Searching for answers to the maintenance problem of insufficiently financed, financially dependent pension funds thorugh stochastic diffusion processes

zbMATH Open1390.91181arXiv2203.09548MaRDI QIDQ5745331FDOQ5745331

Authors: Manuel Alberto M. Ferreira 

Publication date: 5 June 2018

Abstract: 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.

Full work available at URL: https://arxiv.org/abs/2203.09548

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zbMATH Keywords

renewal equationperpetuitypensions funddiffusion process first passage times

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cited In (1)

• Costs study through a diffusion process of pensions funds held with an outside financing effort

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