Approximation of insurance liability contracts using radial basis functions

ABSTRACT

We introduce the Option Interpolation Model (OIM) for accurate approximation of embedded option values in insurance liabilities. Accurate approximation is required for ex-ante risk management applications. The OIM is based on interpolation with radial basis functions, which can interpolate scattered data, and does not suffer from the curse of dimensionality. To reduce computation time we present an inversion method to determine the interpolation function weights. The robustness, accuracy and efficiency of the OIM are investigated in several numerical experiments. We show that the OIM results in highly accurate approximations.     

Improved digital/analogue conversion technique using currentsplitting in lateral bipolar transistors

Describes the use of multiple collector lateral bipolar transistors as precision current splitting elements suitable for use in high resolution monolithic D/A convertor design. Multiple collector structures result in better overall linearity and smaller chip area than previously suggested techniques. A six-bit convertor implemented on a linear bipolar semicustom array is used to demonstrate the advantages of this technique     

Switched-capacitor bandpass delta-sigma A/D modulation at 10.7 MHz

Two second-order bandpass delta-sigma A/D modulators have been implemented in a 0.8 μ BiCMOS process to demonstrate the feasibility of converting a 10.7 MHz radio IF signal to digital form. The circuits, based on switched-capacitor biquads, demonstrated 57 dB SNR in a 200 kHz bandwidth when clocked at 42.8 MHz, dissipating 60 mW from a 5 V supply. The two modulators use different clocking strategies to allow evaluation of a tradeoff between active and passive sensitivities