Stochastic analysis in life office management: applications to large annuity portfolios

The paper deals with the riskiness analysis for a large portfolio of life annuities. By means of the limiting distribution of the present value of the portfolio, in the first part of the paper a model for evaluating the investment and the projection risks is presented. In the second part, with regard to the investment risk's effects, the insolvency risk is measured considering the cumulative probability distribution function of the discounted average cost per policy. Copyright © 2003 John Wiley & Sons, Ltd.     

Combined use of three forms of chiroptical spectroscopies in the study of the absolute configuration and conformational properties of 3-phenylcyclopentanone, 3-phenylcyclohexanone,and 3-phenylcycloheptanone

Three forms of chiroptical spectroscopies, electronic circular dichroism (ECD), vibrational circular dichroism (VCD), and optical rotatory dispersion (ORD) have been employed to study the configuration and conformational properties of the three molecules: (S)-3-phenylcyclopentanone, (S)-3-phenylcyclohexanone, and (S)-3-phenylcycloheptanone (including (S)-3-phenylcyclopentanone-2,2,5,5-d₄ and (S)-3-phenylcyclohexanone-2,2,6,6-d₄). ECD and VCD spectra in the mid-IR for the three molecular systems are marginally dependent on fine conformational details, as interpreted in terms of standard DFT computational methods, with common spectroscopic features to the three systems clearly identified. Accounting for vibronic coupling mechanisms reproduces the structuring of ECD n→π^∗ band. The ORD curves are quite similar for the three types of molecules, but their interpretation highlights a crucial role played by conformations of the cycloalkanone ring in the case of (S)-3-phenylcycloheptanone. The same conclusions are reached by considering the VCD spectra in the CH-stretching region.     

Steady flows of compressible fluids in a rigid container with upper free boundary

We consider fluid in a smooth rigid container whose lateral boundary is a piece of vertical cylinder, bounded above by a free upper surface. As basic flow we consider the non homogeneous rest state in the presence of gravity, and of a surface tension. Under these assumptions, we study the existence of a steady free boundary and a steady motion in of an isothermal viscous gas, resulting as perturbation to the rest state in correspondence of small non potential perturbations to the (large potential) gravitational force. We linearize the problem by prescribing the unknown domain , then we make use of the iterative scheme introduced by Heywood and Padula. Our method is based on an iteration between the Neumann problem for a non homogeneous Stokes system for the velocity, the Neumann problem for an elliptic problem on for height, and a steady transport equation for the perturbation to the density. The difference of boundary condition between lateral boundary and free upper surfaces causes a singularity at the intersection (contact line). To avoid singularities on the contact line, we adopt weighted Sobolev spaces.     

A simple proof of the linear instability of rotating liquid drops

We give a simplified proof of the linear instability of equilibrium figures of rotating liquid based on energy estimates.      

Transport properties of organic vapors in nanocomposites of isotactic polypropylene

Isotactic polypropylene nanocomposites were obtained by the melt blending of polypropylene‐graft‐maleic anhydride and organophilic layered silicate (OLS) consisting of synthetic fluorohectorite modified by cation exchange with protonated octadecylamine. The composition of the inorganic clay was varied between 2.5 and 10 wt %, and films of the composites were obtained via hot‐press molding. X‐ray analysis showed that nanocomposites in which silicate layers were either delaminated or ordered as in an intercalated structure were obtained. The elastic modulus of the samples was higher than that of the pure polymer over a wide temperature range and increased with increasing inorganic content. The transport properties, sorption and diffusion, were measured for two organic vapors, dichloromethane and n‐pentane. For both vapors, the sorption was not very different from that of the pure polymer, whereas the zero‐concentration diffusion parameter strongly decreased with increasing OLS content. Therefore, the permeability, that is, the product of sorption and diffusion, decreased for both vapors as a result of the decreased value of the diffusion parameter. The decrease was higher for the less interacting n‐pentane. © 2003 Wiley Periodicals, Inc. J Polym Sci Part B: Polym Phys 41: 1798–1805, 2003     

Application of an Itô-based approximation method to random vibration of a pinching hysteretic system

In this paper, an extension of the Cumulant-Neglect closure scheme is utilized for the random vibration analysis of a single degree of freedom system with a general pinching hysteresis restoring force. The hysteresis element used in the system model can simulate commonly observed forms of stiffness, strength and pinching degradations. The second order statistics of the system response to a stationary Gaussian white noise input are derived using an Itô-based approximation technique. The validity of these response statistics are then verified by comparing them to Monte Carlo simulation results. The numerical studies performed for different combinations of degradation parameters and excitation levels show that the response estimates obtained by this solution method are in good agreement with Monte Carlo simulation. These studies also indicate the applicability of this technique for response analysis of complicated forms of non-linearities.     

A multi-axial, multimechanism based constitutive model for the comprehensive representation of the evolutionary response of SMAs under general thermomechanical loading conditions

We present a fully general, three dimensional, constitutive model for Shape Memory Alloys (SMAs), aimed at describing all of the salient features of SMA evolutionary response under complex thermomechanical loading conditions. In this, we utilize the mathematical formulation we have constructed, along with a single set of the model’s material parameters, to demonstrate the capturing of numerous responses that are experimentally observed in the available SMA literature. This includes uniaxial, multi-axial, proportional, non-proportional, monotonic, cyclic, as well as other complex thermomechanical loading conditions, in conjunction with a wide range of temperature variations. The success of the presented model is mainly attributed to the following two main factors. First, we use multiple inelastic mechanisms to organize the exchange between the energy stored and energy dissipated during the deformation history. Second, we adhere strictly to the well established mathematical and thermodynamical requirements of convexity, associativity, normality, etc. in formulating the evolution equations governing the model behavior, written in terms of the generalized internal stress/strain tensorial variables associated with the individual inelastic mechanisms. This has led to two important advantages: (a) it directly enabled us to obtain the limiting/critical transformation surfaces in the spaces of both stress and strain, as importantly required in capturing SMA behavior; (b) as a byproduct, this also led, naturally, to the exhibition of the apparent deviation from normality, when the transformation strain rate vectors are plotted together with the surfaces in the space of external/global stresses, that has been demonstrated in some recent multi-axial, non-proportional experiments.