{"title":"A lattice-based approach for life insurance pricing in a stochastic correlation framework","authors":"Massimo Costabile , Ivar Massabó , Emilio Russo , Alessandro Staino , Rogemar Mamon , Yixing Zhao","doi":"10.1016/j.matcom.2025.03.027","DOIUrl":"10.1016/j.matcom.2025.03.027","url":null,"abstract":"<div><div>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).</div></div>","PeriodicalId":49856,"journal":{"name":"Mathematics and Computers in Simulation","volume":"235 ","pages":"Pages 145-159"},"PeriodicalIF":4.4,"publicationDate":"2025-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143777370","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Estevão G.C. Barreto , Tânia S. Klein , Sávio S.V. Vianna
{"title":"Modelling of the additional motion resistance term in CFD simulations using porosity distributed resistance (PDR)","authors":"Estevão G.C. Barreto , Tânia S. Klein , Sávio S.V. Vianna","doi":"10.1016/j.matcom.2025.03.024","DOIUrl":"10.1016/j.matcom.2025.03.024","url":null,"abstract":"<div><div>The numerical simulation of turbulent flows through groups of obstacles is essential in various industrial applications, particularly in the numerical modelling of accidental explosions. In such contexts, particular attention must be given to small-scale objects that impose flow resistance and contribute to turbulence generation. The Porosity Distributed Resistance (PDR) approach has been introduced as a practical method to address the complexity of simulating flow behaviour near small-scale objects. This study presents a novel model for the additional motion resistance term (<span><math><msub><mrow><mi>R</mi></mrow><mrow><mi>i</mi></mrow></msub></math></span>) within Computational Fluid Dynamics (CFD) simulations, specifically designed to enhance the PDR approach. Using CFD simulations conducted in CFX, we derived and validated the <span><math><msub><mrow><mi>R</mi></mrow><mrow><mi>i</mi></mrow></msub></math></span> model by comparing simulation results with empirical correlations, demonstrating its dependence on cell volumetric porosity. This model was subsequently implemented and tested in STOKES, a CFD software tailored for explosion simulations that incorporates the PDR methodology. Our study also investigated the effects of computational mesh resolution on porosity distribution within the domain. Two key conclusions emerged: first, the proposed model significantly improves simulation accuracy when coarse computational meshes are employed—typical for large-scale industrial simulations, including gas dispersion and explosion scenarios; second, at finer mesh resolutions, the PDR concept renders the <span><math><msub><mrow><mi>R</mi></mrow><mrow><mi>i</mi></mrow></msub></math></span> model impact negligible. Consequently, an influence radius is recommended for activating the <span><math><msub><mrow><mi>R</mi></mrow><mrow><mi>i</mi></mrow></msub></math></span> term, ensuring optimal application within the computational domain.</div></div>","PeriodicalId":49856,"journal":{"name":"Mathematics and Computers in Simulation","volume":"235 ","pages":"Pages 132-144"},"PeriodicalIF":4.4,"publicationDate":"2025-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143777371","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Dynamics of solitons and modulation instability in a (2+1)-dimensional coupled nonlinear Schrödinger equation","authors":"Vineesh Kumar , Arvind Patel , Monu Kumar","doi":"10.1016/j.matcom.2025.03.022","DOIUrl":"10.1016/j.matcom.2025.03.022","url":null,"abstract":"<div><div>This study uses the complex amplitude ansatz and semi-inverse methods to explore the closed-form exact optical soliton solutions of a (2+1)-dimensional coupled nonlinear Schrödinger (NLS) equation. Delving into the specified methods unveils the enigmatic dynamic presence of solitons within the solutions of the NLS equation. These methods produce specific possible solutions of the equation that contain enough free physical parameters. Also, the phase shift and intensity of the soliton solutions are presented. The results of produced solutions are reported as bright, anti-bright, dark, kink, anti-kink, stationary, and one-solitons. This study explores soliton solution of the NLS equation not known earlier. Furthermore, we performed a comprehensive modulation instability (MI) analysis using linear standard stability analysis, providing valuable insights into this phenomenon. Graphical representations of the solutions such as two-dimensional (2D), three-dimensional (3D), and contour plots have been illustrated with appropriate parameter values to provide additional insight into these innovative solutions. It is found that MI gain and instability bandwidth can be controlled by the equations parameter, initial incidence power and perturbation wave numbers.