The optimal dividend barrier in the Gamma-Omega model

In the traditional actuarial risk model, if the surplus is negative, the company is ruined and has to go out of business. In this paper we distinguish between ruin (negative surplus) and bankruptcy (going out of business), where the probability of bankruptcy is a function of the level of negative surplus. The idea for this notion of bankruptcy comes from the observation that in some industries, companies can continue doing business even though they are technically ruined. Assuming that dividends can only be paid with a certain probability at each point of time, we derive closed-form formulas for the expected discounted dividends until bankruptcy under a barrier strategy. Subsequently, the optimal barrier is determined, and several explicit identities for the optimal value are found. The surplus process of the company is modeled by a Wiener process (Brownian motion).

The adaptive dynamics of niche constructing traits in spatially subdivided populations: evolving posthumous extended phenotypes.

Niche construction, by which organisms modify the environment in which they live, has been proposed to affect the evolution of many phenotypic traits. But what about the evolution of a niche constructing trait itself, whose expression changes the pattern of natural selection to which the trait is exposed in subsequent generations? This article provides an inclusive fitness analysis of selection on niche constructing phenotypes, which can affect their environment from local to global scales in arbitrarily spatially subdivided populations. The model shows that phenotypic effects of genes extending far beyond the life span of the actor can be affected by natural selection, provided they modify the fitness of those individuals living in the future that are likely to have inherited the niche construction lineage of the actor. Present benefits of behaviors are thus traded off against future indirect costs. The future costs will generally result from a complicated interplay of phenotypic effects, population demography and environmental dynamics. To illustrate these points, I derive the adaptive dynamics of a trait involved in the consumption of an abiotic resource, where resource abundance in future generations feeds back to the evolutionary dynamics of the trait.

Metallogenic model of the Trepca Pb-Zn-Ag skarn deposit, Kosovo: Evidence from fluid inclusions, Rare Earth Elements, and stable isotope data

The Trepca Pb-Zn-Ag skarn deposit (29 Mt of ore at 3.45% Pb, 2.30% Zn, and 80 g/t Ag) is located in the Kopaonik block of the western Vardar zone, Kosovo. The mineralization, hosted by recrystallized limestone of Upper Triassic age, was structurally and lithologically controlled. Ore deposition is spatially and temporally related with the postcollisional magmatism of Oligocene age (23-26 Ma). The deposit was formed during two distinct mineralization stages: an early prograde closed-system and a later retrograde open-system stage. The prograde mineralization consisting mainly of pyroxenes (Hd(54-100)Jo(0-45)Di(0-45)) resulted from the interaction of magmatic fluids associated with Oligocene (23-26 Ma) postcollisional magmatism. Whereas there is no direct contact between magmatic rocks and the mineralization, the deposit is classified as a distal Pb-Zn-Ag skarn. Abundant pyroxene reflects low oxygen fugacity (<10(-31) bar) and anhydrous environment. Fluid inclusion data and mineral assemblage limit the prograde stage within a temperature range between 390 degrees and 475 degrees C. Formation pressure is estimated below 900 bars. Isotopic composition of aqueous fluid, inclusions hosted by hedenbergite (delta D = -108 to -130 parts per thousand; delta O-18 = 7.5-8.0 parts per thousand), Mn-enriched mineralogy and high REE content of the host carbonates at the contact with the skarn mineralization suggest that a magmatic fluid was modified during its infiltration through the country rocks. The retrograde mineral assemblage comprises ilvaite, magnetite, arsenopyrite, pyrrhotite, marcasite, pyrite, quartz, and various carbonates. Increases in oxygen and sulfur fugacities, as well as a hydrous character of mineralization, require an open-system model. The opening of the system is related to phreatomagmatic explosion and formation of the breccia. Arsenopyrite geothermometer limits the retrograde stage within the temperature range between 350 degrees and 380 degrees C and sulfur fugacity between 10(-8.8) and 10(-7.2) bars. The principal ore minerals, galena, sphalerite, pyrite, and minor chalcopyrite, were deposited from a moderately saline Ca-Na chloride fluid at around 350 degrees C. According to the isotopic composition of fluid inclusions hosted by sphalerite (delta D = -55 to -74 parts per thousand; delta O-18 = -9.6 to -13.6 parts per thousand), the fluid responsible for ore deposition was dominantly meteoric in origin. The delta S-31 values of the sulfides spanning between -5.5 and +10 parts per thousand point to a magmatic origin of sulfur. Ore deposition appears to have been largely contemporaneous with the retrograde stage of the skarn development. Postore stage accompanied the precipitation of significant amount of carbonates including the travertine deposits at the deposit surface. Mineralogical composition of travertine varies from calcite to siderite and all carbonates contain significant amounts of Mn. Decreased formation temperature and depletion in the REE content point to an influence of pH-neutralized cold ground water and dying magmatic system.

Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier

In this paper we analyze the time of ruin in a risk process with the interclaim times being Erlang(n) distributed and a constant dividend barrier. We obtain an integro-differential equation for the Laplace Transform of the time of ruin. Explicit solutions for the moments of the time of ruin are presented when the individual claim amounts have a distribution with rational Laplace transform. Finally, some numerical results and a compare son with the classical risk model, with interclaim times following an exponential distribution, are given.

On the use of spatially discrete data to compute energy and mass balance

In many practical applications the state of field soils is monitored by recording the evolution of temperature and soil moisture at discrete depths. We theoretically investigate the systematic errors that arise when mass and energy balances are computed directly from these measurements. We show that, even with no measurement or model errors, large residuals might result when finite difference approximations are used to compute fluxes and storage term. To calculate the limits set by the use of spatially discrete measurements on the accuracy of balance closure, we derive an analytical solution to estimate the residual on the basis of the two key parameters: the penetration depth and the distance between the measurements. When the thickness of the control layer for which the balance is computed is comparable to the penetration depth of the forcing (which depends on the thermal diffusivity and on the forcing period) large residuals arise. The residual is also very sensitive to the distance between the measurements, which requires accurately controlling the position of the sensors in field experiments. We also demonstrate that, for the same experimental setup, mass residuals are sensitively larger than the energy residuals due to the nonlinearity of the moisture transport equation. Our analysis suggests that a careful assessment of the systematic mass error introduced by the use of spatially discrete data is required before using fluxes and residuals computed directly from field measurements.

Comment on the plasmon model for image-potential-induced surface states

Calculations of the binding energy of bound positron states in metal surfaces, with explicit inclusion of plasmon dispersion and single-particle effects, are presented. The binding energy is greatly reduced with respect to the undispersed case.

Colored noise in spatially extended systems

We study the effects of time and space correlations of an external additive colored noise on the steady-state behavior of a time-dependent Ginzburg-Landau model. Simulations show the existence of nonequilibrium phase transitions controlled by both the correlation time and length of the noise. A Fokker-Planck equation and the steady probability density of the process are obtained by means of a theoretical approximation.

Closure of the Monte Carlo dynamical equation in the spherical Sherrington-Kirkpatrick model

We study the analytical solution of the Monte Carlo dynamics in the spherical Sherrington-Kirkpatrick model using the technique of the generating function. Explicit solutions for one-time observables (like the energy) and two-time observables (like the correlation and response function) are obtained. We show that the crucial quantity which governs the dynamics is the acceptance rate. At zero temperature, an adiabatic approximation reveals that the relaxational behavior of the model corresponds to that of a single harmonic oscillator with an effective renormalized mass.

MORM--a Petri net based model for assessing OH&S risks in industrial processes: modeling qualitative aspects.

Because of the increase in workplace automation and the diversification of industrial processes, workplaces have become more and more complex. The classical approaches used to address workplace hazard concerns, such as checklists or sequence models, are, therefore, of limited use in such complex systems. Moreover, because of the multifaceted nature of workplaces, the use of single-oriented methods, such as AEA (man oriented), FMEA (system oriented), or HAZOP (process oriented), is not satisfactory. The use of a dynamic modeling approach in order to allow multiple-oriented analyses may constitute an alternative to overcome this limitation. The qualitative modeling aspects of the MORM (man-machine occupational risk modeling) model are discussed in this article. The model, realized on an object-oriented Petri net tool (CO-OPN), has been developed to simulate and analyze industrial processes in an OH&S perspective. The industrial process is modeled as a set of interconnected subnets (state spaces), which describe its constitutive machines. Process-related factors are introduced, in an explicit way, through machine interconnections and flow properties. While man-machine interactions are modeled as triggering events for the state spaces of the machines, the CREAM cognitive behavior model is used in order to establish the relevant triggering events. In the CO-OPN formalism, the model is expressed as a set of interconnected CO-OPN objects defined over data types expressing the measure attached to the flow of entities transiting through the machines. Constraints on the measures assigned to these entities are used to determine the state changes in each machine. Interconnecting machines implies the composition of such flow and consequently the interconnection of the measure constraints. This is reflected by the construction of constraint enrichment hierarchies, which can be used for simulation and analysis optimization in a clear mathematical framework. The use of Petri nets to perform multiple-oriented analysis opens perspectives in the field of industrial risk management. It may significantly reduce the duration of the assessment process. But, most of all, it opens perspectives in the field of risk comparisons and integrated risk management. Moreover, because of the generic nature of the model and tool used, the same concepts and patterns may be used to model a wide range of systems and application fields.

Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier

In this paper we analyze the time of ruin in a risk process with the interclaim times being Erlang(n) distributed and a constant dividend barrier. We obtain an integro-differential equation for the Laplace Transform of the time of ruin. Explicit solutions for the moments of the time of ruin are presented when the individual claim amounts have a distribution with rational Laplace transform. Finally, some numerical results and a compare son with the classical risk model, with interclaim times following an exponential distribution, are given.

Diffusive transport in spatially periodic hydrodynamic flows

We calculate the effective diffusion coefficient in convective flows which are well described by one spatial mode. We use an expansion in the distance from onset and homogenization methods to obtain an explicit expression for the transport coefficient. We find that spatially periodic fluid flow enhances the molecular diffusion D by a term proportional to D-1. This enhancement should be easy to observe in experiments, since D is a small number.

