跨栏赛跑问题

2011 Fourth International Joint Conference on Computational Sciences and Optimization Pub Date : 2011-04-15 DOI:10.1109/CSO.2011.269

Jifu Nong

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引用次数: 5

摘要

我们考虑的问题是，如果准备金按照给定的随机回报过程进行投资，如何确定当前准备金所需的水平，以便能够满足一系列未来的确定性支付义务。考虑到未来储备随机值的最小水平，导出了近似解。文章最后用数值例子说明了所提出的近似。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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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.

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来源期刊

2011 Fourth International Joint Conference on Computational Sciences and Optimization

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