Tools for testing the Solvency Capital Requirement for life insurance

Longevity risk is one of the major risks that an insurance company or a pension fund has to deal with and it is expected that its importance will grow in the near future. In agreement with these considerations, in Solvency II regulation the Standard formula furnished for calculating the Solvency Capital Requirement explicitly considers this kind of risk. According to the new European rules in our paper we suggest a multiperiod approach to evaluate the SCR for longevity risk. We propose a backtesting framework for measuring the consistency of SCR calculations for life insurance policies.

Positive solutions of fourth order problems with clamped beam boundary conditions

n this paper we make an exhaustive study of the fourth order linear operator u((4)) + M u coupled with the clamped beam conditions u(0) = u(1) = u'(0) = u'(1) = 0. We obtain the exact values on the real parameter M for which this operator satisfies an anti-maximum principle. Such a property is equivalent to the fact that the related Green's function is nonnegative in [0, 1] x [0, 1]. When M < 0 we obtain the best estimate by means of the spectral theory and for M > 0 we attain the optimal value by studying the oscillation properties of the solutions of the homogeneous equation u((4)) + M u = 0. By using the method of lower and upper solutions we deduce the existence of solutions for nonlinear problems coupled with this boundary conditions. (C) 2011 Elsevier Ltd. All rights reserved.

The effect of the angle of incidence on the aqueous corrosion of ion implanted M50 steel substrates

Following work on tantalum and chromium implanted flat M50 steel substrates, this work reports on the electrochemical behaviour of M50 steel implanted with tantalum and chromium and the effect of the angle of incidence. Proposed optimum doses for resistance to chloride attack were based on the interpretation of results obtained during long-term and accelerated electrochemical testing. After dose optimization from the corrosion viewpoint, substrates were implanted at different angles of incidence (15°, 30°, 45°, 60°, 75°, 90°) and their susceptibility to localized corrosion assessed using open-circuit measurements, step by step polarization and cyclic voltammetry at several scan rates (5–50 mV s-1). Results showed, for tantalum implanted samples, an ennoblement of the pitting potential of approximately 0.5 V for an angle of incidence of 90°. A retained dose of 5 × 1016 atoms cm-2 was found by depth profiling with Rutherford backscattering spectrometry. The retained dose decreases rapidly with angle of incidence. The breakdown potential varies roughly linearly with the angle of incidence up to 30° falling fast to reach -0.1 V (vs. a saturated calomel electrode (SCE)) for 15°. Chromium was found to behave differently. Maximum corrosion resistance was found for angles of 45°–60° according to current densities and breakdown potentials. Cr+ depth profiles ((p,γ) resonance broadening method), showed that retained doses up to an angle of 60° did not change much from the implanted dose at 90°, 2 × 1017 Cr atoms cm-2. The retained implantation dose for tantalum and chromium was found to follow a (cos θ)8/3 dependence where θ is the angle between the sample normal and the beam direction.

The 1998 Faial earthquake, Azores: Evidence for a transform fault associated with the Nubia-Eurasia plate boundary?

With very few exceptions, M > 4 tectonic earthquakes in the Azores show normal fault solution and occur away from the islands. Exceptionally, the 1998 shock was pure strike-slip and occurred within the northern edge of the Pico-Faial Ridge. Fault plane solutions show two possible planes of rupture striking ENE-WSW (dextral) and NNW-SSE (sinistral). The former has not been recognised in the Azores, but is parallel to the transform direction related to the relative motion between the Eurasia and Nubia plates. Therefore, the main question we address in the present study is: do transform faults related to the Eurasia/Nubia plate boundary exist in the Azores? Knowing that the main source of strain is related to plate kinematics, we conclude that the sinistral strike-slip NNW-SSE fault plane solution is not consistent with either the fault dip (ca. 65, which is typical of a normal fault) or the ca. ENE-WSW direction of maximum extension; both are consistent with a normal fault, as observed in most major earthquakes on faults striking around NNW-SSE in the Azores. In contrast, the dextral strike-slip ENE-WSW fault plane solution is consistent with the transform direction related to the anticlockwise rotation of Nubia relative to Eurasia. Altogether, tectonic data, measured ground motion, observed destruction, and modelling are consistent with a dextral strike-slip source fault striking ENE-WSW. Furthermore, the bulk clockwise rotation measured by GPS is typical of bookshelf block rotations observed at the termination of such master strike-slip faults. Therefore, we suggest that the 1998 earthquake can be related to the WSW termination of a transform (ENE-WSW fault plane solution) associated with the Nubia-Eurasia diffuse plate boundary. (C) 2014 Elsevier B.V. All rights reserved.

Evaluation of the influence of testing parameters on the melt flow index of thermoplastics

The main goals of the present work are the evaluation of the influence of several variables and test parameters on the melt flow index (MFI) of thermoplastics, and the determination of the uncertainty associated with the measurements. To evaluate the influence of test parameters on the measurement of MFI the design of experiments (DOE) approach has been used. The uncertainty has been calculated using a "bottom-up" approach given in the "Guide to the Expression of the Uncertainty of Measurement" (GUM). Since an analytical expression relating the output response (MFI) with input parameters does not exist, it has been necessary to build mathematical models by adjusting the experimental observations of the response variable in accordance with each input parameter. Subsequently, the determination of the uncertainty associated with the measurement of MFI has been performed by applying the law of propagation of uncertainty to the values of uncertainty of the input parameters. Finally, the activation energy (Ea) of the melt flow at around 200 degrees C and the respective uncertainty have also been determined.