检索结果-内蒙古大学图书馆

A lattice-based approach for life insurance pricing in a stochastic correlation framework

MATHEMATICS AND COMPUTERS IN SIMULATION 2025年 235卷 145-159页

作者： Costabile, Massimo Massabo, Ivar Russo, Emilio Staino, Alessandro Mamon, Rogemar Zhao, Yixing Univ Calabria Dept Econ Stat & Finance Arcavacata Di Rende CS Italy Univ Western Ontario Dept Stat & Actuarial Sci London ON Canada Univ Philipines Visayas Miagao Div Phys Sci & Math Iloilo Philippines Guangdong Univ Foreign Studies Sch Finance Guangzhou Guangdong Peoples R China

We propose a new implementation approach in insurance product valuation to capture the stochastic correlation between financial and demographic factors. This is important to accommodate the prevailing situation where the interest rate and mortality intensity move jointly and randomly. A stochastic correlation model is considered where it follows a diffusion process that may assume the form of a bounded Jacobi process or of a transformed modified Ornstein-Uhlenbeck process. Our contributions strengthen the general modelling set up of dependent financial and actuarial risks. We put forward a discrete-time pricing model that supports the valuation of a relatively wide class of insurance products. Specifically, the pricing of contracts, with an embedded surrender option for which no explicit formulae are available, is facilitated with ease. We customise the construction of lattice discretisations that admit a large set of risk processes having appropriate specifications. In particular, the interest rate, mortality and correlation dynamics are discretised via three different binomial lattices that are then assembled to create a trivariate lattice structured with eight branches for each node. Numerical experiments involving some stylised insurance contracts are conducted. Such experiments confirm the accuracy and efficiency of our proposed approach with respect to two benchmarks: the Monte-Carlo simulation method, and the method and results by Devolder et al. (2024).

关键词： Stochastic interest rate Stochastic mortality Stochastic correlation binomial algorithms Lattice models Insurance products

来源：评论

学校读者我要写书评

暂无评论

Fair valuations of insurance policies under multiple risk factors: A flexible lattice approach

引用

ASTIN BULLETIN-THE JOURNAL OF THE INTERNATIONAL ACTUARIAL ASSOCIATION 2024年第2期54卷 385-409页

作者： Devolder, Pierre Russo, Emilio Staino, Alessandro UC Louvain Louvain Inst Data Anal & Modeling Econ & Stat B-1348 Louvain La Neuve Belgium Univ Calabria Dept Econ Stat & Finance I-87036 Arcavacata Di Rende CS Italy

We propose a flexible lattice model to evaluate the fair value of insurance contracts embedding both financial and actuarial risk factors. Flexibility relies on the ability of the model to manage different specifications of the correlated processes governing interest rate, mortality, and fund dynamics, thus allowing the insurer to make the most appropriate choices. The model is also able to handle additional guarantees like a surrender opportunity for which explicit formulae are not available being it similar to an American derivative. The model discretizes mortality and interest rate dynamics through two different binomial lattices and then combines them into a bivariate tree characterized by the presence of four branches for each node. The probability of each branch is defined to replicate the correlation affecting the two processes. The bivariate model is useful to compute the value of survival zero coupon bond. When adding another source of risk, such as the fund dynamics for evaluating fund-linked insurance products, we model it through a bivariate tree that captures the influence of the interest rate on its drift term. Then, the mortality risk is embedded by defining a trivariate tree presenting eight branches emanating from each node with probabilities defined in order to capture the correlations of the processes. Extensive numerical experiments assess the model accuracy by considering some stylized policies, but the model application is not limited to them being it able to manage different contract specifications.

