The valuation of life contingencies: A symmetrical triangular fuzzy approximation

This paper extends the framework for the valuation of life insurance policies and annuities by Andrés-Sánchez and González-Vila (2012, 2014) in two ways. First we allow various uncertain magnitudes to be estimated by means of fuzzy numbers. This applies not only to interest rates but also to the amounts to be paid out by the insurance company. Second, the use of symmetrical triangular fuzzy numbers allows us to obtain expressions for the pricing of life contingencies and their variability that are closely linked to standard financial and actuarial mathematics. Moreover, they are relatively straightforward to compute and understand from a standard actuarial point of view.     

Lot‐sizing policies for deterioration items under two‐level trade credit with partial trade credit to credit‐risk retailer and limited storage capacity

The main purpose of this article is to investigate the optimal wholesaler's replenishment decisions for deterioration items under two levels of the trade credit policy and two storage facilities in order to reflect the supply chain management situation within the economic order quantity framework. In this study, each of the following assumptions have been made: (1) The own warehouse with limited capacity always is not sufficient to store the order quantity, so that a rented warehouse is needed to store the excess units over the capacity of the own warehouse; (2) The wholesaler always obtains the partial trade credit, which is independent of the order quantity offered by the supplier, but the wholesaler offers the full trade credit to the retailer; (3) The wholesaler must take a loan to pay his or her supplier the partial payment immediately when the order is received and then pay off the loan with the entire revenue. Under these three conditions, the wholesaler can obtain the least costs. Furthermore, this study models the wholesaler's optimal replenishment decisions under the aforementioned conditions in the supply chain management. Two theorems are developed to efficiently determine the optimal replenishment decisions for the wholesaler. Finally, numerical examples are given to illustrate the theorems that are proven in this study, and the sensitivity analysis with respect to the major parameters in this study is performed. Copyright © 2016 John Wiley & Sons, Ltd.     

Unifying pricing formula for several stochastic volatility models with jumps

In this paper, we introduce a unifying approach to option pricing under continuous‐time stochastic volatility models with jumps. For European style options, a new semi‐closed pricing formula is derived using the generalized complex Fourier transform of the corresponding partial integro‐differential equation. This approach is successfully applied to models with different volatility diffusion and jump processes. We also discuss how to price options with different payoff functions in a similar way. In particular, we focus on a log‐normal and a log‐uniform jump diffusion stochastic volatility model, originally introduced by Bates and Yan and Hanson, respectively. The comparison of existing and newly proposed option pricing formulas with respect to time efficiency and precision is discussed. We also derive a representation of an option price under a new approximative fractional jump diffusion model that differs from the aforementioned models, especially for the out‐of‐the money contracts. Copyright © 2017 John Wiley & Sons, Ltd.     

Power and reversal power links for binary regressions: An application for motor insurance policyholders

In binary regression, symmetric links such as logit and probit are usually considered as standard. However, in the presence of unbalancing of ones and zeros, these links can be inappropriate and inflexible to fit the skewness in the response curve and likely to lead to misspecification. This is the case of covering some type of insurance, where it can be observed that the probability of a given binary response variable approaches zero at different rates than it approaches one. Furthermore, when usual links are considered, there is not a skewness parameter associated with the distribution chosen that, regardless of the linear predictor, is easily interpreted. In order to overcome such problems, a proposal for the construction of a set of new skew links is developed in this paper, where some of their properties are discussed. In this context, power links and their reversal versions are presented. A Bayesian inference approach using MCMC is developed for the presented models. The methodology is illustrated considering a sample of motor insurance policyholders selected randomly by gender. Results suggest that the proposed link functions are more appropriate than other alternative link functions commonly used in the literature. Copyright © 2016 John Wiley & Sons, Ltd.     

A Mellin transform approach to pricing barrier options under stochastic elasticity of variance

This article considers a problem of evaluating barrier option prices when the underlying dynamics are driven by stochastic elasticity of variance (SEV). We employ asymptotic expansions and Mellin transform to evaluate the option prices. The approach is able to efficiently handle barrier options in a SEV framework and produce explicitly a semi-closed form formula for the approximate barrier option prices. The formula is an expansion of the option price in powers of the characteristic amplitude scale and variation time of the elasticity and it can be calculated easily by taking the derivatives of the Black–Scholes price for a barrier option with respect to the underlying price and computing the one-dimensional integrals of some linear combinations of the Greeks with respect to time. We confirm the accuracy of our formula via Monte-Carlo simulation and find the SEV effect on the Black–Scholes barrier option prices.     

