Ruin Theory with Excess of Loss Reinsurance and Reinstatements

The present paper studies the probability of ruin of an insurer, if excess of loss reinsurance with reinstatements is applied. In the setting of the classical Cramer-Lundberg risk model, piecewise deterministic Markov processes are used to describe the free surplus process in this more general situation. It is shown that the finite-time ruin probability is both the solution of a partial integro-differential equation and the fixed point of a contractive integral operator. We exploit the latter representation to develop and implement a recursive algorithm for numerical approximation of the ruin probability that involves high-dimensional integration. Furthermore we study the behavior of the finite-time ruin probability under various levels of initial surplus and security loadings and compare the efficiency of the numerical algorithm with the computational alternative of stochastic simulation of the risk process. (C) 2011 Elsevier Inc. All rights reserved.

Dynamic Performance Evaluation of Canadian Fixed-Income Funds using Markov Regime Switching Models

This thesis examines the performance of Canadian fixed-income mutual funds in the context of an unobservable market factor that affects mutual fund returns. We use various selection and timing models augmented with univariate and multivariate regime-switching structures. These models assume a joint distribution of an unobservable latent variable and fund returns. The fund sample comprises six Canadian value-weighted portfolios with different investing objectives from 1980 to 2011. These are the Canadian fixed-income funds, the Canadian inflation protected fixed-income funds, the Canadian long-term fixed-income funds, the Canadian money market funds, the Canadian short-term fixed-income funds and the high yield fixed-income funds. We find strong evidence that more than one state variable is necessary to explain the dynamics of the returns on Canadian fixed-income funds. For instance, Canadian fixed-income funds clearly show that there are two regimes that can be identified with a turning point during the mid-eighties. This structural break corresponds to an increase in the Canadian bond index from its low values in the early 1980s to its current high values. Other fixed-income funds results show latent state variables that mimic the behaviour of the general economic activity. Generally, we report that Canadian bond fund alphas are negative. In other words, fund managers do not add value through their selection abilities. We find evidence that Canadian fixed-income fund portfolio managers are successful market timers who shift portfolio weights between risky and riskless financial assets according to expected market conditions. Conversely, Canadian inflation protected funds, Canadian long-term fixed-income funds and Canadian money market funds have no market timing ability. We conclude that these managers generally do not have positive performance by actively managing their portfolios. We also report that the Canadian fixed-income fund portfolios perform asymmetrically under different economic regimes. In particular, these portfolio managers demonstrate poorer selection skills during recessions. Finally, we demonstrate that the multivariate regime-switching model is superior to univariate models given the dynamic market conditions and the correlation between fund portfolios.

Measuring motion with kinematically redundant accelerometer arrays: theory, simulation and implementation

This work presents two schemes of measuring the linear and angular kinematics of a rigid body using a kinematically redundant array of triple-axis accelerometers with potential applications in biomechanics. A novel angular velocity estimation algorithm is proposed and evaluated that can compensate for angular velocity errors using measurements of the direction of gravity. Analysis and discussion of optimal sensor array characteristics are provided. A damped 2 axis pendulum was used to excite all 6 DoF of the a suspended accelerometer array through determined complex motion and is the basis of both simulation and experimental studies. The relationship between accuracy and sensor redundancy is investigated for arrays of up to 100 triple axis (300 accelerometer axes) accelerometers in simulation and 10 equivalent sensors (30 accelerometer axes) in the laboratory test rig. The paper also reports on the sensor calibration techniques and hardware implementation.

Photoproduction of heavy quarks in next-to-leading order QCD with longitudinally polarized initial states

We present all relevant details of our calculation of the complete next-to-leading order O(αS2α) QCD corrections to heavy flavor photoproduction with longitudinally polarized point-like photons and hadrons. In particular we provide analytical results for the virtual plus soft gluon cross section. We carefully address the relevance of remaining theoretical uncertainties by varying, for instance, the factorization and renormalization scales independently. Such studies are of importance for a meaningful first direct determination of the polarized gluon density Δg from the total charm production spin asymmetry by the upcoming COMPASS experiment. It is shown that the scale uncertainty is considerably reduced in next-to-leading order, but the dependence on the charm quark mass is sizable at fixed target energies. Finally, we study several differential single-inclusive heavy quark distributions and, for the polarized HERA option, the total bottom spin asymmetry.