关键词： Stochastic interest rate stochastic mortality binomial algorithms multiple risk factors lattice models

来源：评论

学校读者我要写书评

暂无评论

Lattice-based model for pricing contingent claims under mixed fractional Brownian motion

引用

COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION 2023年 118卷

作者： Costabile, Massimo Massabo, Ivar Russo, Emilio Staino, Alessandro Univ Calabria Dept Econ Stat & Finance Ponte Bucci cubo 1 C I-87036 Arcavacata Di Rende CS Italy

We propose a lattice-based model to approximate the dynamics of an asset with diffusion driven by a mixed fractional Brownian motion. Being it defined as the sum of a fractional Brownian motion and an independent Brownian motion, the method starts by discretizing separately the two processes. For the first process, we develop a binomial approach that is able to replicate the process variance at each discrete epoch, while a recombining binomial lattice is used to discretize the Brownian motion. Given the fractional Brownian motion path-dependency, the binomial approach is not recombining. Hence, to reduce the computational complexity, we establish a grid of representative values whose elements cover the range of possible asset values at each time slice. For each value of the grid, the algorithm identifies four successors in a bivariate environment. The successors may not appear among the generated asset values at the next epoch. In such cases, interpolation techniques are needed when solving backward to compute the initial value of the contingent claim. The proposed discretization allows to evaluate both European and American derivatives and numerical experiments confirm its accuracy and efficiency. (c) 2022 Elsevier B.V. All rights reserved.

关键词： Mixed fractional Brownian motion American options binomial algorithms Discrete-time models

来源：评论

学校读者我要写书评

暂无评论

A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY

引用

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE 2018年第4期21卷

作者： Russo, Emilio Staino, Alessandro Univ Calabria Dept Econ Stat & Finance Cubo 1C I-87036 Arcavacata Di Rende CS Italy

We propose a flexible lattice model for pricing bonds and interest-sensitive claims under stochastic volatility, which is able to accommodate different dynamics specifications, and permits correlation between the interest rate and volatility diffusion. The model is based on the forward shooting grid method where the volatility process, as the primary state variable, is discretized by means of a recombining binomial tree. Then, the interest rate, as the auxiliary state variable, is discretized by attaching a subset of representative realizations to each node of the volatility lattice to cover the range of possible interest rates at each time slice. Finally, we develop a bivariate lattice presenting four branches for each node, where the joint probabilities for the possible jumps embed the correlation. Since the model works on representative interest rate values, a linear interpolation technique is used when solving backward through the lattice to compute the bond present value or the interest-sensitive claim price.

关键词： Interest-sensitive claims stochastic volatility binomial algorithms

来源：评论

学校读者我要写书评

暂无评论

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

引用

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

来源：评论

学校读者我要写书评

暂无评论

A binomial approximation for two-state Markovian HJM models

引用

REVIEW OF DERIVATIVES RESEARCH 2011年第1期14卷 37-65页

作者： Costabile, Massimo Massabo, Ivar Russo, Emilio Univ Calabria Dept Business Adm I-87036 Arcavacata Di Rende CS Italy

This article develops a lattice algorithm for pricing interest rate derivatives under the Heath et al. (Econometrica 60:77-105, 1992) paradigm when the volatility structure of forward rates obeys the Ritchken and Sankarasubramanian (Math Financ 5:55-72) condition. In such a framework, the entire term structure of the interest rate may be represented using a two-dimensional Markov process, where one state variable is the spot rate and the other is an accrued variance statistic. Unlike in the usual approach based on the Nelson-Ramaswamy (Rev Financ Stud 3:393-430) transformation, we directly discretize the heteroskedastic spot rate process by a recombining binomial tree. Further, we reduce the computational cost of the pricing problem by associating with each node of the lattice a fixed number of accrued variance values computed on a subset of paths reaching that node. A backward induction scheme coupled with linear interpolation is used to evaluate interest rate contingent claims.

关键词： Interest rate options Contingent claims binomial algorithms Discrete-time models

来源：评论

学校读者我要写书评

暂无评论

On pricing arithmetic average reset options with multiple reset dates in a lattice framework

引用

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 2011年第17期235卷 5307-5325页

作者： Costabile, Massimo Massabo, Ivar Russo, Emilio Univ Calabria Dept Business Adm I-87036 Arcavacata Di Rende CS Italy

We develop a straightforward algorithm to price arithmetic average reset options with multiple reset dates in a Cox et al. (CRR) (1979) [10] framework. The use of a lattice approach is due to its adaptability and flexibility in managing arithmetic average reset options, as already evidenced by Kim et al. (2003) [9]. Their model is based on the Hull and White (1993) [5] bucketing algorithm and uses an exogenous exponential function to manage the averaging feature, but their choice of fictitious values does not guarantee the algorithm's convergence (cfr., Forsyth etal. (2002) [11]). We propose to overcome this drawback by selecting a limited number of trajectories among the ones reaching each node of the lattice, where we compute effective averages. In this way, the computational cost of the pricing problem is reduced, and the convergence of the discrete time model to the corresponding continuous time one is guaranteed. (c) 2011 Elsevier B.V. All rights reserved.

