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 ...
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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.
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...
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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.
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 intere...
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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.
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...
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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.
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. ...
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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.
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, ...
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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.
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...
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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.
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