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A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders

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DECISIONS IN ECONOMICS AND FINANCE 2022年第1期45卷 415-446页

作者： De Angelis, Paolo De Marchis, Roberto Martire, Antonio L. Russo, Emilio Univ Roma La Sapienza Dept Methods & Models Econ Terr & Finance Via Castro Laurenziano 9 I-00161 Rome Italy Univ Calabria Dept Econ Stat & Finance Ponte Bucci Cubo 1C I-87036 Arcavacata Di Rende CS Italy

In a market where a stochastic interest rate component characterizes asset dynamics, we propose a flexible lattice framework to evaluate and manage options on equities paying discrete dividends and variable annuities presenting some provisions, like a guaranteed minimum withdrawal benefit. The framework is flexible in that it allows to combine financial and demographic risk, to embed in the contract early exercise features, and to choose the dynamics for interest rates and traded assets. A computational problem arises when each dividend (when valuing an option) or withdrawal (when valuing a variable annuity) is paid, because the lattice lacks its recombining structure. The proposed model overcomes this problem associating with each node of the lattice a set of representative values of the underlying asset (when valuing an option) or of the personal subaccount (when valuing a variable annuity) chosen among all the possible ones realized at that node. Extensive numerical experiments confirm the model accuracy and efficiency.

关键词： binomial algorithm Bivariate lattice Discrete dividends Variable annuity Guaranteed minimum withdrawal benefit Surrender option

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A lattice approach to evaluate participating policies in a stochastic interest rate framework

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JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 2021年 385卷 113212-113212页

作者： Costabile, Massimo Massabo, Ivar Russo, Emilio Staino, Alessandro Univ Calabria Dept Econ Stat & Finance Ponte Bucci Cubo 0C I-87036 Arcavacata Di Rende CS Italy

To achieve the accurate evaluation and management of the risk affecting long-term life insurance contracts, the insurer cannot leave aside the consideration of stochastic dynamics not only for the company's assets but also for the interest rate. The aim of this paper is to provide, in such a framework, a flexible method for evaluating participating policies, life insurance products that combine financial and demographic risks, and provide benefits linked to the company's asset returns. Participating policies embedding not only a minimum guaranteed bonus rate but also a surrender option are analyzed. The method is flexible in that it allows the insurer to choose the most appropriate dynamics, both for the interest rate and the company's asset, among the ones widely diffused in finance. Lattice-based procedures are used to discretize the continuous time processes, and to provide a comprehensive evaluation method. (C) 2020 Elsevier B.V. All rights reserved.

关键词： Participating policies Stochastic interest rates Surrender option binomial algorithm Discrete-time model

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A bivariate model for evaluating equity-linked policies with surrender option

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SCANDINAVIAN ACTUARIAL JOURNAL 2016年第3期2016卷 246-261页

作者： De Angelis, Paolo Martire, Antonio Luciano Russo, Emilio Univ Roma La Sapienza Dept Stat Sci I-00185 Rome Italy Univ Calabria Dept Econ Stat & Finance I-87036 Arcavacata Di Rende Italy

This article proposes a bivariate lattice model for evaluating equity-linked policies embedding a surrender option when the underlying equity dynamics is described by a geometric Brownian motion with stochastic interest rate. The main advantage of the model stays in that the original processes for the reference fund and the interest rate are directly discretized by means of lattice approximations, without resorting to any additional transformation. Then, the arising lattices are combined in order to establish a bivariate tree where equity-linked policy premiums are computed by discounting the policy payoff over the lattice branches, and allowing early exercise at each premium payment date to model the surrender decision.

关键词： equity-linked binomial algorithm bivariate lattice discrete-time model

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Mit :: Lcs :: Tr :: Mit-Lcs-Tr-806

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2016年

Mit :: Lcs :: Tr :: Mit-Lcs-Tr-806 by published by

关键词： acm sigcomm aimd algorithm algorithms binomial binomial algorithm binomial algorithms congestion congestion control control control algorithms loss rate mit-lcs-tr-806 queue management rtt slow start sqrt tcp tcp aimd window window variation

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Performance analysis for uniform and binomial distribution on contention window using different hop distance

Performance analysis for uniform and binomial distribution o...

