Allocating unfunded liability in pension valuation under uncertainty

This paper studied the cost allocation for the unfunded liability in a defined benefit pension scheme incorporating the stochastic phenomenon of its returns. In the recent literature represented by Cairns and Parker [Insurance: Mathematics and Economics 21 (1997) 43], Haberman [Insurance: Mathematics and Economics 11 (1992) 179; Insurance: Mathematics and Economics 13 (1993) 45; Insurance: Mathematics and Economics 14 (1994) 219; Insurance: Mathematics and Economics 14 (1997) 127], Owadally and Haberman [North American Actuarial Journal 3 (1999) 105], the fund level is modeled based on the plan dynamics and the returns are generated through several stochastic processes to reflect the current realistic economic perspective to see how the contribution changed as the cost allocation period increased. In this study, we generalize the previous constant value assumption in cost amortization by modeling the returns and valuation rates simultaneously. Taylor series expansion is employed to approximate the unconditional and conditional moments of the plan contribution and fund level. Hence the stability of the plan contribution and the fund size under different allocation periods could be estimated, which provide valuable information adding to the previous works.     

Infinite products for power series

An algorithm is introduced and shown to lead to a unique infinite product representation for a given formal power series A(z) with A(0) = 1. The infinite product is , where all b_n ≠ 0, r_n , and r_n+1 > r_n. The degree of approximation by the polynomial (1 + b₁z^r₁) · · · (1 + b_nz^r_n) is also considered.     

Anchoring Properties of Nematic Liquid Crystals Studied Using the Attenuated Total Reflection Method

By using the attenuated total reflection method associated with the excitation of surface plasmons, the tilt angle of the liquid crystal director and its gradient at the surface are measured in a planar nematic cell as a function of the applied voltage. The surface anchoring anisotropy δπ of the liquid crystal and the surface elastic constant k_s, are found to be δπ = 0.288 erg/cm and k_s, = 9·12 × 10^-11 erg, respectively, when the boundary condition suggested by Barbero et al is used. The theoretical and experimental values obtained with this boundary condition and that of Mada are discussed. The results show that the boundary condition proposed by Barbero et al is in better agreement with the experiment.     

A C-symplectic free -manifold with contractible orbits and

An interesting question in symplectic geometry concerns whether or not a closed symplectic manifold can have a free symplectic circle action with orbits contractible in the manifold. Here we present a c-symplectic example, thus showing that the problem is truly geometric as opposed to topological. Furthermore, we see that our example is the only known example of a c-symplectic manifold having non-trivial fundamental group and Lusternik-Schnirelmann category precisely half its dimension.

     

Particle systems on flows

We start with a stochastic flow of diffeomorphisms of the space. Particles enter the space at random times and places. Each particle is carried by the flow for some random amount of time. We examine the point process formed by the particles at a fixed time, on the evolution of that point process as time varies, and on the equilibrium law of the point process.     

A completion of the spectrum for large sets of disjoint transitive triple systems

In this paper, we give a recursive construction from an LTTS(v + 2) to an LTTS(16v + 2) for v 3. Furthermore, the existence of LTTS(2ⁿ + 2) is proved. Thereby, we completely solve the existence problem of LTTS)(v) (large set of pairwise disjoint transitive triple systems of order v).     

Characterization of supercommuting matrices

For a given n-by-n matrix A, we consider the set of matrices which commute with A and all of whose principal submatrices commute with the corresponding principal submatrices of A. The properties of this set are examined, with particular attention to its dimension.     

On the existence of nontrivial extremal metrics on complete noncompact surfaces

In this paper, we consider the 2-dimensional local Calabi flow on a complete noncompact surface . Then, based on the Harnack-type estimate, we show the long-time existence and asymptotic convergence of a subsequence of solutions of such a flow on with and bounded from above by a negative constant on a ball. For its applications, this will lead to the existence of extremal metrics on a complete noncompact surface of finite topological type. In particular, there exists an extremal metric of nonconstant Gaussian curvature on or Received: 21 June 2001 / 18 January 2002 / Published online: 27 June 2002 Research supported in part by NSC and NCTS.