The hurdle-race problem
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.
stochastic provision optimal investment strategy solvency comonotonicity
Jifu Nong
College of Mathematics and Computer Science Guangxi University for Nationalities Nanning, China
国际会议
昆明、丽江
英文
117-121
2011-04-15（万方平台首次上网日期，不代表论文的发表时间）