The aggregate claims distribution of a life insurance portfolio with a pairwise positive dependence structure

The individual life model has always been considered as the one closest to the real situation of the total claims of a life insurance portfolio. It only makes the ¿nearly inevitable assumption¿ of independence of the lifelenghts of insured persons in the portfolio. Many clinical studies, however, have demonstrated positive dependence of paired lives such as husband and wife. In our opinion, it won¿t be unrealistic expecting a considerable number of married couples in any life insurance portfolio (e.g. life insurance contracts formalized at the time of signing a mortatge) and these dependences materially increase the values for the stop-loss premiums associated to the aggregate claims of the portfolio. Since the stop-loss order is the order followed by any risk averse decison maker, the simplifying hypothesis of independence constitute a real financial danger for the company, in the sense that most of their decisions are based on the aggregated claims distribution. In this paper, we will determine approximations for the distribution of the aggregate claims of a life insurance portfolio with some married couples and we will describe how to make safe decisions when we don¿t know exactly the dependence structure between the risks in each couple. Results in this paper are partly based on results in Dhaene and Goovaerts (1997)

Ownership structure and innovation: Is there a real link?

This work focuses on the study of the relationship between ownership and control structure of the company and its innovative activity. Its aim consists of analysing the role that may be played by determinants within the company related to ownership structure when the decision to incur research and development activities is taken as well as on the output of this innovate process. Among these determinants we may think of issues such as who owns the firm and how the control of decision-making is distributed, the nature of this control and the level of concentration of ownership, among others. The study is carried out for the year 2001 using a representative sample of Spanish manufacturing industries.

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.

Dynamic structure function in 3-4He mixtures

Relevant features of the dynamic structure function S(q,¿) in 3-4He mixtures at zero temperature are investigated starting from known properties of the ground state. Sum rules are used to fix rigorous constraints to the different contributions to S(q,¿), coming from 3He and 4He elementary excitations, as well as to explore the role of the cross term S(3,4)(q,¿). Both the low-q (phonon-roton 4He excitations and 1p-1h 3He excitations) and high-q (deep-inelastic-scattering) ranges are discussed.

Structure and energetics of mixed 4He-3He drops

Using a finite-range density functional, we have investigated the energetics and structural features of mixed helium clusters. The possibility of doping the cluster with a molecule of sulfur hexafluoride is also considered. It is seen that the repulsion introduced by the impurity strongly modifies the properties of the smallest drops. Although only a qualitative comparison is possible, the gross features displayed by our calculations are in agreement with recent experimental findings.

Structure and far-infrared edge modes of quantum antidots at zero magnetic field

We have investigated edge modes of different multipolarity sustained by quantum antidots at zero magnetic field. The ground state of the antidot is described within a local-density-functional formalism. Two sum rules, which are exact within this formalism, have been derived and used to evaluate the energy of edge collective modes as a function of the surface density and the size of the antidot.

Quantum wire with periodic serial structure

Electron wave motion in a quantum wire with periodic structure is treated by direct solution of the Schrödinger equation as a mode-matching problem. Our method is particularly useful for a wire consisting of several distinct units, where the total transfer matrix for wave propagation is just the product of those for its basic units. It is generally applicable to any linearly connected serial device, and it can be implemented on a small computer. The one-dimensional mesoscopic crystal recently considered by Ulloa, Castaño, and Kirczenow [Phys. Rev. B 41, 12 350 (1990)] is discussed with our method, and is shown to be a strictly one-dimensional problem. Electron motion in the multiple-stub T-shaped potential well considered by Sols et al. [J. Appl. Phys. 66, 3892 (1989)] is also treated. A structure combining features of both of these is investigated

Electronic structure of few-electron concentric double quantum rings

The ground state structure of few-electron concentric double quantum rings is investigated within the local spin density approximation. Signatures of inter-ring coupling in the addition energy spectrum are identified and discussed. We show that the electronic configurations in these structures can be greatly modulated by the inter-ring distance: At short and long distances the low-lying electron states localize in the inner and outer rings, respectively, and the energy structure is essentially that of an isolated single quantum ring. However, at intermediate distances the electron states localized in the inner and the outer ring become quasidegenerate and a rather entangled, strongly-correlated system is formed.

Hypernuclear structure with the new Nijmegen potentials

Information on level density for nuclei with mass numbers A?20250 is deduced from discrete low-lying levels and neutron resonance data. The odd-mass nuclei exhibit in general 47 times the level density found for their neighboring even-even nuclei at the same excitation energy. This excess corresponds to an entropy of ?1.7kB for the odd particle. The value is approximately constant for all midshell nuclei and for all ground state spins. For these nuclei it is argued that the entropy scales with the number of particles not coupled in Cooper pairs. A simple model based on the canonical ensemble theory accounts qualitatively for the observed properties.

Comment on "Influence of bulk properties on the surface structure of finite nuclei"

We comment on a recent paper by Uma Maheswari et al. in which it is claimed that quantal calculations of the half-infinite nuclear matter, in contrast to semiclassical approximations, exhibit an unusually strong dependence of the 90%10% surface thickness of the density profile on the Fermi momentum kF at saturation. This conclusion was carried over to the surface incompressibility. On the contrary we find essential agreement between semiclassical and quantal results and very weak dependence on kF of the quantities in question.

Kinematically complete analysis of the CLAS data on the proton structure Function F2 in a Regge-Dual model

The recently measured inclusive electron-proton cross section in the nucleon resonance region, performed with the CLAS detector at the Thomas Jefferson Laboratory, has provided new data for the nucleon structure function F2 with previously unavailable precision. In this paper we propose a description of these experimental data based on a Regge-dual model for F2. The basic inputs in the model are nonlinear complex Regge trajectories producing both isobar resonances and a smooth background. The model is tested against the experimental data, and the Q2 dependence of the moments is calculated. The fitted model for the structure function (inclusive cross section) is a limiting case of the more general scattering amplitude equally applicable to deeply virtual Compton scattering. The connection between the two is discussed.

Structure and Stability of 3He Droplets

We have studied the structure of 3He droplets at zero temperature using a density functional approach plus a configuration interaction calculation in an harmonic oscillator major shell. The most salient feature of open shell drops is that the valence atoms couple their spins to the maximum value compatible with Pauli's principle, building a large magnetic moment. We have determined that 29 atoms constitute the smallest self-bound droplet.