Closed-Form Valuation of Discounted Cash Flows with Finite Poisson Arrivals in a Finite Horizon
This paper derives a closed-form expression for the expected discounted value of aggregate cash flows when arrival times follow a Poisson process but both the time horizon and the number of arrivals are finite. The result provides a tractable analytical formula for the expected discounted sum under simultaneous constraints on time and arrival counts. We show that the expression converges to the well-known infinite-horizon and infinite-arrival results as limiting cases. Numerical illustrations demonstrate the behavior of the formula under different parameter values. The result can be interpreted as the valuation of a discounted compound Poisson process with finite constraints and may be useful in stochastic modeling and risk-analysis applications. The proposed formula provides a simple analytical tool for evaluating discounted losses or revenues in finite risk portfolios.
Authors
- Yuto Kitamura
- Makoto Shimoshimizu (ORCID: https://orcid.org/0000-0003-4317-2016)
- Yuta Kudo
- Makoto Goto (ORCID: https://orcid.org/0009-0008-9756-6196)
Institutions
- Tokyo University of Science (JP)
Publication Details
- Journal
- Risks
- Published
- 2026-04-16
- DOI
- https://doi.org/10.3390/risks14040090
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00
Funders
- Japan Society for the Promotion of Science