</div></div>","PeriodicalId":49856,"journal":{"name":"Mathematics and Computers in Simulation","volume":"235 ","pages":"Pages 95-113"},"PeriodicalIF":4.4,"publicationDate":"2025-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143761330","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Vertically averaged multi-constituent flow simulations of geological CO2 sequestration — Stabilized finite element methods and quadratic elements","authors":"Chris Ladubec , Robert Gracie","doi":"10.1016/j.matcom.2025.03.023","DOIUrl":"10.1016/j.matcom.2025.03.023","url":null,"abstract":"<div><div>This paper compares several stabilized Finite Element Methods (FEMs) at solving the vertically averaged multi-constituent flow for CO<sub>2</sub> sequestration. Non-physical oscillations can occur when using the Galerkin FEM. Linear elements have been previously studied and are not able to provide a complete representation of the stabilization term in the consistent stabilized FEMs. Quadratic elements solve this problem and also allow additional formulations to be compared.</div><div>Stability is not guaranteed when using implicit time integration on non-linear advection dominated problems. Therefore, several stabilization methods are considered: the Streamline-Upwind (SU and SU-<span><math><mrow><mn>8</mn><mi>τ</mi></mrow></math></span>) method, the Streamline-Upwind Petrov–Galerkin (SUPG) method, the Galerkin Least Squares (GLS) method, the Subgrid Scales (SGS) method, and the Hughes Variational Method (HVM).</div><div>Quadratic elements and consistent formulations improve stability when discretizing in time first. Inconsistent methods (SU and SU-<span><math><mrow><mn>8</mn><mi>τ</mi></mrow></math></span>) can perform well with linear or quadratic elements, however they are especially susceptible to over-diffusion. Suitable stabilization methods can be obtained for various injection scenarios, by selecting an appropriate combination of stabilization method, stabilization parameter, Courant number and element size.</div></div>","PeriodicalId":49856,"journal":{"name":"Mathematics and Computers in Simulation","volume":"235 ","pages":"Pages 114-131"},"PeriodicalIF":4.4,"publicationDate":"2025-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143768613","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Conditional generalized quantiles as systemic risk measures: Properties, estimation, and application","authors":"Arief Hakim, A.N.M. Salman, Khreshna Syuhada","doi":"10.1016/j.matcom.2025.03.011","DOIUrl":"10.1016/j.matcom.2025.03.011","url":null,"abstract":"<div><div>The conditional <span><math><msup><mrow><mi>L</mi></mrow><mrow><mn>1</mn></mrow></msup></math></span>-quantile, or simply conditional quantile, is vital for measuring systemic risk, i.e., the risk that the distress experienced by one or more financial markets spreads to the others. One may formulate conditional quantile-based value-at-risk (CoVaR), but it depends only on the probability of loss occurrence. Alternatively, one may define conditional expectile-based value-at-risk (CoEVaR) or <span><math><msup><mrow><mi>L</mi></mrow><mrow><mn>2</mn></mrow></msup></math></span>-CoVaR, but it is too sensitive and thus unrobust to extreme losses. In this paper, we aim to construct a generalized measure of systemic risk, called <span><math><msup><mrow><mi>L</mi></mrow><mrow><mi>p</mi></mrow></msup></math></span>-CoVaR, based on conditional <span><math><msup><mrow><mi>L</mi></mrow><mrow><mi>p</mi></mrow></msup></math></span>-quantiles when the conditioning risks are measured using <span><math><msup><mrow><mi>L</mi></mrow><mrow><mi>p</mi></mrow></msup></math></span>-VaR, where <span><math><mrow><mi>p</mi><mo>≥</mo><mn>1</mn></mrow></math></span>. We find that the <span><math><msup><mrow><mi>L</mi></mrow><mrow><mi>p</mi></mrow></msup></math></span>-VaR and <span><math><msup><mrow><mi>L</mi></mrow><mrow><mi>p</mi></mrow></msup></math></span>-CoVaR are coherent for all linear portfolios of elliptically distributed losses and are asymptotically coherent at high confidence level for independently and identically distributed losses with heavy right-tail. In addition, we determine