关键词： Reset options binomial algorithms Discrete time models

来源：评论

学校读者我要写书评

暂无评论

A binomial model for valuing equity-linked policies embedding surrender options

引用

INSURANCE MATHEMATICS & ECONOMICS 2008年第3期42卷 873-886页

作者： Costabile, Massimo Massabo, Ivar Russo, Emilio Univ Calabria Dipartimento Scienze Aziendali I-87036 Arcavacata Di Rende CS Italy

The computation of the fair periodical premiums for equity-linked policies in a Cox-Ross-Rubinstein (CRR) [Cox, J.C., et all., 1979. Option pricing: A simplified approach. J. Financial Economics 7, 229-263] evaluation framework is computationally complex. In fact, despite we assume that the equity value evolves according to a CRR lattice, the dynamics of the reference fund made up of equities of the same kind is described by a non-recombining tree since, at each contribution date, a constant contribution is added to the fund value. We propose to overcome this problem by selecting representative values among all the effective reference fund values. Then, the fair periodical premiums for equity-linked policies embedding a surrender option and a minimum guarantee are computed following the usual backward-induction scheryle coupled with linear interpolation. (c) 2007 Elsevier B.V. All rights reserved.

关键词： equity-linked binomial algorithms discrete-time models

来源：评论

学校读者我要写书评

暂无评论

An adjusted binomial model for pricing Asian options

引用

REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING 2006年第3期27卷 285-296页

作者： Costabile, Massimo Massabo, Ivar Russo, Emilio Univ Calabria Dipartimento Sci Aziendali Ponte Bucci Cubo 3 C I-87030 Arcavacata Di Rende Italy Univ Bergamo Dipartimento Matemat Stat Informat & Applicazioni I-24127 Bergamo Italy

We propose a model for pricing both European and American Asian options based on the arithmetic average of the underlying asset prices. Our approach relies on a binomial tree describing the underlying asset evolution. At each node of the tree we associate a set of representative averages chosen among all the effective averages realized at that node. Then, we use backward recursion and linear interpolation to compute the option price.

关键词： Asian options binomial algorithms Discrete-time models

来源：评论

学校读者我要写书评

暂无评论

End-to-end rate-based congestion control: Convergence properties and scalability analysis

引用

IEEE-ACM TRANSACTIONS ON NETWORKING 2003年第4期11卷 564-577页

作者： Loguinov, D Radha, H Texas A&M Univ Dept Comp Sci College Stn TX 77843 USA Michigan State Univ Dept Elect & Comp Engn E Lansing MI 48824 USA

In this paper, we study several properties of binary-feedback congestion control in rate-based applications. We first derive necessary conditions for generic binary-feedback congestion control to converge to fairness monotonically (which guarantees asymptotic stability of the fairness point) and show that AIMD is the only TCP-friendly binomial control with monotonic convergence to fairness. We then study steady-state behavior of binomial controls with n competing flows on a single bottleneck. Our main result here shows that combined probing for new bandwidth by all flows results in significant overshoot of the available bandwidth and rapid (often super-linear as a function of n) increase in packet loss. We also show that AIMD has the best scalability and lowest packet-loss increase among all TCP-friendly binomial schemes. We conclude the paper by deriving the conditions necessary to achieve constant packet loss regardless of the number of competing flows n and examine one new scheme with such constant packet loss called ideally scalable congestion control in both simulation and streaming experiments.

关键词： binomial algorithms congestion control MPEG-4 multimedia streaming packet loss scalability

来源：评论

学校读者我要写书评

暂无评论

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

请选择保存的检索档案：

请选择收藏分类：

通借通还

建议与咨询 留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

请选择保存的检索档案： 新增检索档案 确定 取消

请选择收藏分类： 新增自定义分类 确定 取消

通借通还

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

请选择保存的检索档案：

请选择收藏分类：