Myeloperoxidase activity is increased in gingival crevicular fluid and whole saliva after fixed orthodontic appliance activation

Introduction: Orthodontic tooth movement uses mechanical forces that result in inflammation in the first days. Myeloperoxidase (MPO) is an enzyme found in polymorphonuclear neutrophil (PMN) granules, and it is used to estimate the number of PMN granules in tissues. So far, MPO has not been used to study the inflammatory alterations after the application of orthodontic tooth movement forces. The aim of this study was to determine MPO activity in the gingival crevicular fluid (GCF) and saliva (whole stimulated saliva) of orthodontic patients at different time points after fixed appliance activation. Methods: MPO was determined in the GCF and collected by means of periopaper from the saliva of 14 patients with orthodontic fixed appliances. GCF and saliva samples were collected at baseline, 2 hours, and 7 and 14 days after application of the orthodontic force. Results: Mean MPO activity was increased in both the GCF and saliva of orthodontic patients at 2 hours after appliance activation (P<0.02 for all comparisons). At 2 hours, PMN infiltration into the periodontal ligament from the orthodontic force probably results in the increased MPO level observed at this time point. Conclusions: MPO might be a good marker to assess inflammation in orthodontic movement; it deserves further studies in orthodontic therapy. (Am J Orthod Dentofacial Orthop 2010;138:613-6)

Hierarchical spherical model from a geometric point of view

A continuous version of the hierarchical spherical model at dimension d=4 is investigated. Two limit distributions of the block spin variable X(gamma), normalized with exponents gamma = d + 2 and gamma=d at and above the critical temperature, are established. These results are proven by solving certain evolution equations corresponding to the renormalization group (RG) transformation of the O(N) hierarchical spin model of block size L(d) in the limit L down arrow 1 and N ->infinity. Starting far away from the stationary Gaussian fixed point the trajectories of these dynamical system pass through two different regimes with distinguishable crossover behavior. An interpretation of this trajectories is given by the geometric theory of functions which describe precisely the motion of the Lee-Yang zeroes. The large-N limit of RG transformation with L(d) fixed equal to 2, at the criticality, has recently been investigated in both weak and strong (coupling) regimes by Watanabe (J. Stat. Phys. 115:1669-1713, 2004) . Although our analysis deals only with N = infinity case, it complements various aspects of that work.

Statistical coupling analysis of aspartic proteinases based on crystal structures of the Trichoderma reesei enzyme and its complex with pepstatin A

The crystal structures of an aspartic proteinase from Trichoderma reesei (TrAsP) and of its complex with a competitive inhibitor, pepstatin A, were solved and refined to crystallographic R-factors of 17.9% (R(free)=21.2%) at 1.70 angstrom resolution and 15.81% (R(free) = 19.2%) at 1.85 angstrom resolution, respectively. The three-dimensional structure of TrAsP is similar to structures of other members of the pepsin-like family of aspartic proteinases. Each molecule is folded in a predominantly beta-sheet bilobal structure with the N-terminal and C-terminal domains of about the same size. Structural comparison of the native structure and the TrAsP-pepstatin complex reveals that the enzyme undergoes an induced-fit, rigid-body movement upon inhibitor binding, with the N-terminal and C-terminal lobes tightly enclosing the inhibitor. Upon recognition and binding of pepstatin A, amino acid residues of the enzyme active site form a number of short hydrogen bonds to the inhibitor that may play an important role in the mechanism of catalysis and inhibition. The structures of TrAsP were used as a template for performing statistical coupling analysis of the aspartic protease family. This approach permitted, for the first time, the identification of a network of structurally linked residues putatively mediating conformational changes relevant to the function of this family of enzymes. Statistical coupling analysis reveals coevolved continuous clusters of amino acid residues that extend from the active site into the hydrophobic cores of each of the two domains and include amino acid residues from the flap regions, highlighting the importance of these parts of the protein for its enzymatic activity. (C) 2008 Elsevier Ltd. All rights reserved.

ABELIANIZED OBSTRUCTION FOR FIXED POINTS OF FIBER-PRESERVING MAPS OF SURFACE BUNDLES

Let f: M -> M be a fiber-preserving map where S -> M -> B is a bundle and S is a closed surface. We study the abelianized obstruction, which is a cohomology class in dimension 2, to deform f to a fixed point free map by a fiber-preserving homotopy. The vanishing of this obstruction is only a necessary condition in order to have such deformation, but in some cases it is sufficient. We describe this obstruction and we prove that the vanishing of this class is equivalent to the existence of solution of a system of equations over a certain group ring with coefficients given by Fox derivatives.

Realistic grasping of rigid virtual objects through event-based haptics

This research presents a novel haptic grasping interface and demonstrates its ability within multi-point event-based feedback. Through experimental methodology, the dynamics involved in grasp contact interactions are modelled based on first principles. The proposed approach demonstrates a method of realistically representing grasp contact with rigid virtual objects through multi-point interaction.