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International Conference on Wireless and Telematics (ICWT)

作者： Nurain Izzati Shuhaimi Heriansyah Tutun Juhana Adit Kurniawan Universiti Teknologi MARA Shah Alam Selangor MY Sekolah Teknik Elektro dan Informatika Institut Teknologi Bandung Jl Ganesa No. 10 Bandung Indonesia

In this paper, we present a mathematical analysis on the performance of uniformly distributed and non-uniformly distributed backoff timer based on binomial algorithm for contention window. We evaluates these protocols under mathematical modelling in order to analyze the average throughput, end-to-end delay and collision probability performance by using different value of hop distance during data transmission process by varying number of nodes from 50 to 300 vehicles. The simulation results show that binomial distribution outperforms the conventional uniform distribution in terms of throughput, delay and collision probability in all scenarios. We also can observed that by using longer hop distance, the better performances have been achieved in both distributions, particularly by using binomial distribution. Thus we can say that the binomial probability distribution that is specifically designed to replace the conventional uniform probability distribution in order to differentiate the selection probability during the backoff process of selecting the transmission slot can be implemented in MAC protocol for vehicular network.

关键词： MAC protocol Uniform and non-uniformly distibuted backoff timer binomial algorithm HOPPING DISTANCE MAC protocol Methotrexate-Actinomycin-Chlorambucil Regimen binomial Distribution Probability distribution collision probability backoff

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Flexible simulation of competing risks data following prespecified subdistribution hazards

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JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION 2014年第12期84卷 2557-2576页

作者： Haller, Bernhard Ulm, Kurt Tech Univ Munich Inst Med Stat & Epidemiol D-80290 Munich Germany

In recent years different approaches for the analysis of time-to-event data in the presence of competing risks, i. e. when subjects can fail from one of two or more mutually exclusive types of event, were introduced. Different approaches for the analysis of competing risks data, focusing either on cause-specific or subdistribution hazard rates, were presented in statistical literature. Many new approaches use complicated weighting techniques or resampling methods, not allowing an analytical evaluation of these methods. Simulation studies often replace analytical comparisons, since they can be performed more easily and allow investigation of non-standard scenarios. For adequate simulation studies the generation of appropriate random numbers is essential. We present an approach to generate competing risks data following flexible prespecified subdistribution hazards. Event times and types are simulated using possibly time-dependent cause-specific hazards, chosen in a way that the generated data will follow the desired subdistribution hazards or hazard ratios, respectively.

关键词： event-time analysis competing risks subdistribution hazard simulation binomial algorithm

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Recursive multi-factoring algorithm for MPI_Allreduce

Recursive multi-factoring algorithm for MPI_Allreduce

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International Conference on Parallel and Distributed Computing and Networks

作者： Imamura, Toshiyuki Univ Electro Commun Dept Comp Sci Chofu Tokyo 1828585 Japan

ISBN: (纸本)9780889866379

This paper shows an effective all-reduction algorithm and its implementation on the Message Passing Interface. It performs comparatively stable in case not only composite numbers of processors but also prime numbers, since we introduce the process detachment strategy on each factorizing stage. On a preliminary test, we examine its efficiency, and we discuss and compare it with the existing algorithms by introducing a performance model of our algorithm.

关键词： collective communication MPI Allreduce binary-based algorithm binomial algorithm Rabensefner's algorithm

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binomial congestion control at Receivers for Multicast

Binomial congestion control at Receivers for Multicast

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Conference on Performance, Quality of Service, and Control of Next-Generation Communication Networks II

作者： Zhang, B Liu, ZJ Xu, YY Li, Z Zhang, S Xidian Univ State Key Lab Integrated Serv Networks Xian 710071 Peoples R China

ISBN: (纸本)0819455512

A single rate multicast congestion control for streaming media applications called binomial congestion control At Receivers for Multicast (BARM) is proposed. Combining aspects of window-based and rate-based congestion control the protocol shifts most of the congestion control mechanisms to multicast receivers. The main features of BARM are as follows. (1) The protocol adopts binomial algorithm (k=1=0.5. alpha=0.28. beta=0.2 for our implementation) to adjust congestion window, which not only provides TCP-friendliness but decreases abrupt rate fluctuations. making it suitable for real time streaming media multicast applications. (2) The binomial algorithm is executed at the receivers instead of at the sender: to do this, a congestion window is maintained and updated separately by each receiver. Hence the protocol not only has a better scalability but reduces the burden of the sender significantly and is suitable to Client/Server model. (3) The congestion window is converted to the expected receiving rate which is then fed back to the sender if permitted. Compared to window feedback scheme, rate feedback scheme is simpler and increases the scalability (4) The representative approach is used to suppress the feedback implosion. Simulations results indicate that BARM shows good fairness, TCP-friendliness, smoothness, scalability, and acceptable responsiveness.

关键词： congestion control multicast binomial algorithm streaming media TCP-friendliness

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