Ruin problems under IBNR Dynamics

In this paper, we consider a discrete-time risk process allowing for delay in claim settlement, which introduces a certain type of dependence in the process. From martingale theory, an expression for the ultimate ruin probability is obtained, and Lundberg-type inequalities are derived. The impact of delay in claim settlement is then investigated. To this end, a convex order comparison of the aggregate claim amounts is performed with the corresponding non-delayed risk model, and numerical simulations are carried out with Belgian market data.

Voimalaitos- ja jätevesitutkimus

Tässä työssä tutkittiin Stora Enso Oyj:n Heinolan Flutingtehtaan voimalaitos- ja jätevesien seuranta-analyysimenetelmien kehittämistä. Käytössä olevia menetelmiä vertailtiin vaihtoehtoisiin uusiin menetelmiin, jotka perustuvat erotustekniikoihin ja automaatioon. Flutingtehtaalla nykyisin käytössä olevat analyysimenetelmät perustuvat suurelta osin standardimäärityksiin, joissa käytetään pääasiassa titrausta. Määritykset vievät paljon aikaa, koska titraukset toteutetaan manuaalisesti. Titrausten päätepisteet tulkitaan esim. indikaattorin värinmuutoksella ja saostamalla, joten määritysten tarkkuus vaihtelee. Kokeellisessa osassa Flutingtehtaan puhtaista voimalaitosvesistä yhdistetty sekoitenäyte analysoitiin kahdella ionikromatografilla, liekkiatomiabsorptiospektrometrillä ja kapillaarielektroforeesilla. Yksittäisiä näytteitä ei tutkittu. Lisäksi vesilaboratoriossa määritettävistä jätevesistä yhdistettiin sekoitenäyte, joka analysoitiin kapillaarielektroforeesilla. Samat sekoitenäytteet analysoitiin myös nykyisillä menetelmillä tehtaan vesilaboratoriossa. Tulokset osoittivat, että kokeellisessa osassa tutkitut menetelmät soveltuvat sekoitenäytteen perusteella hyvin vesilaboratoriossa käytössä oleviin kuukausianalyyseihin. Automaattisella näytteensyötöllä varustettuna kaikki kolme kokeellisessa osassa tutkittua menetelmää ovat yksikertaisia käyttää ja ne nopeuttavat analyysejä. Päivittäisiä titrausanalyysejä voidaan tehostaa ja nopeuttaa automaation avulla. Erotustekniikoilla esimerkiksi typpi voidaan määrittää kokonaistyppenä, mutta myös komponentteinaan eli ammoniakkina, nitraattina ja nitriittinä. Lisäksi samalla erotuksella voidaan määrittää useita alkali- ja maa-alkalimetalleja sekä raskas-metalleja toistomittauksilla. Menetelmän käyttöalue on laajempi erotustekniikoilla kuin perinteisillä liuoskemian mittauksilla. Erotustekniikoilla tunnistetaan helposti määritysten oikeellisuus detektointimahdollisuuksien monipuolisuuden vuoksi.

Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series

We consider the problem of testing whether the observations X1, ..., Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed: exponential bounds, Eaton-type bounds, Chebyshev bounds and Berry-Esséen-Zolotarev bounds. The bounds are exact in finite samples, distribution-free and easy to compute. The performance of the bounds is evaluated and compared with traditional serial dependence tests in a simulation experiment. The procedures proposed are applied to U.S. data on interest rates (commercial paper rate).

Distribution asymptotique du nombre de diviseurs premiers distincts inférieurs ou égaux à m

Le sujet principal de ce mémoire est l'étude de la distribution asymptotique de la fonction f_m qui compte le nombre de diviseurs premiers distincts parmi les nombres premiers $p_1,...,p_m$. Au premier chapitre, nous présentons les sept résultats qui seront démontrés au chapitre 4. Parmi ceux-ci figurent l'analogue du théorème d'Erdos-Kac et un résultat sur les grandes déviations. Au second chapitre, nous définissons les espaces de probabilités qui serviront à calculer les probabilités asymptotiques des événements considérés, et éventuellement à calculer les densités qui leur correspondent. Le troisième chapitre est la partie centrale du mémoire. On y définit la promenade aléatoire qui, une fois normalisée, convergera vers le mouvement brownien. De là, découleront les résultats qui formeront la base des démonstrations de ceux chapitre 1.

A budget for Europe's Monetary Union. Bruegel Policy Contribution 2012/22, December 2012

In a monetary union, national fiscal deficits are of limited help to counteract deep recessions; union-wide support is needed. A common euro-area budget (1) should provide a temporary but significant transfer of resources in case of large regional shocks, (2) would be an instrument to counteract severe recessions in the area as a whole, and (3) would ensure financial stability. The four main options for stabilisation of regional shocks to the euro area are: unemployment insurance, payments related to deviations of output from potential, the narrowing of large spreads, and discretionary spending. The common resource would need to be well-designed to be distributionally neutral, avoid free-riding behaviour and foster structural change while be of sufficient size to have an impact. Linking budget support to large deviations of output from potential appears to be the best option. A borrowing capacity equipped with a structural balanced budget rule could address area-wide shocks. It could serve as the fiscal backstop to the bank resolution authority. Resources amounting to 2 percent of euro-area GDP would be needed for stabilisation policy and financial stability.

