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The Hurdle-race Problem.

16 Pages Posted: 2 Mar 2006  

Steven Vanduffel

Vrije Universiteit Brussel (VUB)

Jan Dhaene

Katholieke Universiteit Leuven - Faculty of Economics and Business

Marc Goovaerts

Catholic University of Leuven (KUL) - Department of Economics

Rob Kaas

University of Amsterdam - Faculty of Economics & Econometrics (FEE)

Abstract

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.

Suggested Citation

Vanduffel, Steven and Dhaene, Jan and Goovaerts, Marc and Kaas, Rob, The Hurdle-race Problem.. Insurance: Mathematics and Economics, Vol. 33, No. 2, pp. 405-413, 2003. Available at SSRN: https://ssrn.com/abstract=886314

Steven Vanduffel (Contact Author)

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
Brussels, Brabant 1050
Belgium

HOME PAGE: http://www.stevenvanduffel.com

Jan Dhaene

Katholieke Universiteit Leuven - Faculty of Economics and Business ( email )

Naamsestraat 69
Leuven, 3000
Belgium

Marc Goovaerts

Catholic University of Leuven (KUL) - Department of Economics ( email )

Leuven, B-3000
Belgium
+32 0 16 32 7446 (Phone)
+32 0 16 32 3740 (Fax)

Rob Kaas

University of Amsterdam - Faculty of Economics & Econometrics (FEE) ( email )

Roetersstraat 11
Amsterdam, 1018 WB
Netherlands

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