scholarly journals Stochastic resetting with stochastic returns using external trap

2020 ◽  
Vol 54 (2) ◽  
pp. 025003
Author(s):  
Deepak Gupta ◽  
Carlos A Plata ◽  
Anupam Kundu ◽  
Arnab Pal
Keyword(s):  
Stochastic Returns

scholarly journals STOCHASTIC OPTIMIZATION OF HEURISTIC METHOD RULE TO DETERMINE ASSET ALLOCATION TO RETIREMENT PORTFOLIO / STOCHASTINIS EURISTINIO METODO TAISYKLĖS PENSIJOS PORTFELIO SUDĖČIAI NUSTATYTI OPTIMIZAVIMAS

2011 ◽  
Vol 12 (1) ◽  
pp. 92-98
Author(s):  
Aušra Klimavičienė
Keyword(s):  
Stochastic Optimization ◽  
Stochastic Simulation ◽  
Asset Allocation ◽  
Heuristic Method ◽  
Simulation Models ◽  
Optimization Techniques ◽  
Human Lifespan ◽  
Stochastic Returns ◽  
Dynamic Stochastic ◽  
Population Mortality

The article examines the problem of determining asset allocation to sustainable retirement portfolio. The article attempts to apply heuristic method – 100 minus age in stocks rule – to determine asset allocation to sustainable retirement portfolio. Using dynamic stochastic simulation and stochastic optimization techniques the optimization of heuristic method rule is presented and the optimal alternative to „100“ is found. Seeking to reflect the stochastic nature of stock and bond returns and the human lifespan, the dynamic stochastic simulation models incorporate both the stochastic returns and the probability of living another year based on Lithuania‘s population mortality tables. The article presents the new method – adjusted heuristic method – to be used to determine asset allocation to retirement portfolio and highlights its advantages.

scholarly journals Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments

2004 ◽  
Vol 36 (4) ◽  
pp. 1278-1299 ◽  
Author(s):  
Qihe Tang ◽  
Gurami Tsitsiashvili
Keyword(s):  
Discrete Time ◽  
Time Horizon ◽  
Economic Environment ◽  
Ruin Probabilities ◽  
Insurance Risk ◽  
Infinite Time ◽  
Time Period ◽  
Stochastic Returns ◽  
Regularly Varying

This paper investigates the finite- and infinite-time ruin probabilities in a discrete-time stochastic economic environment. Under the assumption that the insurance risk - the total net loss within one time period - is extended-regularly-varying or rapidly-varying tailed, various precise estimates for the ruin probabilities are derived. In particular, some estimates obtained are uniform with respect to the time horizon, and so apply in the case of infinite-time ruin.

A necessary and sufficient condition for the subexponentiality of the product convolution

2018 ◽  
Vol 50 (01) ◽  
pp. 57-73 ◽  
Author(s):  
Hui Xu ◽  
Fengyang Cheng ◽  
Yuebao Wang ◽  
Dongya Cheng
Keyword(s):  
Ruin Probability ◽  
Risk Model ◽  
Sufficient Conditions ◽  
Related Result ◽  
Sufficient Condition ◽  
Insurance Risk ◽  
Necessary And Sufficient Condition ◽  
Long Tail ◽  
Stochastic Returns ◽  
Necessary And Sufficient

Abstract Let X and Y be two independent and nonnegative random variables with corresponding distributions F and G. Denote by H the distribution of the product XY, called the product convolution of F and G. Cline and Samorodnitsky (1994) proposed sufficient conditions for H to be subexponential, given the subexponentiality of F. Relying on a related result of Tang (2008) on the long-tail of the product convolution, we obtain a necessary and sufficient condition for the subexponentiality of H, given that of F. We also study the reverse problem and obtain sufficient conditions for the subexponentiality of F, given that of H. Finally, we apply the obtained results to the asymptotic study of the ruin probability in a discrete-time insurance risk model with stochastic returns.

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