Mostrar o rexistro simple do ítem
Pricing pension plans under jump–diffusion models for the salary
dc.contributor.author | Calvo-Garrido, María-del-Carmen | |
dc.contributor.author | Vázquez, Carlos | |
dc.date.accessioned | 2024-01-29T19:29:07Z | |
dc.date.available | 2024-01-29T19:29:07Z | |
dc.date.issued | 2014 | |
dc.identifier.citation | Calvo-Garrido, M. C., & Vázquez, C. (2014). Pricing pension plans under jump–diffusion models for the salary. Computers & Mathematics with Applications, 68(12, Part A), 1933-1944. https://doi.org/10.1016/j.camwa.2014.10.002 | es_ES |
dc.identifier.uri | http://hdl.handle.net/2183/35210 | |
dc.description.abstract | [Abstract] In this paper we consider the valuation of a defined benefit pension plan in the presence of jumps in the underlying salary and including the possibility of early retirement. We will consider that the salary follows a jump–diffusion model, thus giving rise to a partial integro-differential equation (PIDE). After posing the model, we propose the appropriate numerical methods to solve the PIDE problem. These methods mainly consists of Lagrange–Galerkin discretizations combined with augmented Lagrangian active set techniques and with the explicit treatment of the integral term. Finally, we compare the numerical results with those ones obtained with Monte Carlo techniques. | es_ES |
dc.description.sponsorship | This paper has been partially funded by MCINN (Project MTM2010-21135-C02-01 and MTM2013-47800-C2-1-P) and by Xunta de Galicia (Ayuda GRC2014/044, partially funded with FEDER funds). | es_ES |
dc.description.sponsorship | Xunta de Galicia; GRC2014/044 | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | Elsevier | es_ES |
dc.relation | Info:eu-repo/grantAgreement/MCINN/Plan Nacional de I+D+i 2008-2011/MTM2010–21135–C02-01/ES/MODELOS, ANALISIS MATEMATICO Y RESOLUCION NUMERICA DE ALGUNOS PROBLEMAS EN CIENCIA E INGENIERIA BASADOS EN EDPS | es_ES |
dc.relation | Info:eu-repo/grantAgreement/MCINN/ Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/MTM2013-47800-C2-1-P/ES/ MODELADO MATEMATICO, ANALISIS Y SIMULACION NUMERICA DE PROBLEMAS EN FINANZAS Y SEGUROS, PROCESOS INDUSTRIALES, BIOTECNOLOGIA Y MEDIOAMBIENTE | es_ES |
dc.relation.uri | https://doi.org/10.1016/j.camwa.2014.10.002 | es_ES |
dc.rights | Creative Commons Attribution-NonCommercial-NoDerivs 4.0 International (CC-BY-NC-ND) | es_ES |
dc.rights | © 2014 Elsevier Ltd. All rights reserved | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | * |
dc.subject | Pension plans | es_ES |
dc.subject | Jump–diffusion models | es_ES |
dc.subject | Option pricing | es_ES |
dc.subject | Complementarity problem | es_ES |
dc.subject | Numerical methods | es_ES |
dc.subject | Augmented Lagrangian Active Set formulation | es_ES |
dc.title | Pricing pension plans under jump–diffusion models for the salary | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.rights.access | info:eu-repo/semantics/openAccess | es_ES |
UDC.journalTitle | Computers and Mathematics with Applications | es_ES |
UDC.volume | 68 | es_ES |
UDC.issue | 12, Part A | es_ES |
UDC.startPage | 1933 | es_ES |
UDC.endPage | 1944 | es_ES |
dc.identifier.doi | https://doi.org/10.1016/j.camwa.2014.10.002 |
Ficheiros no ítem
Este ítem aparece na(s) seguinte(s) colección(s)
-
GI-M2NICA - Artigos [75]