Search results for "stochastic"
showing 10 items of 1018 documents
Asset and Liability Management for Insurance Products with Minimum Guarantees: The UK Case
2006
Abstract Modern insurance products are becoming increasingly complex, offering various guarantees, surrender options and bonus provisions. A case in point are the with-profits insurance policies offered by UK insurers. While these policies have been offered in some form for centuries, in recent years their structure and management have become substantially more involved. The products are particularly complicated due to the wide discretion they afford insurers in determining the bonuses policyholders receive. In this paper, we study the problem of an insurance firm attempting to structure the portfolio underlying its with-profits fund. The resulting optimization problem, a non-linear program…
Financial and fiscal shocks in the great recession and recovery of the Spanish economy
2020
In this paper we develop and estimate a new Bayesian DSGE model for the Spanish economy that has been designed to evaluate different structural reforms. The small open economy model incorporates a banking sector, consumers and entrepreneurs who accumulate debt, and a rich fiscal structure and monopolistic competition in products and labor markets, for a country in a currency union, with no independent monetary policy. The model can be used to evaluate ex-ante and ex-post policies and structural reforms and to decompose the evolution of macroeconomic aggregates according to different shocks. In particular, we estimate the contribution of financial and fiscal shocks to both the crisis of the …
Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis
2009
In this paper we use principal components analysis to obtain vulnerability indicators able to predict financial turmoil. Probit modelling through principal components and also stochastic simulation of a Dynamic Factor model are used to produce the corresponding probability forecasts regarding the currency crisis events affecting a number of East Asian countries during the 1997-1998 period. The principal components model improves upon a number of competing models, in terms of out-of-sample forecasting performance.
A Stochastic Programming Model for the Optimal Issuance of Government Bonds
2010
Sovereign states issue fixed and floating securities to fund their public debt. The value of such portfolios strongly depends on the fluctuations of the term structure of interest rates. This is a typical example of planning under uncertainty, where decisions has to be drawn on the base of the key stochastic economic factors underneath the model.We propose a multistage stochastic programming model to select portfolios of bonds, where the aim of the decision maker is that of minimizing the cost of the decision process. At the same time, we bound the conditional Value-at-Risk, a measure of risk which accounts for the losses of the tail distribution. We build an efficient frontier to trade-off…
Tracking of Quantized Signals Based on Online Kernel Regression
2021
Kernel-based approaches have achieved noticeable success as non-parametric regression methods under the framework of stochastic optimization. However, most of the kernel-based methods in the literature are not suitable to track sequentially streamed quantized data samples from dynamic environments. This shortcoming occurs mainly for two reasons: first, their poor versatility in tracking variables that may change unpredictably over time, primarily because of their lack of flexibility when choosing a functional cost that best suits the associated regression problem; second, their indifference to the smoothness of the underlying physical signal generating those samples. This work introduces a …
A stochastic approach for self-healing capability evaluation in active islanded AC/DC hybrid microgrids
2023
This paper aims to implement a resilience assessment in AC/DC hybrid microgrids using a stochastic simulation approach. Self-healing measures including load shedding, control of distributed generation and flexible devices, like Energy Storage Systems (ESS) and Electrical Vehicles (EVs), are simulated to enable AC/DC hybrid microgrids to supply critical loads in islanded mode, assuming a disconnection of these microgrids from the main AC grid due to a fault. To perform this analysis, a two-stage process is proposed: first, a Monte-Carlo simulation-based stochastic approach is adopted to generate samples to simulate intermittent loads, power generation from Renewable Energy Sources (RESs), an…
Stability in a System subject to Noise with Regulated Periodicity
2011
The stability of a simple dynamical system subject to multiplicative one-side pulse noise with hidden periodicity is investigated both analytically and numerically. The stability analysis is based on the exact result for the characteristic functional of the renewal pulse process. The influence of the memory effects on the stability condition is analyzed for two cases: (i) the dead-time-distorted poissonian process, and (ii) the renewal process with Pareto distribution. We show that, for fixed noise intensity, the system can be stable when the noise is characterized by high periodicity and unstable at low periodicity.
Two competing species in super-diffusive dynamical regimes
2010
The dynamics of two competing species within the framework of the generalized Lotka-Volterra equations, in the presence of multiplicative alpha-stable Lévy noise sources and a random time dependent interaction parameter, is studied. The species dynamics is characterized by two different dynamical regimes, exclusion of one species and coexistence of both, depending on the values of the interaction parameter, which obeys a Langevin equation with a periodically fluctuating bistable potential and an additive alpha-stable Lévy noise. The stochastic resonance phenomenon is analyzed for noise sources asymmetrically distributed. Finally, the effects of statistical dependence between multiplicative …
MEAN FIELD APPROACH AND ROLE OF THE COLOURED NOISE IN THE DYNAMICS OF THREE INTERACTING SPECIES
2010
We study the effects of the coloured noise on the dynamics of three interacting species, namely two preys and one predator, in a two-dimensional lattice with N sites. The three species are affected by multiplicative time correlated noise, which accounts for the effects of environment on the species evolution. Moreover, the interaction parameter between the two preys is a dichotomous stochastic process, which determines two dynamical regimes corresponding to different biological conditions. Preliminarily, we study the noise effect on the three species dynamics in single site. Then, we use a mean field approach to obtain, in Gaussian approximation, the moment equations for the species densiti…
Stochastic resonance in a trapping overdamped monostable system.
2009
The response of a trapping overdamped monostable system to a harmonic perturbation is analyzed, in the context of stochastic resonance phenomenon. We consider the dynamics of a Brownian particle moving in a piecewise linear potential with a white Gaussian noise source. Based on linear-response theory and Laplace transform technique, analytical expressions of signal-to-noise ratio (SNR) and signal power amplification (SPA) are obtained. We find that the SNR is a nonmonotonic function of the noise intensity, while the SPA is monotonic. Theoretical results are compared with numerical simulations.