Title: The hurdle-race problem
Authors: Vanduffel, Steven ×
Dhaene, Jan
Goovaerts, Marc
Kaas, R #
Issue Date: Oct-2003
Publisher: Elsevier science bv
Series Title: Insurance: Mathematics & Economics vol:33 issue:2 pages:405-414
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. (C) 2003 Elsevier B.V. All rights reserved.
ISSN: 0167-6687
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center Insurance, Leuven
× corresponding author
# (joint) last author

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