Spontaneous mirror symmetry breaking in the limited enantioselective autocatalysis model: abyssal hydrotermal vents as scenario for the emergence of chirality in prebiotic chemistry

The emergence of chirality in enantioselective autocatalysis for compounds unable to transform according to the Frank-like reaction network is discussed with respect to the controversial limited enantioselectivity (LES) model composed of coupled enantioselective and non-enantioselective autocatalyses. The LES model cannot lead to spontaneous mirror symmetry breaking (SMSB) either in closed systems with a homogeneous temperature distribution or in closed systems with a stationary non-uniform temperature distribution. However, simulations of chemical kinetics in a two-compartment model demonstrate that SMSB may occur if both autocatalytic reactions are spatially separated at different temperatures in different compartments but coupled under the action of a continuous internal flow. In such conditions, the system can evolve, for certain reaction and system parameters, toward a chiral stationary state; that is, the system is able to reach a bifurcation point leading to SMSB. Numerical simulations in which reasonable chemical parameters have been used suggest that an ade- quate scenario for such a SMSB would be that of abyssal hydrothermal vents, by virtue of the typical temper- ature gradients found there and the role of inorganic solids mediating chemical reactions in an enzyme-like role. Key Words: Homochirality Prebiotic chemistry.

Using spatially distributed parameters and multi-response objective functions to solve parameterization of complex applications of semi-distributed hydrological models

Application of semi-distributed hydrological models to large, heterogeneous watersheds deals with several problems. On one hand, the spatial and temporal variability in catchment features should be adequately represented in the model parameterization, while maintaining the model complexity in an acceptable level to take advantage of state-of-the-art calibration techniques. On the other hand, model complexity enhances uncertainty in adjusted model parameter values, therefore increasing uncertainty in the water routing across the watershed. This is critical for water quality applications, where not only streamflow, but also a reliable estimation of the surface versus subsurface contributions to the runoff is needed. In this study, we show how a regularized inversion procedure combined with a multiobjective function calibration strategy successfully solves the parameterization of a complex application of a water quality-oriented hydrological model. The final value of several optimized parameters showed significant and consistentdifferences across geological and landscape features. Although the number of optimized parameters was significantly increased by the spatial and temporal discretization of adjustable parameters, the uncertainty in water routing results remained at reasonable values. In addition, a stepwise numerical analysis showed that the effects on calibration performance due to inclusion of different data types in the objective function could be inextricably linked. Thus caution should be taken when adding or removing data from an aggregated objective function.

Self-potentials in partially saturated media: the importance of explicit modeling of electrode effects

Self-potential (SP) data are of interest to vadose zone hydrology because of their direct sensitivity to water flow and ionic transport. There is unfortunately little consensus in the literature about how to best model SP data under partially saturated conditions, and different approaches (often supported by one laboratory data set alone) have been proposed. We argue that this lack of agreement can largely be traced to electrode effects that have not been properly taken into account. A series of drainage and imbibition experiments were considered in which we found that previously proposed approaches to remove electrode effects were unlikely to provide adequate corrections. Instead, we explicitly modeled the electrode effects together with classical SP contributions using a flow and transport model. The simulated data agreed overall with the observed SP signals and allowed decomposing the different signal contributions to analyze them separately. After reviewing other published experimental data, we suggest that most of them include electrode effects that have not been properly taken into account. Our results suggest that previously presented SP theory works well when considering the modeling uncertainties presently associated with electrode effects. Additional work is warranted to not only develop suitable electrodes for laboratory experiments but also to assure that associated electrode effects that appear inevitable in longer term experiments are predictable, so that they can be incorporated into the modeling framework.

A semi-grand canonical Monte Carlo simulation model for ion binding to ionizable surfaces: proton binding of carboxylated latex particles as a case study

In this paper, we present a computer simulation study of the ion binding process at an ionizable surface using a semi-grand canonical Monte Carlo method that models the surface as a discrete distribution of charged and neutral functional groups in equilibrium with explicit ions modelled in the context of the primitive model. The parameters of the simulation model were tuned and checked by comparison with experimental titrations of carboxylated latex particles in the presence of different ionic strengths of monovalent ions. The titration of these particles was analysed by calculating the degree of dissociation of the latex functional groups vs. pH curves at different background salt concentrations. As the charge of the titrated surface changes during the simulation, a procedure to keep the electroneutrality of the system is required. Here, two approaches are used with the choice depending on the ion selected to maintain electroneutrality: counterion or coion procedures. We compare and discuss the difference between the procedures. The simulations also provided a microscopic description of the electrostatic double layer (EDL) structure as a function of p H and ionic strength. The results allow us to quantify the effect of the size of the background salt ions and of the surface functional groups on the degree of dissociation. The non-homogeneous structure of the EDL was revealed by plotting the counterion density profiles around charged and neutral surface functional groups.