Entrance times of random walks: with applications to pension fund modeling

DOI10.1016/J.INSMATHECO.2015.11.006zbMath1348.60069OpenAlexW2191913845MaRDI QIDQ282259

Morten Tolver Kronborg, Søren Fiig Jarner

Publication date: 12 May 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.11.006

zbMATH Keywords

random walks stationarity exact simulation collective pension fund entrance times factorial moment partition sum with-profits contracts

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Portfolio theory (91G10)

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