Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a least-squares Monte-Carlo approach

The calculation of Net Asset Values and Solvency Capital Requirements in a Solvency 2 context–and the derivation of sensitivity analyses with respect to the main financial and actuarial risk drivers–is a complex procedure at the level of a real company, where it is illusory to be able to rely on closed-form formulas. The most general approach to performing these computations is that of nested simulations. However, this method is also hardly realistic because of its huge computation resources demand. The least-squares Monte Carlo method has recently been suggested as a way to overcome these difficulties. The present paper confirms that using this method is indeed relevant for Solvency 2 computations at the level of a company.     

Birth–death process of local structures in defect turbulence described by the one-dimensional complex Ginzburg–Landau equation

Defect turbulence described by the one-dimensional complex Ginzburg–Landau equation is investigated and analyzed via a birth–death process of the local structures composed of defects, holes, and modulated amplitude waves (MAWs). All the number statistics of each local structure, in its stationary state, are subjected to Poisson statistics. In addition, the probability density functions of interarrival times of defects, lifetimes of holes, and MAWs show the existence of long-memory and some characteristic time scales caused by zigzag motions of oscillating traveling holes. The corresponding stochastic process for these observations is fully described by a non-Markovian master equation.     

Statistics of reaction progress variable and mixture fraction gradients of a pulverised coal jet flame using Direct Numerical Simulation data

The statistical behaviour of the variances, covariance and gradients of the reaction progress variable (c), and the mixture fraction (ξ) have been analysed in a pulverised coal jet flame using a three-dimensional carrier phase direct numerical simulation (DNS) dataset. It has been observed that the Favre-probability density functions (PDFs) of c and ξ can be parametrised by the standard β function. Furthermore, the log-normal distribution has been found to accurately represent |?c| and |?ξ|. It is also found that ?c and ?ξ remain aligned throughout the flame brush. Finally the joint PDF of |?c| and |?ξ| has been compared with the product of the PDF of |?c| and PDF of |?ξ| extracted from carrier phase DNS, and it has been found that |?c| and |?ξ| are not statistically independent in the case investigated.The bivariate log-normal distributions with and without correlation have also been considered, and the former is found to be in better agreement with the carrier phase DNS data.     

Self-affinity and nonextensivity of sunspots

In this paper we study the time series of sunspots by using two different approaches, analyzing its self-affine behavior and studying its distribution. The long-range correlation exponent α has been calculated via Detrended Fluctuation Analysis and the power law vanishes to values greater than 11 years. On the other hand, the distribution of the sunspots obeys a q-exponential decay that suggests a non-extensive behavior. This observed characteristic seems to take an alternative interpretation of the sunspots dynamics. The present findings suggest us to propose a dynamic model of sunspots formation based on a nonlinear Fokker–Planck equation. Therefore its dynamic process follows the generalized thermostatistical formalism.     

Combining selection valve and mixing chamber for nanoflow gradient generation: Toward developing a liquid chromatography cartridge coupled with mass spectrometer for protein and peptide analysis

Toward developing a micro HPLC cartridge, we have recently built a high-pressure electroosmotic pump (EOP). However, we do not recommend people to use this pump to deliver an organic solvent directly, because it often makes the pump rate unstable. We have experimented several approaches to address this issue, but none of them are satisfactory. Here, we develop an innovative approach to address this issue. We first create an abruption (a dead-volume) within a fluid conduit. We then utilize an EOP to withdraw, via a selection valve, a train of eluent solutions having decreasing eluting power into the fluid conduit. When these solutions are further aspirated through the dead-volume, these solutions are partially mixed, smoothening concentration transitions between two adjacent eluent solutions. As these solutions are pushed back, through the dead-volume again, a smooth gradient profile is formed. In this work, we characterize this scheme for gradient formation, and we incorporate this approach with a high-pressure EOP, a nanoliter injection valve, and a capillary column, yielding a micro HPLC system. We then couple this micro HPLC with an electrospray ionization – mass spectrometer for peptide and protein separations and identifications.     

An interview with Sam C. Saunders

Sam C. Saunders, the son of Elizabeth Cundiff and Winston E. Saunders, was born in Richland, OR, on February 24, 1931. The family moved to La Grande, OR, in 1944, where Sam completed high school and two years at Eastern Oregon College. He then received the BSc degree in Mathematics from the University of Oregon, Eugene, OR, in 1952, and he attended the University of Washington, Seattle, WA, receiving a PhD degree under Z. W. Birnbaum. After graduating, he accepted employment at the Boeing Company in its Mathematical Services Unit and, in 1972, a position as a Full Professor at Washington State University, Pullman, WA, from which he retired in 1996.     

Gated-controlled electron pumping in connected quantum rings

We study the electronic transport across connected quantum rings attached to leads and subjected to time-harmonic side-gate voltages. Using the Floquet formalism, we calculate the net pumped current generated and controlled by the side-gate voltage. The control of the current is achieved by varying the phase shift between the two side-gate voltages as well as the Fermi energy. In particular, the maximum current is reached when the side-gate voltages are in quadrature. This new design based on connected quantum rings controlled without magnetic fields can be easily integrated in standard electronic devices.     

Gamma function to Beck–Cohen superstatistics

In this paper, we show a mathematical construction of Beck–Cohen superstatistics in the Bayesian point of view with the help of the two representations of a gamma function. Furthermore, it is shown how some results for superstatistics are related to each other.