Bias and temperature dependence of the noise in a single electron transistor

Models generalizing the su (2) XX spin-chain were recently introduced. These XXC models also have an underlying su (2) structure. Their construction method is shown to generalize to the chains based on the fundamental representations of the A_m Lie algebras. Integrability of the new models is shown in the context of the quantum inverse scattering method. Their R-matrix is found and shown to yield a representation of the Hecke algebra. The diagonalization of the transfer matrices is carried out using the algebraic Bethe Ansatz. I comment on eventual generalizations and possible links to reaction-diffusion processes. Received: 24 June 1998 / Received in final form: 8 September 1998 / Accepted: 10 September 1998     

Generalized off-equilibrium fluctuation-dissipation relations in random Ising systems

We show that the numerical method based on the off-equilibrium fluctuation-dissipation relation does work and is very useful and powerful in the study of disordered systems which show a very slow dynamics. We have verified that it gives the right information in the known cases (diluted ferromagnets and random field Ising model far from the critical point) and we used it to obtain more convincing results on the frozen phase of four-dimensional spin glasses. Moreover we used it to study the Griffiths phase of the diluted and the random field Ising models. Received 1 December 1998 and Received in final form 17 February 1999     

The Hanbury Brown and Twiss experiment with fermions

We realized an equivalent Hanbury Brown and Twiss experiment for a beam of electrons in a two-dimensional electron gas in the quantum Hall regime. A metallic split gate serves as a tunable beam splitter which is used to partition the incident beam into transmitted and reflected partial beams. The current fluctuations in the reflected and transmitted beam are fully anticorrelated demonstrating that fermions tend to exclude each other (anti-bunching). If the occupation probability of the incident beam is lowered by an additional gate, the anticorrelation is reduced and disappears in the classical limit of a highly diluted beam.     

Point processes and multivariate extreme values

A new model for point processes is developed which assumes that the interarrival times are exponentially distributed and follow joint multivariate extreme value distributions. It is shown that such processes may arise via natural generating procedures, and that, under very weak assumptions, that they can be approximated as closely as desired by appropriate finite models.     

Stock market crashes are outliers

We call attention against what seems to be a widely held misconception according to which large crashes are the largest events of distributions of price variations with fat tails. We demonstrate on the Dow Jones Industrial Average that with high probability the three largest crashes in this century are outliers. This result supports the suggestion that large crashes result from specific amplification processes that might lead to observable pre-cursory signatures. Received and Revised: 30 November 1997 / Accepted: 8 December 1997     

Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion

This paper considers the robust equilibrium reinsurance and investment strategies for an ambiguity-averse insurer under a dynamic mean–variance criterion. The insurer is allowed to purchase excess-of-loss reinsurance and invest in a financial market consisting of a risk-free asset and a credit default swap (CDS). Following a game theoretic approach, robust equilibrium strategies and equilibrium value functions for the pre-default case and the post-default case are derived, respectively. For the ambiguity-averse insurer, in general the equilibrium strategies can be characterized by unique solutions to some algebraic equations. For the degenerate case with an ambiguity-neutral insurer, closed-form expressions of equilibrium strategies and equilibrium value functions are obtained. Numerical examples demonstrate that the consideration of model uncertainty and CDS investment improves the insurer’s utility. In this regard, our paper establishes theoretical and numerical support for the importance of ambiguity aversion, credit risk and their interplay in insurance business.