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

Soren Fiig Jarner; Morten Tolver Kronborg

doi:10.1016/j.insmatheco.2015.11.006

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

Soren Fiig Jarner, Morten Tolver Kronborg

Institut for Matematiske Fag

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

2 Citationer (Scopus)

Originalsprog	Engelsk
Tidsskrift	Insurance: Mathematics and Economics
Vol/bind	67
Sider (fra-til)	1-20
ISSN	0167-6687
DOI	https://doi.org/10.1016/j.insmatheco.2015.11.006
Status	Udgivet - mar. 2016

Adgang til dokumentet

10.1016/j.insmatheco.2015.11.006

Citationsformater

@article{9cbbfc4626df46c6af88b2689564a315,

title = "Entrance times of random walks: with applications to pension fund modeling",

keywords = "Random walks, Entrance times, Factorial moment, Partition sum, Stationarity, Exact simulation, Collective pension fund, With-profits contracts",

author = "Jarner, {Soren Fiig} and Kronborg, {Morten Tolver}",

year = "2016",

month = mar,

doi = "10.1016/j.insmatheco.2015.11.006",

language = "English",

volume = "67",

pages = "1--20",

journal = "Insurance: Mathematics and Economics",

issn = "0167-6687",

publisher = "Elsevier",

}

TY - JOUR

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T2 - with applications to pension fund modeling

AU - Jarner, Soren Fiig

AU - Kronborg, Morten Tolver

PY - 2016/3

Y1 - 2016/3

KW - Random walks

KW - Entrance times

KW - Factorial moment

KW - Partition sum

KW - Stationarity

KW - Exact simulation

KW - Collective pension fund

KW - With-profits contracts

U2 - 10.1016/j.insmatheco.2015.11.006

DO - 10.1016/j.insmatheco.2015.11.006

M3 - Journal article

VL - 67

SP - 1

EP - 20

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

SN - 0167-6687

ER -