Cox-Ingersoll-Ross Process

Critical Dynamics of Random Surfaces: Time Evolution of Area and Genus ArXiv ID: 2409.05547 “View on arXiv” Authors: Unknown Abstract Conformal field theories with central charge $c\le1$ on random surfaces have been extensively studied in the past. Here, this discussion is extended from their equilibrium distribution to their critical dynamics. This is motivated by the conjecture that these models describe the time evolution of certain social networks that are self-driven to a critical point. This paper focuses on the dynamics of the overall area and the genus of the surface. The time evolution of the area is shown to follow a Cox Ingersol Ross process. Planar surfaces shrink, while higher genus surfaces grow to a size of order of the inverse cosmological constant. The time evolution of the genus is argued to lead to two different phases, dominated by (i) planar surfaces, and (ii) ``foamy’’ surfaces, whose genus diverges. In phase (i), which exhibits critical phenomena, time variations of the order parameter are approximately t-distributed with 4 or more degrees of freedom. ...

The Life Care Annuity: enhancing product features and refining pricing methods ArXiv ID: 2404.02858 “View on arXiv” Authors: Unknown Abstract The state-of-the-art proposes Life Care Annuities, that have been recently designed as variable annuity contracts with Long-Term Care payouts and Guaranteed Lifelong Withdrawal Benefits. In this paper, we propose more general features for these insurance products and refine their pricing methods. We name our proposed product GLWB-LTC''. In particular, as to the product features, we allow dynamic withdrawal strategies, including the surrender option. Furthermore, we consider stochastic interest rates, described by a Cox-Ingersoll-Ross process. As to the numerical methods, we solve the stochastic control problem involved by the selection of the optimal withdrawal strategy through a robust tree method, which outperforms the Monte Carlo approach. We name this method Tree-LTC’’, and we use it to estimate the fair price of the product, as some relevant parameters vary, such as, for instance, the entry age of the policyholder. Furthermore, our numerical results show how the optimal withdrawal strategy varies over time with the health status of the policyholder. Our findings stress the important advantage of flexible withdrawal strategies in relation to insurance policies offering protection from health risks. Indeed, the policyholder is given more choice about how much to save for protection from the possible disability states at future times. ...