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.     

Slow positron beam study of corrosion-related defects in pure iron

Corrosion-related defects of pure iron were investigated by measuring Doppler broadening energy spectra (DBES) of positron annihilation and positron annihilation lifetime (PAL). Defect profiles of the S-parameter from DBES as a function of positron incident energy up to 30 keV (i.e. ∼1 μm depth) were analyzed. The DBES data show that S-parameter increases as a function of positron incident energy (mean depth) after corrosion, and the increase in the S-parameter is larger near the surface than in the bulk due to corrosion. Furthermore, information on defect size from PAL data as a function of positron incident energy up to 10 keV (i.e. ∼0.2 μm depth) was analyzed. In the two-state trapping model, the lifetime τ₂ = 500 ps is ascribed to annihilation of positrons in voids with a size of the order of nanometer. τ₁, which decreases with depth from the surface to the bulk, is ascribed to the annihilation of positrons in dislocations and three-dimensional vacancy clusters. The corroded samples show a significant increase in τ₁ and the intensity I₂, and near the surface the corroded iron introduces both voids and large-size three-dimensional vacancy clusters. The size of vacancy clusters decreases with depth.     

Evaluation of Commodity Trading Advisors using fixed and variable and benchmark models

This paper examines the performance of Commodity Trading Advisors (CTAs) using fixed and variable benchmarking models. In order to avoid the troublesome passive and active commodity and managed futures benchmarks (indices) when examining the performance of CTAs, we innovate by using data envelopment analysis (DEA). Because this alternative class has non-linear returns due to long/short positions, and derivatives (i.e., dynamic trading strategies), DEA can alleviate the problems usually associated with these indices. The effectiveness of using benchmarking models in a DEA setting will provide investors with an alternative technique in assessing the performance and identifying efficient CTAs.     

Preparation and Mechanical Properties of Fe3Al Nanostructured Intermetallics

Nanostructured Fe₃Al intermetallic compounds were produced by using hydrogen arc plasma method. The transmission electron microscopy experiments showed that the average particle size of the as-synthesized was about 40-nm. The change in hardness of Fe₃Al nanostructured intermetallic compounds with annealing temperatures was observed and evaluated.     

A Lower Bound for {a+b:aA, bB, and P(a,b)≠0}

Let A and B be two finite subsets of a field . In this paper, we provide a non-trivial lower bound for {a+b:aA, bB, and P(a,b)≠0} where P(x,y) [x,y].     

Optical spectroscopy of Yb/Er codoped NaY(WO4)2 crystal

Erbium and ytterbium codoped double tungstates NaY(WO₄)₂ crystals were prepared by using Czochralski (CZ) pulling method. The absorption spectra in the region 290-2000 nm have been recorded at room temperature. The Judd-Ofelt theory was applied to the measured values of absorption line strengths to evaluate the spontaneous emission probabilities and stimulated emission cross sections of Er³⁺ ions in NaY(WO₄)₂ crystals. Intensive green and red lights were measured when the sample were pumped by a 974 nm laser diode (LD), especially, the intensities of green upconversion luminescence are very strong. The mechanism of energy transfer from Yb³⁺ to Er³⁺ ions was analyzed. Energy transfer and nonradiative relaxation played an important role in the upconversion process. Photoexcited luminescence experiments are also fulfilled to help analyzing the transit processes of the energy levels.     

An inverse radiative transfer problem of simultaneously estimating profiles of temperature and radiative parameters from boundary intensity and temperature measurements

A parallel-plane space filled with absorbing, emitting, isotropically scattering, gray medium is studied in this paper. The boundary intensity and boundary temperature profiles are calculated for the inverse analysis. For the simultaneous estimation of temperature, absorption and scattering coefficient profiles in the medium, the sum of residuals of boundary intensity and temperature after being weighted by a balance factor is minimized through using a Newton-type iteration algorithm and the least-squares method. To avoid over-updating for the parameters, the relative updating magnitude during the iteration process is constrained not to be >0.5. It is shown that the boundary intensity measurement alone is not enough to estimate simultaneously the temperature (source) and the radiative properties (both absorption and scattering coefficients) when the measurement data contain sensitive random errors. The boundary temperature measurement can serve as a necessary supplementation to the boundary intensity to make this kind of inverse radiative transfer problem resolvable. It was shown that a compensation relationship between absorption and scattering coefficients makes it difficult to fix them accurately. Parabolic profiles for the three parameters are used to validate the estimation method. When the optical thickness approaches 4.0, the results for the radiative properties are not acceptable, although the result for temperature profile is reasonable. This means the method needs further improvements.     

Bipyridinophane‐containing conjugated polymers modulated with an intramolecular aromatic C?H/π interaction

Bipyridinophane–fluorene conjugated copolymers have been synthesized via Suzuki and Heck coupling reactions from 5,8‐dibromo‐2,11‐dithia[3]paracyclo[3](4,4′)‐2,2′‐bipyridinophane and suitable fluorene precursors. Poly[2,7‐(9,9‐dihexylfluorene)‐co‐alt‐5,8‐(2,11‐dithia[3]paracyclo[3](4,4′)‐2,2′‐bipyridinophane)] ( P7 ) exhibits large absorption and emission redshifts of 20 and 34 nm, respectively, with respect to its planar reference polymer Poly[2,7‐(9,9‐dihexylfluorene)‐co‐alt‐1,4‐(2,5‐dimethylbenzene)] ( P11 ), which bears the same polymer backbone as P7 . These spectral shifts originate from intramolecular aromatic C? H/π interactions, which are evidenced by ultraviolet–visible and ¹H NMR spectra as well as X‐ray single‐crystal structural analysis. However, the effect of the intramolecular aromatic C? H/π interactions on the spectral shift in poly[9,9‐dihexylfluorene‐2,7‐yleneethynylene‐co‐alt‐5,8‐(2,11‐dithia[3]paracyclo[3](4,4′)‐2,2′‐bipyridinophane)] ( P10 ) is much weaker. Most interestingly, the quenching behaviors of these two conjugated polymers are largely dependent on the polymer backbone. For example, the fluorescence of P7 is efficiently quenched by Cu²⁺, Co²⁺, Ni²⁺, Zn²⁺, Mn²⁺, and Ag⁺ ions. In contrast, only Cu²⁺, Co²⁺, and Ni²⁺ ions can partially quench the fluorescence of P10 , but much less efficiently than the fluorescence of P7 . The static Stern–Volmer quenching constants of Cu²⁺, Co²⁺, and Ni²⁺ ions toward P7 are of the order of 10⁶ M^?1, being 1300, 2500, and 37,300 times larger than those of P10 , respectively. © 2006 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 44: 4154–4164, 2006