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.     

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.     

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.     

Asymptotic estimates of Gerber-Shiu functions in the renewal risk model with exponential claims

This paper continues to study the asymptotic behavior of Gerber-Shiu expected discounted penalty functions in the renewal risk model as the initial capital becomes large. Under the assumption that the claim-size distribution is exponential, we establish an explicit asymptotic formula. Some straightforward consequences of this formula match existing results in the field.     

Improvement of moving particle semi‐implicit method for simulation of progressive water waves

Precise simulation of the propagation of surface water waves, especially when involving breaking wave, takes a significant place in computational fluid dynamics. Because of the strong nonlinear properties, the treatment of large surface deformation of free surface flow has always been a challenging work in the development of numerical models. In this paper, the moving particle semi‐implicit (MPS) method, an entirely Lagrangian method, is modified to simulate wave motion in a 2‐D numerical wave flume preferably. In terms of consecutive pressure distribution, a new and simple free surface detection criterion is proposed to enhance the free surface recognition in the MPS method. In addition, a revised gradient model is deduced to diminish the effect of nonuniform particle distribution and then to reduce the numerical wave attenuation occurring in the original MPS model. The applicability and stability of the improved MPS method are firstly demonstrated by the calculation of hydrostatic problem. It is revealed that these modifications are effective to suppress the pressure oscillation, weaken the local particle clustering, and boost the stability of numerical algorithm. It is then applied to investigate the propagation of progressive waves on a flat bed and the wave breaking on a mild slope. Comparisons with the analytical solutions and experimental results indicate that the improved MPS model can give better results about the profiles and heights of surface waves in contrast with the previous MPS models. Copyright © 2017 John Wiley & Sons, Ltd.     

The multi-attribute grey target decision method for attribute value within three-parameter interval grey number

Based on the grey system theory and methods, the grey-target decision-making problem is discussed, in which the attribute values are grey numbers and the maximum probability of the value of grey number is known. Firstly, the optimal effect vector is the positive bull’s-eye and positive bull’s-eye distance of each scheme is defined. Subjectively or objectively weighting method is integrated to determine the index weight and integrated optimization model of index weight is established. Finally, the critical effect vector is the negative bull’s-eye and negative bull’s-eye distance of each scheme is defined, then relative bull’s-eye distance and comprehensive the bull’s-eye distance of grey target decision-making are given. An example is also presented to illustrate the usefulness and effectiveness of the methods obtained in this paper and provides a new idea for grey target decision-making method research.     

Analysis of the multiple roots of the Lundberg fundamental equation in the PH (n) risk model

In the study of the Sparre Andersen risk model with phase‐type (n) inter‐claim times (PH (n) risk model), the distinct roots of the Lundberg fundamental equation in the right half of the complex plane and the linear independence of the eigenvectors related to the Lundberg matrix L_δ(s) play important roles. In this paper, we study the case where the Lundberg fundamental equation has multiple roots or the corresponding eigenvectors are linearly dependent in the PH (n) risk model. We show that the multiple roots of the Lundberg fundamental equation det[L_δ(s)] = 0 can be approximated by the distinct roots of the generalized Lundberg equation introduced in this paper and that the linearly dependent eigenvectors can be approximated by the corresponding linearly independent ones as well. Using this result we derive the expressions for the Gerber–Shiu penalty function. Two special cases of the generalized Erlang(n) risk model and a Coxian(3) risk model are discussed in detail, which illustrate the applicability of main results. Finally, we consider the PH(2) risk model and conclude that the roots of the Lundberg fundamental equation in the right half of the complex plane are distinct and that the corresponding eigenvectors are linearly independent. Copyright © 2011 John Wiley & Sons, Ltd.