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.

Relaxation times in a bistable system with parametric, white noise: Theory and experiment

We consider the effects of external, multiplicative white noise on the relaxation time of a general representation of a bistable system from the points of view provided by two, quite different, theoretical approaches: the classical Stratonovich decoupling of correlations and the new method due to Jung and Risken. Experimental results, obtained from a bistable electronic circuit, are compared to the theoretical predictions. We show that the phenomenon of critical slowing down appears as a function of the noise parameters, thereby providing a correct characterization of a noise-induced transition.

Classical solutions of the leading-logarithm approximation with non-trivial topology

Exact solutions of the classical equations corresponding to the leading-logarithm approximation are obtained. They are classified by an (integer) topological number.

Derivation of the gauge-invariant action for open and closed free bosonic string field theories

The gauge-invariant actions for open and closed free bosonic string field theories are obtained from the string field equations in the conformal gauge using the cohomology operations of Banks and Peskin. For the closed-string theory no restrictions are imposed on the gauge parameters.

BRST-invariant path integral for a spinning relativistic particle

The propagator of a relativistic spinning particle is calculated using the Becchi-Rouet-Stora-Tyutin-(BRST)-invariant path-integral formalism of Fradkin and Vilkovisky. The spinless case is considered as an introduction to the formalism.

Gauge-invariant actions from constraint Hamiltonian dynamics

Dirac's constraint Hamiltonian formalism is used to construct a gauge-invariant action for the massive spin-one and -two fields.

Spin-3/2 gravitational trace anomaly

It is argued that previous computations of the spin-(3/2 anomaly have spurious contributions, as there is Weyl-invariance breaking already at the classical level. The genuine, gauge-invariant, spin-(3/2 gravitational trace anomaly is computed here.

Poincar-Cartan integral invariant and canonical transformation for singular lagrangians

In this work we develop the canonical formalism for constrained systems with a finite number of degrees of freedom by making use of the PoincarCartan integral invariant method. A set of variables suitable for the reduction to the physical ones can be obtained by means of a canonical transformation. From the invariance of the PoincarCartan integral under canonical transformations we get the form of the equations of motion for the physical variables of the system.

Poincar-Cartan intregral invariant and canonical trasformation for singular Lagrangians: an addendum

The results of a previous work, concerning a method for performing the canonical formalism for constrained systems, are extended when the canonical transformation proposed in that paper is explicitly time dependent.

Perturbation theory and locality in the Field-Antifield formalism

The BatalinVilkovisky formalism is studied in the framework of perturbation theory by analyzing the antibracket BecchiRouetStoraTyutin (BRST) cohomology of the proper solution S0. It is concluded that the recursive equations for the complete proper solution S can be solved at any order of perturbation theory. If certain conditions on the classical action and on the gauge generators are imposed the solution can be taken local.

On the many-time formulation of classical particle dynamics

Starting from the standard one-time dynamics of n nonrelativistic particles, the n-time equations of motion are inferred, and a variational principle is formulated. A suitable generalization of the classical LieKnig theorem is demonstrated, which allows the determination of all the associated presymplectic structures. The conditions under which the action of an invariance group is canonical are studied, and a corresponding Noether theorem is deduced. A formulation of the theory in terms of n first-class constraints is recovered by means of coisotropic imbeddings. The proposed approach also provides for a better understanding of the relativistic particle dynamics, since it shows that the different roles of the physical positions and the canonical variables is not peculiar to special relativity, but rather to any n-time approach: indeed a nonrelativistic no-interaction theorem is deduced.

Invariant decomposition of the retarded electromagnetic field.

The integral representation of the electromagnetic two-form, defined on Minkowski space-time, is studied from a new point of view. The aim of the paper is to obtain an invariant criteria in order to define the radiative field. This criteria generalizes the well-known structureless charge case. We begin with the curvature two-form, because its field equations incorporate the motion of the sources. The gauge theory methods (connection one-forms) are not suited because their field equations do not incorporate the motion of the sources. We obtain an integral solution of the Maxwell equations in the case of a flow of charges in irrotational motion. This solution induces us to propose a new method of solving the problem of the nature of the retarded radiative field. This method is based on a projection tensor operator which, being local, is suited to being implemented on general relativity. We propose the field equations for the pair {electromagnetic field, projection tensor J. These field equations are an algebraic differential first-order system of oneforms, which verifies automatically the integrability conditions.

Massless minimally coupled fields in de Sitter space: O(4)-symmetric states versus de Sitter invariant vacuum

The issue of de Sitter invariance for a massless minimally coupled scalar field is examined. Formally, it is possible to construct a de Sitterinvariant state for this case provided that the zero mode of the field is quantized properly. Here we take the point of view that this state is physically acceptable, in the sense that physical observables can be computed and have a reasonable interpretation. In particular, we use this vacuum to derive a new result: that the squared difference between the field at two points along a geodesic observers spacetime path grows linearly with the observers proper time for a quantum state that does not break de Sitter invariance. Also, we use the Hadamard formalism to compute the renormalized expectation value of the energy-momentum tensor, both in the O(4)-invariant states introduced by Allen and Follaci, and in the de Sitterinvariant vacuum. We find that the vacuum energy density in the O(4)-invariant case is larger than in the de Sitterinvariant case.

Classical anisotropies in models of open inflation

In the simplest model of open inflation there are two inflaton fields decoupled from each other. One of them, the tunneling field, produces a first stage of inflation which prepares the ground for the nucleation of a highly symmetric bubble. The other, a free field, drives a second period of slow-roll inflation inside the bubble. However, the second field also evolves during the first stage of inflation, which to some extent breaks the needed symmetry. We show that this generates large supercurvature anisotropies which, together with the results of Tanaka and Sasaki, rule out this class of simple models (unless, of course, Omega0 is sufficiently close to 1). The problem does not arise in modified models where the second field does not evolve in the first stage of inflation.

On the Schoenberg transformations in data analysis: theory and illustrations

The class of Schoenberg transformations, embedding Euclidean distances into higher dimensional Euclidean spaces, is presented, and derived from theorems on positive definite and conditionally negative definite matrices. Original results on the arc lengths, angles and curvature of the transformations are proposed, and visualized on artificial data sets by classical multidimensional scaling. A distance-based discriminant algorithm and a robust multidimensional centroid estimate illustrate the theory, closely connected to the Gaussian kernels of Machine Learning.