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1.
Multi-period guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multi-period guarantees in the presence of transaction costs. We derive the hedging strategies for the cheapest hedge portfolio for a multi-period guarantee that with certainty makes the insurance company able to meet the obligations from the insurance policies it has issued. We find that by imposing transaction costs, the insurance company reduces the rebalancing of the hedge portfolio. The cost of establishing the hedge portfolio also increases as the transaction cost increases. For the multi-period guarantee there is a rather large rebalancing of the hedge portfolio as we go from one period to the next. By introducing transaction costs we find the size of this rebalancing to be reduced. Transaction costs may therefore be one possible explanation for why we do not see the insurance companies performing a large rebalancing of their investment portfolio at the end of each year. 相似文献
2.
This paper develops a generalization of the linear quadratic control problem with partial information. As in the standard partial information setting, it is assumed that the state variable is only observed with noise. The idea in this paper is that the information level may be chosen optimally. In real life information is costly to acquire. It is therefore a trade off between the costs of getting detailed information and the increased value this information gives. We believe that the technique we present should have potential for application within both economics and engineering. 相似文献
3.
A simplicial mesh on an oriented two-dimensional surface gives rise to a complex of finite element spaces centered on divergence conforming Raviart–Thomas vector fields and naturally isomorphic to the simplicial cochain complex. On the barycentric refinement of such a mesh, we construct finite element spaces forming a complex , centered around curl conforming vector fields, naturally isomorphic to the simplicial chain complex on the original mesh and such that is in duality with . In terms of differential forms this provides a finite element analogue of Hodge duality. To cite this article: A. Buffa, S.H. Christiansen, C. R. Acad. Sci. Paris, Ser. I 340 (2005). 相似文献
4.
Snorre H. Christiansen 《Numerische Mathematik》2011,119(4):613-640
We study the linearization of three dimensional Regge calculus around Euclidean metric. We provide an explicit formula for
the corresponding quadratic form and relate it to the curl t curl operator which appears in the quadratic part of the Einstein–Hilbert action and also in the linear elasticity complex.
We insert Regge metrics in a discrete version of this complex, equipped with densely defined and commuting interpolators.
We show that the eigenpairs of the curl t curl operator, approximated using the quadratic part of the Regge action on Regge metrics, converge to their continuous counterparts,
interpreting the computation as a non-conforming finite element method. 相似文献
5.
So-Ryong Chae Mathieu Therezien Jeffrey Farner Budarz Lauren Wessel Shihong Lin Yao Xiao Mark R. Wiesner 《Journal of nanoparticle research》2011,13(10):5121-5127
Nanomaterials such as fullerene C60, carbon nanotubes (CNTs), and other fullerenes show unique electrical, chemical, mechanical, and thermal properties that
are not well understood in the context of the environmental behavior of this class of carbon-based materials. In this study,
aqueous suspensions of three fullerenes nanoparticles, C60, single-wall (SW) and multi-wall (MW) CNTs were prepared by sonication and tested for reactive oxygen species (ROS) production
and inactivation of Vibrio fischeri, a gram-negative rod-shaped bacterium, under ultraviolet (UV)-A irradiation. We show that ROS production and microbial inactivation
increases as colloidal aggregates of C60, SWCNT, and MWCNT are fractionated to enrich with smaller aggregates by progressive membrane filtration. As the quantity
and influence of these more reactive fractions of the suspension may increase with time and/or as the result of fractionation
processes in the laboratory or the environment, experiments evaluating photo-reactivity and toxicity endpoints must take into
account the evolution and heterogeneity of nanoparticle aggregates in water. 相似文献
6.
In this article we prove convergence of Lattice Gauge Theory in the energy norm for electromagnetism, which corresponds to gauge group U(1). This is done by stability analysis and comparison with the classical Yee-scheme which is convergent. 相似文献
7.
Snorre H. Christiansen 《Numerische Mathematik》2007,107(1):87-106
We elaborate on the interpretation of some mixed finite element spaces in terms of differential forms. In particular we define
regularization operators which, combined with the standard interpolators, enable us to prove discrete Poincaré–Friedrichs
inequalities and discrete Rellich compactness for finite element spaces of differential forms of arbitrary degree on compact
manifolds of arbitrary dimension. 相似文献
8.
Snorre H. Christiansen. 《Mathematics of Computation》2004,73(245):143-167
The Galerkin discretization of the Electric Field Integral Equation is reinvestigated. We prove quasi-optimal convergence estimates at nonresonant frequencies, using orthogonal splittings of the Galerkin space. At resonant frequencies we show that the spurious electric currents radiate only weakly in the exterior domain. This is achieved through the study of some finitely degenerated problems in terms of LBB Inf-Sup estimates and the use of discrete Helmholtz decompositions.
9.
Snorre H Christiansen 《Comptes Rendus Mathematique》2003,336(8):677-680
We propose a mixed boundary finite element discretization of the Electric Field Integral Equation for which we have an Inf–Sup condition which is uniform in both the mesh-width h and the wave-number k, for small enough h and k. For this equation we construct a preconditioner such that the spectral condition number of the preconditioned system is also bounded independently of k and h. To cite this article: S.H. Christiansen, C. R. Acad. Sci. Paris, Ser. I 336 (2003). 相似文献
10.
Farner S Vergez C Kergomard J Lizée A 《The Journal of the Acoustical Society of America》2006,119(3):1794-1804
The harmonic balance method (HBM) was originally developed for finding periodic solutions of electronical and mechanical systems under a periodic force, but has been adapted to self-sustained musical instruments. Unlike time-domain methods, this frequency-domain method does not capture transients and so is not adapted for sound synthesis. However, its independence of time makes it very useful for studying any periodic solution, whether stable or unstable, without care of particular initial conditions in time. A computer program for solving general problems involving nonlinearly coupled exciter and resonator, HARMBAL, has been developed based on the HBM. The method as well as convergence improvements and continuation facilities are thoroughly presented and discussed in the present paper. Applications of the method are demonstrated, especially on problems with severe difficulties of convergence: the Helmholtz motion (square signals) of single-reed instruments when no losses are taken into account, the reed being modeled as a simple spring. 相似文献