
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;
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
DOI :
10.1109/CSO.2011.269
