Pension funding problem with regime‐switching geometric Brownian motion assets and liabilities
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Publication:5391298
DOI10.1002/asmb.776zbMath1224.91050MaRDI QIDQ5391298
Publication date: 6 April 2011
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/128527
regime switching; optimal dividend problem; geometric Brownian motion assets and liabilities; pension funding problem
91G60: Numerical methods (including Monte Carlo methods)
60H30: Applications of stochastic analysis (to PDEs, etc.)
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
91G50: Corporate finance (dividends, real options, etc.)
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