11 papers
Spouse-Protected Tontines: Household Decumulation via Neural-Network Optimization
Duy-Minh Dang, Yukan Perumal
We develop a spouse-protected tontine in which a first death changes the household state but generates no pool transfer. The same account remains attached to the household contract…
A data-driven Fourier-mixture neural-network method for density estimation
Duy-Minh Dang, Volter Entoma
We propose a data-driven Fourier-trained neural-network method for estimating fixed-horizon probability densities from empirical characteristic-function (CF) information. The estim…
Monotone 2D Integration Scheme for Mean-CVaR Optimization via Fourier-Trained Transition Kernels
Duy-Minh Dang, Hao Zhou
We present a strictly monotone, provably convergent two-dimensional (2D) integration method for multi-period mean-conditional value-at-risk (mean-CVaR) reward-risk stochastic contr…
Convergence of Neural Network Policies for Risk--Reward Optimization
Chang Chen, Duy-Minh Dang
We develop a neural-network framework for multi-period risk--reward stochastic control problems with constrained two-step feedback policies that may be discontinuous in the state.…
Money-Back Tontines for Retirement Decumulation: Neural-Network Optimization under Systematic Longevity Risk
German Nova Orozco, Duy-Minh Dang, Peter A. Forsyth
Money-back guarantees (MBGs) address bequest concerns in pooled retirement income products by returning the initial purchase price through withdrawals or, after early death, throug…
Multi-period Mean-Buffered Probability of Exceedance in Defined Contribution Portfolio Optimization
Duy-Minh Dang, Chang Chen
We investigate multi-period mean-risk portfolio optimization for long-horizon Defined Contribution plans, focusing on buffered Probability of Exceedance (bPoE), a more intuitive, d…
Numerical analysis of American option pricing in a two-asset jump-diffusion model
Hao Zhou, Duy-Minh Dang
This paper addresses an important gap in rigorous numerical treatments for pricing American options under correlated two-asset jump-diffusion models using the viscosity solution fr…
A monotone piecewise constant control integration approach for the two-factor uncertain volatility model
Duy-Minh Dang, Hao Zhou
Option contracts on two underlying assets within uncertain volatility models have their worst-case and best-case prices determined by a two-dimensional (2D) Hamilton-Jacobi-Bellman…
A semi-Lagrangian -monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
Yaowen Lu, Duy-Minh Dang
We develop an efficient pricing approach for guaranteed minimum withdrawal benefits (GMWBs) with continuous withdrawals under a realistic modeling setting with jump-diffusions and…
A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models
Hanwen Zhang, Duy-Minh Dang
We develop a efficient, easy-to-implement, and strictly monotone numerical integration method for Mean-Variance (MV) portfolio optimization in realistic contexts, which involve jum…
Fourier Neural Network Approximation of Transition Densities in Finance
Rong Du, Duy-Minh Dang
This paper introduces FourNet, a novel single-layer feed-forward neural network (FFNN) method designed to approximate transition densities for which closed-form expressions of thei…