The authors use risk-neutral option pricing theory to value the guaranteed minimum death benefit (GMDB) in variable annuities (VAs) and some recently introduced mutual funds. A variety of deathâ€¦ (More)

Rates of convergence for nearest neighbor estimation are established in a general framework in terms of metric covering numbers of the underlying space. Our first result is to find explicit finiteâ€¦ (More)

As a byproduct of Theorem 3.1 we can give an estimate of the truncation error which arises if one ignores all the samples outside a finite interval. More precisely, we have the following corollary.â€¦ (More)

Let . . . be an arbitrary random process taking values in a totally bounded subset of a separable metric space. Associated with we observe drawn from an unknown conditional distribution ( = ) withâ€¦ (More)

Financial instruments whose payoffs are linked to exogenous events, such as the occurrence of a natural catastrophe or an unusual weather pattern depend crucially on actuarial models for determiningâ€¦ (More)

The authors construct a class of elementary nonparametric output predictors of an unknown discrete-time nonlinear fading memory system. Their algorithms predict asymptotically well for every boundedâ€¦ (More)

We consider the problem of learning of an arbitrary function selected from the non-smooth class of functions that are of bounded variation. Bounds on the prediction errors resulting from sequentialâ€¦ (More)