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.     

A Mountain Pass-type Theorem for Vector-valued Functions

The mountain pass theorem for scalar functionals is a fundamental result of the minimax methods in variational analysis. In this work we extend this theorem to the class of \(\mathcal{C}^{1}\) functions \(f:\mathbb{R}^{n}\rightarrow\mathbb{R}^{m}\), where the image space is ordered by the nonnegative orthant \(\mathbb{R}_{+}^{m}\). Under suitable geometrical assumptions, we prove the existence of a critical point of f and we localize this point as a solution of a minimax problem. We remark that the considered minimax problem consists of an inner vector maximization problem and of an outer set-valued minimization problem. To deal with the outer set-valued problem we use an ordering relation among subsets of \(\mathbb{R}^{m}\) introduced by Kuroiwa. In order to prove our result, we develop an Ekeland-type principle for set-valued maps and we extensively use the notion of vector pseudogradient.     

Time-division multiplexing of the orbital angular momentum of light

We present an optical setup for generating a sequence of light pulses in which the orbital angular momentum (OAM) degree of freedom is correlated with the temporal one. The setup is based on a single q plate within a ring optical resonator. By this approach, we demonstrate the generation of a train of pulses carrying increasing values of OAM, or, alternatively, of a controlled temporal sequence of pulses having prescribed OAM superposition states. Finally, we exhibit an "OAM-to-time conversion" apparatus that divides different input OAM states into different time bins. The latter application provides a simple approach to digital spiral spectroscopy of pulsed light.     

Hausdorff measures of subgroups of \mathbb{R }/\mathbb{Z } and \mathbb{R }

For a sequence $\underline{u}=(u_n)_{n\in \mathbb{N }}$ of integers, let $t_{\underline{u}}(\mathbb{T })$ be the group of all topologically $\underline{u}$ -torsion elements of the circle group $\mathbb{T }:=\mathbb{R }/\mathbb{Z }$ . We show that for any $s\in ]0,1[$ and $m\in \{0,+\infty \}$ there exists $\underline{u}$ such that $t_{\underline{u}}(\mathbb{T })$ has Hausdorff dimension $s$ and $s$ -dimensional Hausdorff measure equal to $m$ (no other values for $m$ are possible). More generally, for dimension functions $f,g$ with $f(t)\prec g(t), f(t)\prec \!\!\!\prec t$ and $g(t)\prec \!\!\!\prec t$ we find $\underline{u}$ such that $t_{\underline{u}}(\mathbb{T })$ has at the same time infinite $f$ -measure and null $g$ -measure.     

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.     

Laurdan and Prodan as Polarity-Sensitive Fluorescent Membrane Probes

The steady-state and dynamic fluorescence spectral properties of 2-dimethylamino-6-lauroylnaphthalene (LAURDAN) and several other naphthalene derivatives are summarized to illustrate their sensitivity to the polarity of the environment. Results obtained both in solvents of different polarity and in phospholipid vesicles in two phase states are presented. The emission red shift observed in polar solvents and in the phospholipid liquid–crystalline phase is explained on the basis of dipolar relaxation of solvent molecules surrounding the fluorescent naphthalene moiety of these probes. In phospholipid environments, experimental evidence is shown that excludes the intramolecular relative reorientation of the dimethylamino and carbonyl groups in the naphthalene and the reorientation of the entire fluorescent moiety. The solvent dipolar relaxation observed for LAURDAN and PRODAN in phospholipid bilayers has been attributed to a small number of water molecules present at the membrane interface. A comparison between LAURDAN emission in phospholipid vesicles prepared in D₂O and in H₂O is also presented. The definition and the derivation of the generalized polarization function are also discussed.