We reveal pitfalls in the hedging of insurance contracts with a minimum return guarantee on the underlying investment, e.g. an external mutual fund. We analyze basis risk entailed by hedging the guarantee with a dynamic portfolio of proxy assets for the funds. We also take account of liquidity risk which arises since the insurer may need to advance funds for performing the hedge. Based on a lea...

In this article we propose several pathwise and finite difference based methods for calculating sensitivities of Bermudan options using regression methods and Monte Carlo simulation. These methods rely on conditional probabilistic representations which allow, in combination with a regression approach, for efficient simultaneous computation of sensitivities at many initial positions. Assuming th...

A novel algorithm for source location by utilizing the time difference of arrival (TDOA) measurements of a signal received at spatially separated sensors is proposed. The algorithm is based on quadratic constraint total least-squares (QC-TLS) method and gives an explicit solution. The total least-squares method is a generalized data fitting method that is appropriate for cases when the system m...

A novel iterative channel estimation algorithm for orthogonal frequency-division multiplexing (OFDM) systems in fast time-varying environment is proposed. Instead of directly estimate the original channel taps, the proposed estimation focus on the rest channel part from the original channel taps subtracted by the prior estimation results in the absence of any channel information. The initial re...

This paper reports on the quantification of light transport in apple models using Monte Carlo simulations. To this end, apple was modeled as a two-layer spherical model including skin and flesh bulk tissues. The optical properties of both tissue types used to generate Monte Carlo data were collected from the literature, and selected to cover a range of values related to three apple varieties. T...

Within the European Union, risk-based funding requirements for life insurance companies are currently being revised as part of the Solvency II project. However, many insurers are struggling with the implementation, which is in part due to the inefficient methods underlying their numerical computations. We review these methods and propose a significantly faster approach for the calculation of th...

We present a numerical method for pricing Bermudan options depending on a large number of underlyings. The asset prices are modeled with exponential time-inhomogeneous jump-diffusion processes. We improve the least-squares Monte Carlo method proposed by Longstaff and Schwartz introducing an efficient variance reduction scheme. A control variable is obtained from a low-dimensional approximation ...

We consider the tting of latent Gaussian models to categorical time series of cow feeding data. We derive a spectral quasi-likelihood for the data, and compare it with least squares ts to autocorrelations and MCMC estimators of the parameters in thresholded ARMA processes. We show that the spectral method is more e cient than least squares and far faster than MCMC.

Percival and Walden (2002) present a wavelet methodology of the least squaresestimation of the long memory parameter for fractionally differenced processes. Wesuggest that the general idea of using wavelets for estimating long memory could beused for the estimation of long memory in time series perturbed by noise. One prominentexample thereof is the time series of log-Garman-Kla...