A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions

We present a Bayesian approach to pricing longevity risk under the framework of the Lee-Carter methodology. Specifically, we propose a Bayesian method for pricing the survivor bond and the related survivor swap designed by Denuit et al. (2007). Our method is based on the risk neutralization of the predictive distribution of future survival rates using the entropy maximization principle discussed by Stutzer (1996). The method is illustrated by applying it to Japanese mortality rates.     

A remark on the transformation formula of theta functions associated to positive definite quadratic forms

Let L be a positive Z-lattice with level N = cd, (c, d) = 1. Then the Fourier expansion at cusp $\text{1}\text{d}$ of the theta function associated to L is a theta function associated to L₁, where a lattice L₁ is defined by Z_pL₁ = Z_pL for $\text{p?c}$, Z_pL₁ = the dual of Z_pL for p | c.     

Conformations and steric and stacking interactions of trisubstituted ureas and thioureas with alkyl and phenyl groups

The monomeric ν(N—H) vibrations of various trisubstituted ureas of the R₂UPh type and -thioureas of the R₂TUPh type have been studied. The trans—out isomerism in the former and the trans—out—cis isomerism in the latter are discussed from the point of view of steric effect. The monomeric ν(N—H) vibrations of RPhUPh and RPhTUPh are also examined. The single band appearing in the spectrum of both ureas is characteristic of the cis form; this suggests the existence of phenyl—phenyl interaction (the stacking interaction proposed by Galabov et al. [10]). Behavior of ν(N—H) vibrations at several concentrations is shown to be clearly different in the three forms (trans, out and cis). The presence of the cis form is confirmed by solvent effect experiments.     

High-pressure phases of hydrogen cyanide: formation of hydrogenated carbon nitride polymers and layers and their electronic properties

We have performed a set of first-principles simulations to consider the possible phase transitions in molecular crystals of HCN under high pressure. Our calculations reveal several transition paths from the orthorhombic phase to tetragonal and then to triclinic phases. The transitions from the orthorhombic to the tetragonal phases are of the second order, whereas those from the tetragonal to the triclinic phases turn out to be of the first-order type and characterized by an abrupt decrease in volume. Our calculations show that, by adjustment of the temperature and pressure of the HCN molecular crystal, novel layered and polymeric crystals with insulating, semiconducting or metallic properties can be found. Based on our simulation results, two different crystal formation mechanisms are deduced. The stabilities of the predicted structures at ambient pressure are further assessed by performing phonon or MD simulations. In addition, the electron transport properties of the predicted polymers are obtained using the non-equilibrium Green's function technique combined with density functional theory. The results show that the polymers have metallic-like I-V characteristics.     

Universal generation of higher-order multiringed Laguerre-Gaussian beams by using a spatial light modulator

Laguerre-Gaussian (LG) beams of various higher-order radial modes are generated by using a reflective phase-only liquid crystal on silicon (LCOS) spatial light modulator (SLM). Because of the LCOS SLM's phase-modulation characteristic of a wide spatial bandwidth, a phase modulation scheme effectively generates higher-order LG beams of up to the fifth-order radial mode. We also perform correlation analyses between the observed and the theoretical two-dimensional mode profiles to universally obtain correlation coefficients of more than 0.946, which suggest mode generations of high quality.     

Hydrogen bond lifetimes in supercritical methanol–water mixtures via MD simulation

Dynamical features of hydrogen bonds in methanol–water mixtures have been analysed in terms of lifetime in the wide range of conditions, including supercritical states, using a molecular dynamics simulation with flexible potential models. Hydrogen bond characteristics in methanol–water mixtures were investigated by considering the combination of molecular species and donor–acceptor of hydrogen-bonded molecules. The hydrogen bond lifetimes mainly depend on temperature, and those in supercritical condition were about 1/10th of that at ambient condition. Focusing on the composition dependence of the hydrogen bond lifetime, the unique behaviour of that resulting from hydration structure was observed. Moreover, the molecular combination, which showed the largest hydrogen bond lifetime, was different for ambient and high temperature and high pressure conditions. The relationship between hydrogen bond lifetime and molar volume was also calculated to discuss the hydrogen bond lifetime in terms of the collision frequency of molecules and the intermolecular distance.     

Sorption of water vapor into polyelectrolyte complex of poly(styrenesulfonic acid)/poly(4-vinyl-N-ethylpyridinium bromide)

Successive differential and integral sorptions of water vapor into the polyelectrolyte complex of poly (sty renesulfonic acid) / poly(4-vinyl-N-ethylpyridinum bromide) have been measured; films of stoichiometric (1/1 molar ratio) and nonstoichiometric (2/1 molar ratio) complex were employed in the experiments. Sorption isotherms have been also determined by using the values obtained from integral sorption experiments. The sorption data have suggested the following. (i) The rearrangement of polymer chains plays a relatively unimportant role in sorption of water. (ii) The relaxation motion of network chains is suppressed. (iii) The change of morphological structure caused by vapor sorption is obscure. (iv) The ionic character of the 1/1 complex is higher than that of 2/1 complex. (v) A small amount of water can be dispersed on specific polymer sites, but the sorption of a large amount of water is accompanied by an expansion of network structure. Points (i)-(v) have been consistently interpreted on the basis of the network structure and ionic character of this complex.     

Establishment of hybrid-derived offspring populations in the Ohomopterus ground beetles through unidirectional hybridization

An approach to deduce the mechanism of stabilization of the hybrid-derived populations in the Ohomopterus ground beetles has been made by comparative studies on the phylogenetic trees of the mitochondrial and nuclear DNA. A phylogenetic tree based on the internal transcribed spacer (ITS) of nuclear ribosomal gene roughly reflects the relations of morphological species group, while mitochondrial NADH dehydrogenase subunit 5 (ND5) gene shows a considerable different topology on the tree; there exist several geographically-linked lineages, most of which consist of more than one species. These results suggest that the replacement of mitochondria has occurred widely in the Ohomopterus species. In most cases, hybridization is unidirectional, i.e., the species A (♂) hybridized with another species B (♀) and not vice versa, with accompanied replacement of mitochondria of A by those of B. The results also suggest that partial or complete occupation of the distribution territory by a hybrid-derived morphological species. The morphological appearance of the resultant hybrid-derivatives are recognized as that of the original species A. Emergence of a morphological new species from a hybrid-derived population has been exemplified.     

Considering the effect of different arrangements of pentagons on density of states of capped carbon nanotubes

We have used a non-equilibrium surface Green's function matching formalism combined with a tight-binding Hamiltonian to consider the effect of different arrangements of pentagon rings on localization of density of states at the tip regions of semi-infinite capped carbon nanotubes. The transfer matrixes are obtained by an iterative procedure. The results demonstrate that the positions of the peaks near Fermi energy are remarkably affected by the relative locations of pentagons. It is observed that in thin nanotubes, carbon atoms belonging two neighboring pentagon rings have significant contribution in the localized states near fermi energy. From our calculations, it turns out that the metallic or semiconducting behavior of capped nanotubes in the tip regions depends on the metallic or semiconducting nature of their nanotube stems.