Transformation kernel density estimation of actuarial loss functions

[cat] Es presenta un estimador nucli transformat que és adequat per a distribucions de cua pesada. Utilitzant una transformació basada en la distribució de probabilitat Beta l’elecció del paràmetre de finestra és molt directa. Es presenta una aplicació a dades d’assegurances i es mostra com calcular el Valor en Risc.

On-line event detection by recursive dynamic principal component analysis and gas sensor arrays under drift conditions

Leakage detection is an important issue in many chemical sensing applications. Leakage detection hy thresholds suffers from important drawbacks when sensors have serious drifts or they are affected by cross-sensitivities. Here we present an adaptive method based in a Dynamic Principal Component Analysis that models the relationships between the sensors in the may. In normal conditions a certain variance distribution characterizes sensor signals. However, in the presence of a new source of variance the PCA decomposition changes drastically. In order to prevent the influence of sensor drifts the model is adaptive and it is calculated in a recursive manner with minimum computational effort. The behavior of this technique is studied with synthetic signals and with real signals arising by oil vapor leakages in an air compressor. Results clearly demonstrate the efficiency of the proposed method.

Transformation kernel density estimation of actuarial loss functions

[cat] Es presenta un estimador nucli transformat que és adequat per a distribucions de cua pesada. Utilitzant una transformació basada en la distribució de probabilitat Beta l’elecció del paràmetre de finestra és molt directa. Es presenta una aplicació a dades d’assegurances i es mostra com calcular el Valor en Risc.

Sequential decisions in allocation problems

[eng] In the context of cooperative TU-games, and given an order of players, we consider the problem of distributing the worth of the grand coalition as a sequentia decision problem. In each step of process, upper and lower bounds for the payoff of the players are required related to successive reduced games. Sequentially compatible payoffs are defined as those allocation vectors that meet these recursive bounds. The core of the game is reinterpreted as a set of sequentally compatible payoffs when the Davis-Maschler reduced game is considered (Th.1). Independently of the reduction, the core turns out to be the intersections of the family of the sets of sequentially compatible payoffs corresponding to the different possible orderings (Th.2), so it is in some sense order-independent. Finally, we analyze advantagenous properties for the first player

Binding energy and momentum distribution of nuclear matter using Green's functions methods

The influence of hole-hole (h-h) propagation in addition to the conventional particle-particle (p-p) propagation, on the energy per particle and the momentum distribution is investigated for the v2 central interaction which is derived from Reid¿s soft-core potential. The results are compared to Brueckner-Hartree-Fock calculations with a continuous choice for the single-particle (SP) spectrum. Calculation of the energy from a self-consistently determined SP spectrum leads to a lower saturation density. This result is not corroborated by calculating the energy from the hole spectral function, which is, however, not self-consistent. A generalization of previous calculations of the momentum distribution, based on a Goldstone diagram expansion, is introduced that allows the inclusion of h-h contributions to all orders. From this result an alternative calculation of the kinetic energy is obtained. In addition, a direct calculation of the potential energy is presented which is obtained from a solution of the ladder equation containing p-p and h-h propagation to all orders. These results can be considered as the contributions of selected Goldstone diagrams (including p-p and h-h terms on the same footing) to the kinetic and potential energy in which the SP energy is given by the quasiparticle energy. The results for the summation of Goldstone diagrams leads to a different momentum distribution than the one obtained from integrating the hole spectral function which in general gives less depletion of the Fermi sea. Various arguments, based partly on the results that are obtained, are put forward that a self-consistent determination of the spectral functions including the p-p and h-h ladder contributions (using a realistic interaction) will shed light on the question of nuclear saturation at a nonrelativistic level that is consistent with the observed depletion of SP orbitals in finite nuclei.

Theory for correlation functions of processes driven by external colored noise

We study steady-state correlation functions of nonlinear stochastic processes driven by external colored noise. We present a methodology that provides explicit expressions of correlation functions approximating simultaneously short- and long-time regimes. The non-Markov nature is reduced to an effective Markovian formulation, and the nonlinearities are treated systematically by means of double expansions in high and low frequencies. We also derive some exact expressions for the coefficients of these expansions for arbitrary noise by means of a generalization of projection-operator techniques.

