Entrance times of random walks : with applications to pension fund modeling
Søren Fiig Jarner, Morten Tolver Kronborg
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Fiig Jarner, Søren ; Tolver Kronborg, Morten |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 67.2016, p. 1-20
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| Subject: | Random walks | Entrance times | Factorial moment | Partition sum | Stationarity | Exact simulation | Collective pension fund | With-profits contracts | Pensionskasse | Pension fund | Theorie | Theory | Random Walk | Random walk | Simulation | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2015.11.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011457142