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Brownian motion with killing and reflection and the ‘‘hot–spots’’ problem

✍ Scribed by Rodrigo Banuelos; Michael Pang; Mihai Pascu

Publisher
Springer
Year
2004
Tongue
English
Weight
156 KB
Volume
130
Category
Article
ISSN
1432-2064

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## Abstract This paper extends the pension funding model in (__N. Am. Actuarial J.__ 2003; **7**:37–51) to a regime‐switching case. The market mode is modeled by a continuous‐time stationary Markov chain. The asset value process and liability value process are modeled by Markov‐modulated geometric