Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary

In this paper, we propose two risk hedge schemes in which a life insurer (an annuity provider) can transfer mortality (longevity) risk of a portfolio of life (annuity) exposures to a financial intermediary by paying the hedging premium of a mortality-linked security. The optimal units of the mortality-linked security which maximize hedge effectiveness for a life insurer (an annuity provider) can be derived as closed-form formulas under the risk hedge schemes. Numerical illustrations show that the risk hedge schemes can significantly hedge the downside risk of loss due to mortality (longevity) risk for the life insurer (annuity provider) under some stochastic mortality models. Besides, finding an optimal weight of a portfolio of life and annuity business, the financial intermediary can reduce the sensitivity to mortality rates but the model risk; a security loading may be imposed on the hedge premium for a higher probability of gain to compensate the financial intermediary for the inevitable model risk.     

Role of self-assembled surfactant structure on the spreading of oil on flat solid surfaces

Uniform spreading of oil on solid surfaces is important in many processes where proper lubrication is required and this can be controlled using surfactants. The role of oil–solid interfacial self-assembled surfactant structure (SASS) in oil spreading is examined in this study for the case of hexadecane-surfactant droplet spreading on a flat horizontal copper surface, with triphenyl phosphorothionate surfactants having varying chain lengths (0 to 9). It is shown that the frictional forces (F_SASS) as determined by the SASS regulate droplet spreading rate according to surfactant chain length; surfactants with longer chains led to higher reduction in the spreading rate. The extent of such forces, F_SASS, depends on the surfactant density of the evolving SASS, and specific configuration the evolving SASS exhibit as per the orientations of the surfactant chains therein. Thus, F_SASS = [k₁ + k_2(t)] Γ_δ(t), where Γ_δ(t) is the surfactant adsorption density of SASS at time ‘t’ during evolution, and, k₁ and k_2(t) are the force coefficients for Γ_δ(t) and orientations (as a function of spreading time) of the surfactant chains respectively. As a SASS evolves/grows along with adsorption of surfactants at the spreading induced fresh interface, the k₁Γ_δ(t) component of F_SASS increases and contributes to reduction in the net spreading force (S). With a decrease in the net spreading force, the existence of a cross-over period, during which the transition of the spatial dynamics of the chains from disordered to realignment/packing induced ordered orientation occurs, has been inferred from the F_SASS vs. chain length relationships. Such relationships also suggested that the rate of realignment/packing is increased progressively particularly due the realignment/packing induced decrease in the net spreading force. Therefore, the realignment process is a self-induced process, which spans a measurable period of time (several minutes), the cross-over period, during which the net spreading force decreases essentially due to such self-induced process.     

Gauss–Seidel Estimation of Generalized Linear Mixed Models With Application to Poisson Modeling of Spatially Varying Disease Rates

Generalized linear mixed models (GLMMs) are often fit by computational procedures such as penalized quasi-likelihood (PQL). Special cases of GLMMs are generalized linear models (GLMs), which are often fit using algorithms like iterative weighted least squares (IWLS). High computational costs and memory space constraints make it difficult to apply these iterative procedures to datasets having a very large number of records.

We propose a computationally efficient strategy based on the Gauss–Seidel algorithm that iteratively fits submodels of the GLMM to collapsed versions of the data. The strategy is applied to investigate the relationship between ischemic heart disease, socioeconomic status, and age/gender category in New South Wales, Australia, based on outcome data consisting of approximately 33 million records. For Poisson and binomial regression models, the Gauss–Seidel approach is found to substantially outperform existing methods in terms of maximum analyzable sample size. Remarkably, for both models, the average time per iteration and the total time until convergence of the Gauss–Seidel procedure are less than 0.3% of the corresponding times for the IWLS algorithm. Platform-independent pseudo-code for fitting GLMS, as well as the source code used to generate and analyze the datasets in the simulation studies, are available online as supplemental materials.     

Verification of the Usefulness of Radiotracing Methods in Hydrodynamic Investigations

In the paper comparison of accuracy of two methods used for investigations of hydrodynamic in continuous flow tanks has been made. Basis for the comparison is the experimental work performed for big industrial wastewater concentration equalization tank. The first method is based on the radiotracer experiment while the second one uses the analysis of response on sudden change of the technological parameters. The radiotracer method has better accuracy connected with the shorter sampling period.

Ks wird die Genauigkeit zweier Methoden zur Untersuchting der Hydrodynamik von kontinuierlich arbeitenden Flüssigkeitsbehältern verglichen. Grundlage dafür sind experimentelle Untersuchungen an groβen Industrieabwasser-Ausgleichsbehältern. Die erste Methode bedient sich der Radiotracertechnik, während die zweite Methode auf einer plötzlichen Veränderung der technologischcn Parameter beruht. Es zeigt sich, daβ die Radiotracermethoden die besseren Ergebnisse liefert, wobei auβerdem noch kürzere Probenaltmeperioden von Vorteil sind.     

“证据推理与模型认知”素养下的主题式复习与反思*——以“二氧化碳的主题式复习”为例

以“草系水族箱内补给的气体”为主线,构建有关二氧化碳的主题式复习;在解决系列问题的过程中,重视围绕证据进行推理、基于模型进行认知,从而发展核心素养,提升复习效益。     

The duality property of the Discrete Fourier Transform based on Simpson's rule

The classical Discrete Fourier Transform (DFT) satisfies a duality property that transforms a discrete time signal to the frequency domain and back to the original domain. In doing so, the original signal is reversed to within a multiplicative factor, namely the dimension of the transformation matrix. In this paper, we prove that the DFT based on Simpson's method satisfies a similar property and illustrate its effect on a real discrete signal. The duality property is particularly useful in determining the components of the transformation matrix as well as components of its positive integral powers. Copyright © 2012 John Wiley & Sons, Ltd.     

Phase-field modeling of void evolution and swelling in materials under irradiation

Void swelling is an important phenomenon observed in both nuclear fuels and cladding materials in operating nuclear reactors. In this work we develop a phase-field model to simulate void evolution and void volume change in irradiated materials. Important material processes, including the generation of defects such as vacancies and self-interstitials, their diffusion and annihilation, and void nucleation and evolution, have been taken into account in this model. The thermodynamic and kinetic properties, such...     

Further advances on low-energy lunar impact dynamics

We extend the analysis, started in a previous work [1], concerning the formation of lunar impact craters due to low-energy trajectories. First, we adopt the Circular Restricted Three-Body Problem and consider different choices of initial conditions inside the stable invariant manifold associated with the central invariant one in the neighborhood of the L₂ equilibrium point in the Earth-Moon system. Then we move to the Bicircular Restricted Four-Body Problem to study the effect of the Sun on the distribution of impacts on the Moon’s surface.