The Effect of a threshold proportional reinsurance strategy on ruin probabilities

[spa] En un modelo de Poisson compuesto, definimos una estrategia de reaseguro proporcional de umbral : se aplica un nivel de retención k1 siempre que las reservas sean inferiores a un determinado umbral b, y un nivel de retención k2 en caso contrario. Obtenemos la ecuación íntegro-diferencial para la función Gerber-Shiu, definida en Gerber-Shiu -1998- en este modelo, que nos permite obtener las expresiones de la probabilidad de ruina y de la transformada de Laplace del momento de ruina para distintas distribuciones de la cuantía individual de los siniestros. Finalmente presentamos algunos resultados numéricos.

Políticas de dividendos y probabilidad de ruina

En este trabajo introducimos diversas clases de barreras del dividendo en la teoría modelo clásica de la ruina. Estudiamos la influencia de la estrategia de la barrera en probabilidad de la ruina. Un método basado en las ecuaciones de la renovación [Grandell (1991)], alternativa a la discusión diferenciada [Gerber (1975)], utilizado para conseguir las ecuaciones diferenciales parciales para resolver probabilidades de la supervivencia. Finalmente calculamos y comparamos las probabilidades de la supervivencia usando la barrera linear y parabólica del dividendo, con la ayuda de la simulación

Diffusion of passive scalars under stochastic convection

The diffusion of passive scalars convected by turbulent flows is addressed here. A practical procedure to obtain stochastic velocity fields with well¿defined energy spectrum functions is also presented. Analytical results are derived, based on the use of stochastic differential equations, where the basic hypothesis involved refers to a rapidly decaying turbulence. These predictions are favorable compared with direct computer simulations of stochastic differential equations containing multiplicative space¿time correlated noise.

Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion

In this note we prove an existence and uniqueness result for the solution of multidimensional stochastic delay differential equations with normal reflection. The equations are driven by a fractional Brownian motion with Hurst parameter H > 1/2. The stochastic integral with respect to the fractional Brownian motion is a pathwise Riemann¿Stieltjes integral.

Criteria for hitting probabilities with applications to systems of stochastic wave equations

We develop several results on hitting probabilities of random fields which highlight the role of the dimension of the parameter space. This yields upper and lower bounds in terms of Hausdorff measure and Bessel-Riesz capacity, respectively. We apply these results to a system of stochastic wave equations in spatial dimension k >- 1 driven by a d-dimensional spatially homogeneous additive Gaussian noise that is white in time and colored in space.

Line search multilevel optimization as computational methods for dense optical flow

We evaluate the performance of different optimization techniques developed in the context of optical flow computation with different variational models. In particular, based on truncated Newton methods (TN) that have been an effective approach for large-scale unconstrained optimization, we de- velop the use of efficient multilevel schemes for computing the optical flow. More precisely, we evaluate the performance of a standard unidirectional mul- tilevel algorithm - called multiresolution optimization (MR/OPT), to a bidrec- tional multilevel algorithm - called full multigrid optimization (FMG/OPT). The FMG/OPT algorithm treats the coarse grid correction as an optimiza- tion search direction and eventually scales it using a line search. Experimental results on different image sequences using four models of optical flow com- putation show that the FMG/OPT algorithm outperforms both the TN and MR/OPT algorithms in terms of the computational work and the quality of the optical flow estimation.

Integrability and non-integrability of periodic non-autonomous Lyness recurrences (revised and enlarged version)

This paper studies non-autonomous Lyness type recurrences of the form xn+2 = (an+xn+1)=xn, where fang is a k-periodic sequence of positive numbers with primitive period k. We show that for the cases k 2 f1; 2; 3; 6g the behavior of the sequence fxng is simple (integrable) while for the remaining cases satisfying this behavior can be much more complicated (chaotic). We also show that the cases where k is a multiple of 5 present some di erent features.

Weakly linked binary mixtures of F = 1 87Rb Bose-Einstein condensates

We present a study of binary mixtures of Bose-Einstein condensates confined in a double-well potential within the framework of the mean field Gross-Pitaevskii (GP) equation. We re-examine both the single component and the binary mixture cases for such a potential, and we investigate what are the situations in which a simpler two-mode approach leads to an accurate description of their dynamics. We also estimate the validity of the most usual dimensionality reductions used to solve the GP equations. To this end, we compare both the semi-analytical two-mode approaches and the numerical simulations of the one-dimensional (1D) reductions with the full 3D numerical solutions of the GP equation. Our analysis provides a guide to clarify the validity of several simplified models that describe mean-field nonlinear dynamics, using an experimentally feasible binary mixture of an F = 1 spinor condensate with two of its Zeeman manifolds populated, m = ±1.

Weakly linked binary mixtures of F = 1 87Rb Bose-Einstein condensates

We present a study of binary mixtures of Bose-Einstein condensates confined in a double-well potential within the framework of the mean field Gross-Pitaevskii (GP) equation. We re-examine both the single component and the binary mixture cases for such a potential, and we investigate what are the situations in which a simpler two-mode approach leads to an accurate description of their dynamics. We also estimate the validity of the most usual dimensionality reductions used to solve the GP equations. To this end, we compare both the semi-analytical two-mode approaches and the numerical simulations of the one-dimensional (1D) reductions with the full 3D numerical solutions of the GP equation. Our analysis provides a guide to clarify the validity of several simplified models that describe mean-field nonlinear dynamics, using an experimentally feasible binary mixture of an F = 1 spinor condensate with two of its Zeeman manifolds populated, m = ±1.