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)

Term structure of interest rates. European financial integration

In this paper we estimate, analyze and compare the term structures of interest rates in six different countries over the period 1992-2004. We apply the Nelson-Siegel model to obtain the term structures of interest rates at weekly intervals. A total of 4,038 curves are estimated and analyzed. Four European Monetary Union countries¿Spain, France, Germany and Italy¿are included. The UK is also included as a European non-member of the Monetary Union. Finally the US completes the analysis. The goal is to determine the differences in the shapes of the term structure of interest rates among these countries. Likewise, we can determine the most usual term structure shapes that appear for each country.*****

A characterization of a new value and an existing value for cooperative games with levels structure of cooperation

En aquest treball presentem dues caracteritzacions de dos valors diferents en el marc dels jocs coalicionals amb cooperació restringida. Les restriccions són introduïdes com una seqüència finita de particions del conjunt del jugadors, de manera que cada una d'elles eés més grollera que l'anterior, formant així una estructura amb diferents nivells d'unions a priori.

Electronic structure and properties of AlN

The electronic structure of the wurtzite-type phase of aluminum nitride has been investigated by means of periodic ab initio Hartree-Fock calculations. The binding energy, lattice parameters (a,c), and the internal coordinate (u) have been calculated. All structural parameters are in excellent agreement with the experimental data. The electronic structure and bonding in AlN are analyzed by means of density-of-states projections and electron-density maps. The calculated values of the bulk modulus, its pressure derivative, the optical-phonon frequencies at the center of the Brillouin zone, and the full set of elastic constants are in good agreement with the experimental data.

Electronic structure and properties of Cu2O

The structural and electronic properties of Cu2O have been investigated using the periodic Hartree-Fock method and a posteriori density-functional corrections. The lattice parameter, bulk modulus, and elastic constants have been calculated. The electronic structure of and bonding in Cu2O are analyzed and compared with x-ray photoelectron spectroscopy spectra, showing a good agreement for the valence-band states. To check the quality of the calculated electron density, static structure factors and Compton profiles have been calculated, showing a good agreement with the available experimental data. The effective electron and hole masses have been evaluated for Cu2O at the center of the Brillouin zone. The calculated interaction energy between the two interpenetrated frameworks in the cuprite structure is estimated to be around -6.0 kcal/mol per Cu2O formula. The bonding between the two independent frameworks has been analyzed using a bimolecular model and the results indicate an important role of d10-d10 type interactions between copper atoms.

Electronic structure and magnetic interactions of the spin-chain compounds Ca2CuO3 and Sr2CuO3

The results are presented of a combined periodic and cluster model approach to the electronic structure and magnetic interactions in the spin-chain compounds Ca2CuO3 and Sr2CuO3. An extended t-J model is presented that includes in-chain and interchain hopping and magnetic interaction processes with parameters extracted from ab initio calculations. For both compounds, the in-chain magnetic interaction is found to be around -240 meV, larger than in any of the other cuprates reported in the literature. The interchain magnetic coupling is found to be weakly antiferromagnetic, -1 meV. The effective in-chain hopping parameters are estimated to be ~650 meV for both compounds, whereas the value of the interchain hopping parameter is 30 meV for Sr2CuO3 and 40 meV for Ca2CuO3, in line with the larger interchain distance in the former compound. These effective parameters are shown to be consistent with expressions recently suggested for the Néel temperature and the magnetic moments, and with relations that emerge from the t-J model Hamiltonian. Next, we investigate the physical nature of the band gap. Periodic calculations indicate that an interpretation in terms of a charge-transfer insulator is the most appropriate one, in contrast to the suggestion of a covalent correlated insulator recently reported in the literature.

Magnetic structure of Li2CuO2: From ab initio calculations to macroscopic simulations

The magnetic structure of the edge-sharing cuprate compound Li2CuO2 has been investigated with highly correlated ab initio electronic structure calculations. The first- and second-neighbor in-chain magnetic interactions are calculated to be 142 and -22 K, respectively. The ratio between the two parameters is smaller than suggested previously in the literature. The interchain interactions are antiferromagnetic in nature and of the order of a few K only. Monte Carlo simulations using the ab initio parameters to define the spin model Hamiltonian result in a Nel temperature in good agreement with experiment. Spin population analysis situates the magnetic moment on the copper and oxygen ions between the completely localized picture derived from experiment and the more delocalized picture based on local-density calculations.