Cameras and body memory create new blends of performance with visual art practice

I propose that a learnt somatic experience of dance can translate into another discipline such as visual art. In my visual art practice I combine both photography, which is traditionally seen as a still medium, and performance in order to create a new form of embodiment. I have developed two series of art works of prints and video made in response to the Australian landscape. By analyzing my method of movement and photography I will describe how an embodied dance language can result in a material outcome – a series of drawings of light and movement, a body signature made possible through old and new technology. I have activated a performative state while capturing images discovering new ways of using technology reliant upon my knowledge of dance, performance and photography. Making a human size camera to make analogue prints I gained an intuitive knowledge of light – a skill that has become foundational in performance and photography. In response to space and light in the Australian landscape I then built a custom made camera that allows for the longest possible time to capture an image. I move while taking the image and use the camera as if an eye at the end of my arm. In this way I activate dance skills and embodied knowledge of space, timing and light, opening up a radical space for new thinking, making and performing.Furthermore this process engages memory and sentiment embodied through age. Many artists have responded to the unique qualities of the Australian landscape and by using a performative/photographic approach I have engaged with my own body memory. Being brought up in the landscape and training in ballet my body has acquired memories at a cellular level. My method has given memory a voice. In doing these works I have become conscious of how unconscious memories of the space and light in the landscape is a movement vocabulary activated in a way that ‘feels’ like dancing. As an ageing person this experience is profound and the resultant materialisation of the photographs and videos leave a material record of the event. The sentiments evoked through my process bridge the past with the present, the body with the mind, memory with body and space connecting disciplines in a new way.The materialisation of artworks itself continues cross-disciplinary processes using a technique that is a continuum of the performative. Through using technology I release memory of the landscape and pixel by pixel build imagery that relies on and is a part of the performative process. It is a photographic performance dance manifesting as pigment on paper exhibited a gallery context. The exhibition allows a space for the viewer to respond - re-membering the universal the act of moving. The works titled ‘body signatures’ and ‘Fly Rhythm’ become a communicative device in the gallery context.My paper through an analysis of process and methods used in making the two series will talk to several of the subjects listed and reveal a new way of connecting performance and visual art and old and new technologies.

The evolution of microbands and their interaction with NbC precipitates during hot deformation of a Fe-30Ni-Nb model austenitic steel

The present work has investigated the evolution of microbands (MBs) and their interaction with strain-induced NbC precipitates during uniaxial compression of a model austenitic Fe-30Ni-Nb steel at 925 °C. The (1 1 0) fibre grains, both without and with copious amounts of precipitates, contained up to large strains crystallographic MBs aligned close to the highly stressed {1 1 1} slip planes having large Schmid factors. The MBs thus maintained their crystallographic character during straining, through continuously rearranging themselves, and did not follow the macroscopically imposed rigid body rotation. During double-pass deformation, fine NbC particles formed at short inter-pass holding remained strongly pinned at small reloading strains and appeared to be dragged by rearranging MB walls. With increasing reloading strain, the fine precipitates became progressively released from the above walls. During reloading after increased holding time, the coarsened particles tended with their increased size to become increasingly detached from the MB walls already at a small strain. The precipitate-free MB wall segments rearranged during straining to maintain their crystallographic alignment, while the detached precipitates followed the sample shape change and rotated towards the compression plane. The MB wall rearrangement generally occurred through cooperative migration of the corresponding dislocation networks.

Nonautonomous difference equations with applications

This work is divided in two parts. In the first part we develop the theory of discrete nonautonomous dynamical systems. In particular, we investigate skew-product dynamical system, periodicity, stability, center manifold, and bifurcation. In the second part we present some concrete models that are used in ecology/biology and economics. In addition to developing the mathematical theory of these models, we use simulations to construct graphs that illustrate and describe the dynamics of the models. One of the main contributions of this dissertation is the study of the stability of some concrete nonlinear maps using the center manifold theory. Moreover, the second contribution is the study of bifurcation, and in particular the construction of bifurcation diagrams in the parameter space of the autonomous Ricker competition model. Since the dynamics of the Ricker competition model is similar to the logistic competition model, we believe that there exists a certain class of two-dimensional maps with which we can generalize our results. Finally, using the Brouwer’s fixed point theorem and the construction of a compact invariant and convex subset of the space, we present a proof of the existence of a positive periodic solution of the nonautonomous Ricker competition model.

On retarded differential equations with impulses

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Renormalization in few-body nuclear physics

Renormalized fixed-point Hamiltonians are formulated for systems described by interactions that originally contain point-like singularities (as the Dirac-delta and/or its derivatives). They express the renormalization group invariance of quantum mechanics. The present approach for the renormalization scheme relies on a subtracted T-matrix equation.

Vacuum energy as a c-function for theories with dynamically generated masses

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)