Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure

Consider a portfolio containing heterogeneous risks. The premiums of the policyholders might not cover the amount of the payments which an insurance company pays the policyholders. When setting the premium, this risk has to be taken into consideration. On the other hand the premium that the insured pays has to be fair. This fairness is measured by a function of the difference between the risk and the premium paid—we call this function a distance function. For a given small probability of insolvency, we find the premium for each class, such that the distance function is minimized. Next we formulate and solve the dual problem, which is minimizing the insolvency probability under the constraint that the distance function does not exceed a given level. This paper generalizes a previous paper [Zaks, Y., Frostig, E., Levikson, B., 2006. Optimal pricing of a heterogeneous portfolio for a given risk level. Astin Bull. 36 (1), 161–185] where only a square distance function was considered.     

Long-Term Changes in a Heat Exchanger Steel

The steel ASTM A213 P22 is used for superheater outlet header in power plants. During duty cycles lasting over tens of years the temperature is of the order of 545°C and the pressure 125 atm. The microscopic changes in these steels are hard to analyze under working conditions, but they are believed to be responsible for the appearance of creeps in such devices. Investigation of the microscopic modifications will help to predict future failures due to creeps, increasing the reliability and saving a lot of money.We report the investigation of such changes in ASTM A213 P22 steel in use for 30 years as a Superheater header at Haifa power station. The analysis has been carried out using Mössbauer Spectroscopy, X-ray diffraction and optical microscopy. As a result it seems that the morphology and phase change of the carbide phases M₃C/M₇C₃ and M₂₃C₆ are the most prominent changes leading to the material failures.     

Preface

Journal of Thermal Analysis and Calorimetry -     

Positive value of information in games

We exhibit a general class of interactive decision situations in which all the agents benefit from more information. This class includes as a special case the classical comparison of statistical experiments à la Blackwell. AMS 2000 Subject Classification:Primary 91A35.The work of Bruno Bassan and Marco Scarsini was partially supported by MIUR-COFIN. The authors express their thanks to Sylvain Sorin for enlightening comments.     

On the products of cross-ratios on diagonals of polygons

The purpose of this paper is to establish a conjecture of B. Grünbaum, which states that in every n-polygon P in the plane, n 5, some diagonals intersect in a pattern that defines a new n-polygon (P), such that the product of the cross-rations on the diagonals of P is equal to the product of the corresponding cross-ratios on the diagonals of (P).     

A new algorithm for generation of permutations

A new algorithm for generating permutations is presented, that generates the next permutation by reversing a certain suffix of its predecessor. The average size of this suffix is less thane 2.8. It is shown how to find the position of a given permutation and how to construct the permutation of a given position, where the position refers to the order in which the permutations are generated, and is also new.On leave from the Department of Computer Science, Technion, Haifa, Israel. This work was supported by NSF grant MCS-8302391.     

Micropeptins from Microcystis sp. collected in Kabul Reservoir,Israel

Three new micropeptins, micropeptin KR1030, KR1002 and KR998 and the known microcyclamide GL546A were isolated from the extract of Microcystis sp. bloom material collected in Kabul Reservoir, Israel. The planar structures of the compounds were determined by homonuclear and inverse-heteronuclear 2D-NMR techniques as well as high-resolution mass spectrometry. The absolute configuration of the asymmetric centres of the amino acids was studied using Marfey's method for HPLC. The inhibitory activity of the compounds was determined for the serine proteases: trypsin, chymotrypsin and elastase.     

Modular Symbols and the Topological Nonrigidity of Arithmetic Manifolds

In this paper we address the existence of smooth manifolds proper homotopy equivalent to nonuniform arithmetic manifolds M = Γ\G/K that are not homeomorphic to it. While the manifolds M are properly rigid if rank_ℚ(Γ) ≤ 2, we show that the so‐called virtual structure group has infinite rank as a ℚ‐vector space if rank_ℚ(Γ) ≥ 4.© 2015 Wiley Periodicals, Inc.     

Thermo-XRD-analysis of montmorillonite treated with 1,4-diaminoanthraquinone

Charcoals formed during the thermo-XRD-analysis of montmorillonite (MONT) complexes with the dye 1,4-diaminoanthraquinone (DAAQ) were investigated by using curve-fitting calculations. Five saturated dye solutions were prepared (i) in distilled water and (ii–v) in 0.1, 0.5, 1.0, and 2.0 molar HCl. Two series of dye-clay complexes were prepared by using clay suspensions of 0.6 %and of 0.006 % labeled first and second series, respectively. Five dye-clay complexes were prepared of each series by adding 25 mL of dye solution to 25 mL of clay suspension. There is no free dye in complexes of the first series, but those of the second series, which were synthesized with a high ratio between dye and clay, contain non-adsorbed dye even after five washings. Complexes of the first series are loaded with very small amounts of molecular and protonated DAAQ (5–24 mmol DAAQ per 100 g clay), and their spacings are 1.25–1.54 nm suggesting the presence of tactoids with protonated or molecular DAAQ lying parallel to the clay layers. No carbon analyses were performed to the second series complexes. In addition to tactoids with spacing of 1.32 nm, they contain tactoids with spacings of 1.81–1.96 nm, suggesting that intercalated DAAQ are lying perpendicular to the clay layers. Three types of intercalated charcoal are identified in both series during the thermal analysis, one type with a low thermal stability and two types with high thermal stabilities. Charcoals of the second series complexes preserve the geometry of the original complexes up to high temperatures.