Monte Carlo simulation of x-ray spectra generated by kilo-electron-volt electrons

We present a general algorithm for the simulation of x-ray spectra emitted from targets of arbitrary composition bombarded with kilovolt electron beams. Electron and photon transport is simulated by means of the general-purpose Monte Carlo code PENELOPE, using the standard, detailed simulation scheme. Bremsstrahlung emission is described by using a recently proposed algorithm, in which the energy of emitted photons is sampled from numerical cross-section tables, while the angular distribution of the photons is represented by an analytical expression with parameters determined by fitting benchmark shape functions obtained from partial-wave calculations. Ionization of K and L shells by electron impact is accounted for by means of ionization cross sections calculated from the distorted-wave Born approximation. The relaxation of the excited atoms following the ionization of an inner shell, which proceeds through emission of characteristic x rays and Auger electrons, is simulated until all vacancies have migrated to M and outer shells. For comparison, measurements of x-ray emission spectra generated by 20 keV electrons impinging normally on multiple bulk targets of pure elements, which span the periodic system, have been performed using an electron microprobe. Simulation results are shown to be in close agreement with these measurements.

A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation

This paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the Solvency Capital Requirement (SCR), under Solvency II regulations. A case study is presented and the SCR is calculated according to the Standard Model approach. Alternatively, the requirement is then calculated using an Internal Model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas being used to model the dependence between lines of business. To address the impact of these model assumptions on the SCR we conduct a sensitivity analysis. We examine changes in the correlation matrix between lines of business and address the choice of copulas. Drawing on aggregate historical data from the Spanish non-life insurance market between 2000 and 2009, we conclude that modifications of the correlation and dependence assumptions have a significant impact on SCR estimation.

Solvency Capital estimation and Risk Measures

This paper examines why a financial entity’s solvency capital estimation might be underestimated if the total amount required is obtained directly from a risk measurement. Using Monte Carlo simulation we show that, in some instances, a common risk measure such as Value-at-Risk is not subadditive when certain dependence structures are considered. Higher risk evaluations are obtained for independence between random variables than those obtained in the case of comonotonicity. The paper stresses, therefore, the relationship between dependence structures and capital estimation.

Reuse of paths in light source animation

In this paper we extend the reuse of paths to the shot from a moving light source. In the classical algorithm new paths have to be cast from each new position of a light source. We show that we can reuse all paths for all positions, obtaining in this way a theoretical maximum speed-up equal to the average length of the shooting path

Shot noise anomalies in elastic nondegenerate diffusive conductors

We present a theoretical investigation of shot-noise properties in nondegenerate elastic diffusive conductors. Both Monte Carlo simulations and analytical approaches are used. Two interesting phenomena are found: (i) the display of enhanced shot noise for given energy dependences of the scattering time, and (ii) the recovery of full shot noise for asymptotic high applied bias. The first phenomenon is associated with the onset of negative differential conductivity in energy space that drives the system towards a dynamical electrical instability in excellent agreement with analytical predictions. The enhancement is found to be strongly amplified when the dimensionality in momentum space is lowered from three to two dimensions. The second phenomenon is due to the suppression of the effects of long-range Coulomb correlations that takes place when the transit time becomes the shortest time scale in the system, and is common to both elastic and inelastic nondegenerate diffusive conductors. These phenomena shed different light in the understanding of the anomalous behavior of shot noise in mesoscopic conductors, which is a signature of correlations among different current pulses.

Linear least squares estimation of the first order moving average parameter

We propose an iterative procedure to minimize the sum of squares function which avoids the nonlinear nature of estimating the first order moving average parameter and provides a closed form of the estimator. The asymptotic properties of the method are discussed and the consistency of the linear least squares estimator is proved for the invertible case. We perform various Monte Carlo experiments in order to compare the sample properties of the linear least squares estimator with its nonlinear counterpart for the conditional and unconditional cases. Some examples are also discussed

Impact of incorrect assumptions on the covariance structure of random effects and/or residuals in nonlinear mixed models for repeated measures data

In this paper we analyse, using Monte Carlo simulation, the possible consequences of incorrect assumptions on the true structure of the random effects covariance matrix and the true correlation pattern of residuals, over the performance of an estimation method for nonlinear mixed models. The procedure under study is the well known linearization method due to Lindstrom and Bates (1990), implemented in the nlme library of S-Plus and R. Its performance is studied in terms of bias, mean square error (MSE), and true coverage of the associated asymptotic confidence intervals. Ignoring other criteria like the convenience of avoiding over parameterised models, it seems worst to erroneously assume some structure than do not assume any structure when this would be adequate.

Vacancy-driven ordering in a two-dimensional binary alloy

Domain growth in a system with nonconserved order parameter is studied. We simulate the usual Ising model for binary alloys with concentration 0.5 on a two-dimensional square lattice by Monte Carlo techniques. Measurements of the energy, jump-acceptance ratio, and order parameters are performed. Dynamics based on the diffusion of a single vacancy in the system gives a growth law faster than the usual Allen-Cahn law. Allowing vacancy jumps to next-nearest-neighbor sites is essential to prevent vacancy trapping in the ordered regions. By measuring local order parameters we show that the vacancy prefers to be in the disordered regions (domain boundaries). This naturally concentrates the atomic jumps in the domain boundaries, accelerating the growth compared with the usual exchange mechanism that causes jumps to be homogeneously distributed on the lattice.

Magnetic phase separation in ordered alloys

We present a lattice model to study the equilibrium phase diagram of ordered alloys with one magnetic component that exhibits a low temperature phase separation between paramagnetic and ferromagnetic phases. The model is constructed from the experimental facts observed in Cu3-xAlMnx and it includes coupling between configurational and magnetic degrees of freedom that are appropriate for reproducing the low temperature miscibility gap. The essential ingredient for the occurrence of such a coexistence region is the development of ferromagnetic order induced by the long-range atomic order of the magnetic component. A comparative study of both mean-field and Monte Carlo solutions is presented. Moreover, the model may enable the study of the structure of ferromagnetic domains embedded in the nonmagnetic matrix. This is relevant in relation to phenomena such as magnetoresistance and paramagnetism

Two-dimensional clusters of liquid 4He

The binding energies of two-dimensional clusters (puddles) of¿4He are calculated in the framework of the diffusion Monte Carlo method. The results are well fitted by a mass formula in powers of x=N-1/2, where N is the number of particles. The analysis of the mass formula allows for the extraction of the line tension, which turns out to be 0.121 K/Å. Sizes and density profiles of the puddles are also reported.

Quantum metric spaces as a model for pregeometry

A new arena for the dynamics of spacetime is proposed, in which the basic quantum variable is the two-point distance on a metric space. The scaling dimension (that is, the Kolmogorov capacity) in the neighborhood of each point then defines in a natural way a local concept of dimension. We study our model in the region of parameter space in which the resulting spacetime is not too different from a smooth manifold.