Phase Behavior of Methane-Pentane Mixture in Bulk and in Porous Media

The adiabatic calorimetry method is used to measure the isochoric heat capacity and the dew-bubble curves for the methane-normal pentane mixtures in bulk for three different mixture compositions of n-pentane. The near-critical behavior of the mixture heat capacity indicates that at low n-pentane concentrations, this system is close to the special point of the critical locus. The effect of porous medium has been investigated for one of the mixtures studied in bulk. It has been shown that in porous medium the essential shift of the dew-bubble curve takes place. In our opinion this shift is caused by the formation of wetting film on the surface of porous medium. The estimation of film thickness resulting from the data obtained yields the value 7–8 nm.     

Direct Statistical Simulation of a Supersonic Flow of a Binary Mixture of Rarefied Gases around a Transversely Positioned Cylinder

A supersonic flow of a binary mixture of gases in a wide range of rarefaction (from a flow with a Knudsen number K _n = 0.1 to a free-molecular flow) around a cylinder is studied by means of direct statistical Monte Carlo simulations (DSMC method). The influence of a small fraction of heavy particles in a light gas flow on the region of significant nonequilibrium near the cylinder and on the heat flux is considered.__________Translated from Prikladnaya Mekhanika i Tekhnicheskaya Fizika, Vol. 46, No. 5, pp. 53–59, September–October, 2005.     

A review of pool and forced convective boiling of binary mixtures

Boiling of binary mixtures is characterized by a close linking between heat and mass transfer processes, with the evaporation rate usually being limited by the mass transfer process. This is significantly different from single-component systems where interfacial mass transfer rates are normally very high. Information on pool boiling of binary mixtures is widely available in the literature, whereas research on forced convective boiling of mixtures has become significant only over the last few years. This paper presents a brief review of experimental results obtained in pool and forced convective boiling of binary mixtures and upgrades the empirical or theoretical predictive tools for both situations.     

Convective Instability of the Flow of a Binary Mixture under Conditions of Vibration and Thermal Diffusion

Stability of a plane-parallel flow of a nonuniformly heated binary mixture filling a vertical layer located in a field of gravity and in a high-frequency vibrational field is studied. The axis of vibrations is directed along the layer. The case of rigid and isothermal boundaries of the layer impermeable for the mixture is considered. The influence of thermal diffusion on the evolution of the admixture and the thresholds of flow stability is taken into account. The study is performed on the basis of equations for averaged fields. An asymptotic method with the use of the perturbation wavenumber as a small parameter is applied in the long-wave limit. For arbitrary values of the wavenumber, the limit of stability was determined by numerical integration. Charts of stability of gaseous and liquid binary mixtures are plotted. __________ Translated from Prikladnaya Mekhanika i Tekhnicheskaya Fizika, Vol. 47, No. 2, pp. 77–84, March–April, 2006.     

Novel Features for Binary Time Series Based on Branch Length Similarity Entropy

Branch length similarity (BLS) entropy is defined in a network consisting of a single node and branches. In this study, we mapped the binary time-series signal to the circumference of the time circle so that the BLS entropy can be calculated for the binary time-series. We obtained the BLS entropy values for “1” signals on the time circle. The set of values are the BLS entropy profile. We selected the local maximum (minimum) point, slope, and inflection point of the entropy profile as the characteristic features of the binary time-series and investigated and explored their significance. The local maximum (minimum) point indicates the time at which the rate of change in the signal density becomes zero. The slope and inflection points correspond to the degree of change in the signal density and the time at which the signal density changes occur, respectively. Moreover, we show that the characteristic features can be widely used in binary time-series analysis by characterizing the movement trajectory of Caenorhabditis elegans. We also mention the problems that need to be explored mathematically in relation to the features and propose candidates for additional features based on the BLS entropy profile.