Effective t-J model Hamiltonian parameters of monolayered cuprate superconductors from ab initio electronic structure calculations

The magnetic coupling constant of selected cuprate superconductor parent compounds has been determined by means of embedded cluster model and periodic calculations carried out at the same level of theory. The agreement between both approaches validates the cluster model. This model is subsequently employed in state-of-the-art configuration interaction calculations aimed to obtain accurate values of the magnetic coupling constant and hopping integral for a series of superconducting cuprates. Likewise, a systematic study of the performance of different ab initio explicitly correlated wave function methods and of several density functional approaches is presented. The accurate determination of the parameters of the t-J Hamiltonian has several consequences. First, it suggests that the appearance of high-Tc superconductivity in existing monolayered cuprates occurs with J/t in the 0.20¿0.35 regime. Second, J/t=0.20 is predicted to be the threshold for the existence of superconductivity and, third, a simple and accurate relationship between the critical temperatures at optimum doping and these parameters is found. However, this quantitative electronic structure versus Tc relationship is only found when both J and t are obtained at the most accurate level of theory.

Electronic structure of a neutral oxygen vacancy in SrTiO3

The electronic structure of an isolated oxygen vacancy in SrTiO3 has been investigated with a variety of ab initio quantum mechanical approaches. In particular we compared pure density functional theory (DFT) approaches with the Hartree-Fock method, and with hybrid methods where the exchange term is treated in a mixed way. Both local cluster models and periodic calculations with large supercells containing up to 80 atoms have been performed. Both diamagnetic (singlet state) and paramagnetic (triplet state) solutions have been considered. We found that the formation of an O vacancy is accompanied by the transfer of two electrons to the 3d(z2) orbitals of the two Ti atoms along the Ti-Vac-Ti axis. The two electrons are spin coupled and the ground state is diamagnetic. New states associated with the defect center appear in the gap just below the conduction band edge. The formation energy computed with respect to an isolated oxygen atom in the triplet state is 9.4 eV.

Electronic and magnetic structure of LaMnO3 from hybrid periodic density-functional theory

The electronic and magnetic structures of the LaMnO3 compound have been studied by means of periodic calculations within the framework of spin polarized hybrid density-functional theory. In order to quantify the role of approximations to electronic exchange and correlation three different hybrid functionals have been used which mix nonlocal Fock and local Dirac-Slater exchange. Periodic Hartree-Fock results are also reported for comparative purposes. The A-antiferromagnetic ground state is properly predicted by all methods including Hartree-Fock exchange. In general, the different hybrid methods provide a rather accurate description of the band gap and of the two magnetic coupling constants, strongly suggesting that the corresponding description of the electronic structure is also accurate. An important conclusion emerging from this study is that the nature of the occupied states near the Fermi level is intermediate between the Hartree-Fock and local density approximation descriptions with a comparable participation of both Mn and O states.

Surface structure and stability of PdZn and PtZn alloys: Density-functional slab model studies

Geometric parameters of binary (1:1) PdZn and PtZn alloys with CuAu-L10 structure were calculated with a density functional method. Based on the total energies, the alloys are predicted to feature equal formation energies. Calculated surface energies of PdZn and PtZn alloys show that (111) and (100) surfaces exposing stoichiometric layers are more stable than (001) and (110) surfaces comprising alternating Pd (Pt) and Zn layers. The surface energy values of alloys lie between the surface energies of the individual components, but they differ from their composition weighted averages. Compared with the pure metals, the valence d-band widths and the Pd or Pt partial densities of states at the Fermi level are dramatically reduced in PdZn and PtZn alloys. The local valence d-band density of states of Pd and Pt in the alloys resemble that of metallic Cu, suggesting that a similar catalytic performance of these systems can be related to this similarity in the local electronic structures.