Entrance times of random walks: with applications to pension fund modeling
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Entrance times of random walks : with applications to pension fund modeling. / Jarner, Soren Fiig; Kronborg, Morten Tolver.
In: Insurance: Mathematics and Economics, Vol. 67, 03.2016, p. 1-20.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - Entrance times of random walks
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 -
ID: 169139969