their estimators and the respective asymptotic properties. In particular, we perform the <span><math><msup><mrow><mi>L</mi></mrow><mrow><mi>p</mi></mrow></msup></math></span>-CoVaR estimation using multivariate copulas, enabling us to link marginal risk models and capture their complex dependence. Our Monte Carlo simulation study demonstrates that the <span><math><msup><mrow><mi>L</mi></mrow><mrow><mi>p</mi></mrow></msup></math></span>-VaR and <span><math><msup><mrow><mi>L</mi></mrow><mrow><mi>p</mi></mrow></msup></math></span>-CoVaR estimators with <span><math><mrow><mn>1</mn><mo><</mo><mi>p</mi><mo><</mo><mn>2</mn></mrow></math></span>, respectively, exhibit relatively better (conditional) coverage performance than the VaR and CoVaR as well as EVaR and CoEVaR estimators. Furthermore, our empirical study based on cryptocurrency return data with the best-fitting dependence model having heavy-tailed margins and tail dependence structures validates this result. It also confirms that the <span><math><msup><mrow><mi>L</mi></mrow><mrow><mi>p</mi></mrow></msup></math></span>-VaR and <span><math><msup><mrow><mi>L</mi></mrow><mrow><mi>p</mi></mrow></msup></math></span>-CoVaR with <span><math><mrow><mn>1</mn><mo><</mo><mi>p</mi><mo><</mo><mn>2</mn></mrow></math></span> are, respectively, not as insensitive as VaR and CoVaR and not as sensitive as EVaR and CoEVaR to an extre","PeriodicalId":49856,"journal":{"name":"Mathematics and Computers in Simulation","volume":"235 ","pages":"Pages 60-84"},"PeriodicalIF":4.4,"publicationDate":"2025-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143739081","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Multi-breather asymptotics for a nonlinear Schrödinger equation arising in oceanography, plasma physics, Bose–Einstein condensation and fiber optics","authors":"Xi-Hu Wu , Yi-Tian Gao","doi":"10.1016/j.matcom.2025.03.018","DOIUrl":"10.1016/j.matcom.2025.03.018","url":null,"abstract":"<div><div>Nonlinear Schrödinger (NLS)-type equations describe various physics phenomena in the nonlinear media in oceanography, plasma physics, Bose–Einstein condensation and fiber optics. This paper deals with the <span><math><mi>N</mi></math></span>-breather solutions in the determinant form for a cubic-focusing NLS equation, claimed to be the most fundamental form among the NLS-type quations, where <span><math><mi>N</mi></math></span> is a positive integer. We carry out an asymptotic analysis on the <span><math><mi>N</mi></math></span>-breather solutions and obtain the algebraic expressions for the individual breather components. The physical characteristics of the <span><math><mi>N</mi></math></span> interacting breathers, including their characteristic lines, phase shifts, energy exchanges, periods, and extreme points, are discussed. Before and after the interactions, the <span><math><mi>N</mi></math></span> breather components pass through each other without any change in shape or velocity, while their solitary and periodic parts encounter the phase shifts. Taking the 3D plot and density plot of the two interacting breathers as an example, our asymptotic results are consistent with those plots. Our work may enhance the understanding of the multi-breather interactions in various physics contexts, and the method used can be extended to other NLS-type equations across the diverse physical phenomena.</div></div>","PeriodicalId":49856,"journal":{"name":"Mathematics and Computers in Simulation","volume":"235 ","pages":"Pages 85-94"},"PeriodicalIF":4.4,"publicationDate":"2025-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143739080","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Robust regulation of blood glucose for Type-1 diabetes using insulin infusion limiter-based feedback control via artificial Pancreas","authors":"Sajida Manzoor , Muhammad Rehan , Ijaz Ahmed","doi":"10.1016/j.matcom.2025.03.020","DOIUrl":"10.1016/j.matcom.2025.03.020","url":null,"abstract":"<div><div>This paper studies the feedback control of blood glucose concentration in Type-1 diabetes patients (T1DPs) through an artificial Pancreas via the glucose monitoring and insulin pump. For an artificial Pancreas, insulin infusion through a pump has been adapted by respecting the desired insulin infusion range for a patient. The insulin range has been incorporated by considering the lower and upper limits on the insulin infusion rate, which are maintained for a patient through the application of an asymmetric saturation nonlinearity (rate limiter). By incorporating the infusion rate range, the Bergman’s model of T1DPs via the saturated insulin input has been revised for attaining an improved model. To deal with the asymmetric saturation nonlinearity for positive systems, arising due to specific consideration of diabetes patients model, analytical investigations in terms of an inequality and signal transformation have been revealed. To control the glucose level and to keep the delivery of insulin within prescribed limits, a local feedback control strategy by application of the proposed analytical investigation of the nonlinearity has been provided. The proposed automatic control approach is more safe for a T1DP than the existing methods due to consideration of the desired insulin rate limits and positive input. In addition, a robust regulation strategy against variation in the glucose level, caused by the food intake, has also been provided in terms of linear matrix inequalities. The attained results can be applied for manufacturing a better device for the purpose of blood glucose regulation in T1DPs. A comparative simulation study to demonstrate the superiority of the proposed scheme has been provided at the end.</div></div>","PeriodicalId":49856,"journal":{"name":"Mathematics and Computers in Simulation","volume":"235 ","pages":"Pages 1-15"},"PeriodicalIF":4.4,"publicationDate":"2025-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143734912","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A computational method for finding feedback Nash equilibrium solutions (FBNES) in Nonzero-Sum Differential Games (NZSDG) Based on the Variational Iteration Method (VIM)","authors":"B. Kafash , Z. Nikooeinejad","doi":"10.1016/j.matcom.2025.03.016","DOIUrl":"10.1016/j.matcom.2025.03.016","url":null,"abstract":"<div><div>In this paper, we applied a semi-analytical approach called the Variational Iteration Method (VIM) to solve Nonzero-Sum Differential Games (NZSDGs). With this method, the Hamilton–Jacobi–Bellman (HJB) equation as a partial differential equation (PDE) is approximated iteratively using a correction function. This approach allows us to obtain approximations of the value functions, the feedback Nash equilibrium solutions (FBNES), and an estimation of the optimal performance index (PI). The proposed method provides a simple way to solve NZSDGs and is applied to obtain solutions for both linear-quadratic models in two scenarios and two applied nonlinear cases. Note that, to highlight their practical relevance, we have selected these models. The numerical results of the presented case studies demonstrate that the proposed method can generate approximate solutions with high accuracy. The convergence of the method, based on the Banach fixed point theorem (BFPT), is investigated and discussed in all examples. Additionally, a comparative analysis evaluates the efficiency and accuracy of the proposed method against the backward fourth-order Runge–Kutta (BRK4) method and the backward finite difference (BFD) scheme. Results show that VIM achieves similar or higher accuracy with significantly fewer iterations, while enhancing computational efficiency. Unlike the BRK4 and BFD methods, which rely on discretization, the VIM generates a continuous analytical solution, offering greater flexibility and improved accuracy for solving differential game problems.</div></div>","PeriodicalId":49856,"journal":{"name":"Mathematics and Computers in Simulation","volume":"235 ","pages":"Pages 37-59"},"PeriodicalIF":4.4,"publicationDate":"2025-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143739079","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"IMACS Calendar of Events","authors":"","doi":"10.1016/S0378-4754(25)00107-7","DOIUrl":"10.1016/S0378-4754(25)00107-7","url":null,"abstract":"","PeriodicalId":49856,"journal":{"name":"Mathematics and Computers in Simulation","volume":"233 ","pages":"Page 568"},"PeriodicalIF":4.4,"publicationDate":"2025-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143684686","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"News of IMACS","authors":"","doi":"10.1016/S0378-4754(25)00106-5","DOIUrl":"10.1016/S0378-4754(25)00106-5","url":null,"abstract":"","PeriodicalId":49856,"journal":{"name":"Mathematics and Computers in Simulation","volume":"233 ","pages":"Page 567"},"PeriodicalIF":4.4,"publicationDate":"2025-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143684685","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}