{"title":"The Hurdle-Race Problem","authors":"Jifu Nong","doi":"10.1109/CSO.2011.269","DOIUrl":null,"url":null,"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.","PeriodicalId":210815,"journal":{"name":"2011 Fourth International Joint Conference on Computational Sciences and Optimization","volume":"17 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2011-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2011 Fourth International Joint Conference on Computational Sciences and Optimization","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/CSO.2011.269","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 5
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.
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