Ricerc@Sapienza

The present work aims at evaluating Long-Term Care annuity contracts with Guaranteed Lifetime Withdrawal Benefits using the method of the Exact Individual Trajectories. This model, basically developed for the management of pension funds, is setup on an axiomatic basis and allows a complete description of the sample space. In addiction the financial component of the contract is modelled through the Heston model which considers stochastic both the stock price and the volatility.

In this paper we propose a solution to the problems
of detecting a stochastic output delay sequence characterized
by a Markov chain and estimating the state of a linear
system driven by Gaussian noise through an augmented delaystate
dynamics. This is the model for uncertain observations
resulting from losses in the propagation channel due to fading
phenomena or packet dropouts that is common in wireless
sensor networks, networked control systems, or remote sensing
applications. The solution we propose consists of two parallel