Securitizing and tranching longevity exposures

We consider the problem of optimally designing longevity risk transfers under asymmetric information. We focus on holders of longevity exposures that have superior knowledge of the underlying demographic risks, but are willing to take them off their balance sheets because of capital requirements. In equilibrium, they transfer longevity risk to uninformed agents at a cost, where the cost is represented by retention of part of the exposure and/or by a risk premium. We use a signalling model to quantify the effects of asymmetric information and emphasize how they compound with parameter uncertainty. We show how the cost of private information can be minimized by suitably tranching securitized cashflows, or, equivalently, by securitizing the exposure in exchange for an option on mortality rates. We also investigate the benefits of pooling several longevity exposures and the impact on tranching levels.     

An identity for T-ordered exponentials with applications to quantum mechanics

The solution of the Cauchy problem for Liouville's equation φ_xy = e^φ is shown to be equivalent to the calculation of a T-ordered exponential of a two-dimensional variable matrix. This gives rise to an identity for the T-ordered exponential involving two arbitrary functions. The formalism is applied to the time evolution of a magnetic dipole in a time dependent magnetic field and to the one-dimensional Dirac equation with external potential $\text{V(x) = (n +}\text{1}\text{2}\text{)λ}$ tanh λx which is relevant for field theoretic applications. A generalization to n-dimensional matrices is also given.     

Equazioni quasi ellittiche e spaziL p, θ (ω, δ) (I)

Summary Regularity theorems inL ^{2, θ} (ω, δ) spaces are proved for weak solutions of quasielliptic differential equations. In particular, regularization results are obtained in the class of holder continuous functions (with respect to a suitable metric related to the operator). As a consequence, we obtain results and estimates in L^p andL ^{p, θ} spaces for the solution of the Dirichlet problem.

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Lavoro eseguito nell’ambito del Gruppo di Ricerca n^o 46 del Comitato per la Matematica del C N.R.     

Supersonic cluster beam fabrication of metal–ionogel nanocomposites for soft robotics

Soft robotics is an emerging field targeting at the development of robotic bodies and architectures characterized by flexibility, adaptability, and motility typical of that of biological systems. The use of electroactive ionic polymer–metal nanocomposites able to reversibly deform in response to low-intensity electric fields constitutes a promising solution for the implementation of actuators into soft robots. Currently, the use of this class of nanocomposites is hampered by several drawbacks, mainly related to the mismatch between the mechanical properties of the polymer and the metallic electrodes compromising their stability and resilience upon cyclic deformation.Here, we report and discuss on the use of supersonic cluster beam implantation (SCBI) as an effective strategy for the fabrication of soft electroactive ionic polymeric nanocomposite actuators. SCBI relies on the use of supersonically accelerated beams of neutral metal nanoparticles that can be aerodynamically collimated and directed onto a polymeric target to generate thin nanostructured metal layers physically interpenetrating with the polymer.Soft electroactive actuators based on engineered ionogel and ionogel-based hybrid nanocomposites provided with monolithically integrated cluster-assembled gold electrodes will be discussed. These systems can undergo long-term bending deformation in a low-voltage regime, due to the nanostructured electrode resilience. The use of cluster-assembled nanostructured electrodes opens new opportunities for the high-throughput manufacturing of soft ionic actuators with excellent mechanical resiliency, high-performance actuation, and high durability.     

Singularity Formation in Fractional Burgers’ Equations

The formation of singularities in finite time in nonlocal Burgers’ equations, with time-fractional derivative, is studied in detail. The occurrence of finite-time singularity is proved, revealing the underlying mechanism, and precise estimates on the blowup time are provided. The employment of the present equation to model a problem arising in job market is also analyzed.

     

UNA generalizzazione del problema di burnside relativo all'esponente 4

An automorphism σ of order (a divisor of)n of the groupG is calledn-splitting if for everyg∈G. In this paper we prove that a 2-group admitting a 4-splitting automorphism, is locally finite.     

A variational approach to chaotic dynamics in periodically forced nonlinear oscillators

We prove that a class of problems containing the classical periodically forced pendulum equation displays the main features of chaotic dynamics. The approach is based on the construction of multibump type heteroclinic solutions to periodic orbits by the use of global variational methods.     

Evaluation of hydrogen chemisorption in nanostructured carbon films by near edge X-ray absorption spectroscopy

We have developed a method for the quantitative evaluation of the chemisorbed fraction of hydrogen in nanostructured carbon films using Near Edge X-ray Absorption Spectroscopy (NEXAFS). In the carbon K-edge spectrum the peak related to carbon bonded to hydrogen is assumed to be correlated with the amount of hydrogen bonded to carbon. This assumption is supported by a comparative analysis of gas-phase hydrocarbons obtained via Electron Energy Loss Spectroscopy (EELS). We applied the method to nanostructured carbon (ns-C) films synthesized by supersonic cluster beam deposition. The evaluated quantity of chemisorbed hydrogen in different samples exposed to molecular hydrogen (pressure of 0.12 MPa, for 3 hours at room temperature) is ∼1.5 wt.%.