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The hurdle-race problem. (English) Zbl 1103.91353

Summary: 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.

MSC:

91B28 Finance etc. (MSC2000)
91B82 Statistical methods; economic indices and measures
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