Intensity correlation functions of dye lasers: Comparison of colored-gain-noise and colored-loss-noise models

The intensity correlation functions C(t) for the colored-gain-noise model of dye lasers are analyzed and compared with those for the loss-noise model. For correlation times ¿ larger than the deterministic relaxation time td, we show with the use of the adiabatic approximation that C(t) values coincide for both models. For small correlation times we use a method that provides explicit expressions of non-Markovian correlation functions, approximating simultaneously short- and long-time behaviors. Comparison with numerical simulations shows excellent results simultaneously for short- and long-time regimes. It is found that, when the correlation time of the noise increases, differences between the gain- and loss-noise models tend to disappear. The decay of C(t) for both models can be described by a time scale that approaches the deterministic relaxation time. However, in contrast with the loss-noise model, a secondary time scale remains for large times for the gain-noise model, which could allow one to distinguish between both models.

Computation of arbitrarily constrained synthetic discriminant functions

An algorithm for computing correlation filters based on synthetic discriminant functions that can be displayed on current spatial light modulators is presented. The procedure is nondivergent, computationally feasible, and capable of producing multiple solutions, thus overcoming some of the pitfalls of previous methods.

Perturbation theory for classical thermodynamic Green's functions

A systematic time-dependent perturbation scheme for classical canonical systems is developed based on a Wick's theorem for thermal averages of time-ordered products. The occurrence of the derivatives with respect to the canonical variables noted by Martin, Siggia, and Rose implies that two types of Green's functions have to be considered, the propagator and the response function. The diagrams resulting from Wick's theorem are "double graphs" analogous to those introduced by Dyson and also by Kawasaki, in which the response-function lines form a "tree structure" completed by propagator lines. The implication of a fluctuation-dissipation theorem on the self-energies is analyzed and compared with recent results by Deker and Haake.

Finite-size effects in nonequilibrium correlation functions

We have shown that finite-size effects in the correlation functions away from equilibrium may be introduced through dimensionless numbers: the Nusselt numbers, accounting for both the nature of the boundaries and the size of the system. From an analysis based on fluctuating hydrodynamics, we conclude that the mean-square fluctuations satisfy scaling laws, since they depend only on the dimensionless numbers in addition to reduced variables. We focus on the case of diffusion modes and describe some physical situations in which finite-size effects may be relevant.

Self and cross-velocity correlation functions and diffusion coefficients in liquids: a molecular dynamics study of binary mixtures of soft spheres

Molecular dynamics simulation is applied to the study of the diffusion properties in binary liquid mixtures made up of soft-sphere particles with different sizes and masses. Self- and distinct velocity correlation functions and related diffusion coefficients have been calculated. Special attention has been paid to the dynamic cross correlations which have been computed through recently introduced relative mean molecular velocity correlation functions which are independent on the reference frame. The differences between the distinct velocity correlations and diffusion coefficients in different reference frames (mass-fixed, number-fixed, and solvent-fixed) are discussed.

On the configuration of Herman rings of meromorphic functions

We prove some results concerning the possible configuration s of Herman rings for transcendental meromorphic functions. We show that one pole is enough to obtain cycles of Herman rings of arbitrary period a nd give a sufficient condition for a configuration to be realizable.

Sequential decisions in allocation problems

[eng] In the context of cooperative TU-games, and given an order of players, we consider the problem of distributing the worth of the grand coalition as a sequentia decision problem. In each step of process, upper and lower bounds for the payoff of the players are required related to successive reduced games. Sequentially compatible payoffs are defined as those allocation vectors that meet these recursive bounds. The core of the game is reinterpreted as a set of sequentally compatible payoffs when the Davis-Maschler reduced game is considered (Th.1). Independently of the reduction, the core turns out to be the intersections of the family of the sets of sequentially compatible payoffs corresponding to the different possible orderings (Th.2), so it is in some sense order-independent. Finally, we analyze advantagenous properties for the first player