Essays on decision sciences: exploring cognition, information processing, and complexity

This thesis provides three original contributions to the field of Decision Sciences. The first contribution explores the field of heuristics and biases. New variations of the Cognitive Reflection Test (CRT--a test to measure "the ability or disposition to resist reporting the response that first comes to mind"), are provided. The original CRT (S. Frederick [2005] Journal of Economic Perspectives, v. 19:4, pp.24-42) has items in which the response is immediate--and erroneous. It is shown that by merely varying the numerical parameters of the problems, large deviations in response are found. Not only the final results are affected by the proposed variations, but so is processing fluency. It seems that numbers' magnitudes serve as a cue to activate system-2 type reasoning. The second contribution explores Managerial Algorithmics Theory (M. Moldoveanu [2009] Strategic Management Journal, v. 30, pp. 737-763); an ambitious research program that states that managers display cognitive choices with a "preference towards solving problems of low computational complexity". An empirical test of this hypothesis is conducted, with results showing that this premise is not supported. A number of problems are designed with the intent of testing the predictions from managerial algorithmics against the predictions of cognitive psychology. The results demonstrate (once again) that framing effects profoundly affect choice, and (an original insight) that managers are unable to distinguish computational complexity problem classes. The third contribution explores a new approach to a computationally complex problem in marketing: the shelf space allocation problem (M-H Yang [2001] European Journal of Operational Research, v. 131, pp.107--118). A new representation for a genetic algorithm is developed, and computational experiments demonstrate its feasibility as a practical solution method. These studies lie at the interface of psychology and economics (with bounded rationality and the heuristics and biases programme), psychology, strategy, and computational complexity, and heuristics for computationally hard problems in management science.

Uma estratégia aleatória chamada de MOSES

This paper we study a random strategy called MOSES, which was introduced in 1996 by Fran¸cois. Asymptotic results of this strategy; behavior of the stationary distributions of the chain associated to strategy, were derived by Fran¸cois, in 1998, of the theory of Freidlin and Wentzell [8]. Detailings of these results are in this work. Moreover, we noted that an alternative approach the convergence of this strategy is possible without making use of theory of Freidlin and Wentzell, yielding the visit almost certain of the strategy to uniform populations which contain the minimum. Some simulations in Matlab are presented in this work

Pressure drop correlation for oil-refrigerant R134a mixture flashing flow in a small diameter tube

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

The rigid-flexible nonlinear robotic manipulator: Modeling and control

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

Two dimensional computer simulation of plasma immersion ion implantation

The biggest advantage of plasma immersion ion implantation (PIII) is the capability of treating objects with irregular geometry without complex manipulation of the target holder. The effectiveness of this approach relies on the uniformity of the incident ion dose. Unfortunately, perfect dose uniformity is usually difficult to achieve when treating samples of complex shape. The problems arise from the non-uniform plasma density and expansion of plasma sheath. A particle-in-cell computer simulation is used to study the time-dependent evolution of the plasma sheath surrounding two-dimensional objects during process of plasma immersion ion implantation. Before starting the implantation phase, steady-state nitrogen plasma is established inside the simulation volume by using ionization of gas precursor with primary electrons. The plasma self-consistently evolves to a non-uniform density distribution, which is used as initial density distribution for the implantation phase. As a result, we can obtain a more realistic description of the plasma sheath expansion and dynamics. Ion current density on the target, average impact energy, and trajectories of the implanted ions were calculated for three geometrical shapes. Large deviations from the uniform dose distribution have been observed for targets with irregular shapes. In addition, effect of secondary electron emission has been included in our simulation and no qualitative modifications to the sheath dynamics have been noticed. However, the energetic secondary electrons change drastically the plasma net balance and also pose significant X-ray hazard. Finally, an axial magnetic field has been added to the calculations and the possibility for magnetic insulation of secondary electrons has been proven.

A Bayesian view of the Higgs sector with higher dimensional operators

We investigate the possibilities of New Physics affecting the Standard Model (SM) Higgs sector. An effective Lagrangian with dimension-six operators is used to capture the effect of New Physics. We carry out a global Bayesian inference analysis, considering the recent LHC data set including all available correlations, as well as results from Tevatron. Trilinear gauge boson couplings and electroweak precision observables are also taken into account. The case of weak bosons tensorial couplings is closely examined and NLO QCD corrections are taken into account in the deviations we predict. We consider two scenarios, one where the coefficients of all the dimension-six operators are essentially unconstrained, and one where a certain subset is loop suppressed. In both scenarios, we find that large deviations from some of the SM Higgs couplings can still be present, assuming New Physics arising at 3 TeV. In particular, we find that a significantly reduced coupling of the Higgs to the top quark is possible and slightly favored by searches on Higgs production in association with top quark pairs. The total width of the Higgs boson is only weakly constrained and can vary between 0.7 and 2.7 times the Standard Model value within 95% Bayesian credible interval (BCI). We also observe sizeable effects induced by New Physics contributions to tensorial couplings. In particular, the Higgs boson decay width into Zγ can be enhanced by up to a factor 12 within 95% BCI. © 2013 SISSA.

Anomalous couplings of the third generation in rare B decays

We study the potential effects of anomalous couplings of the third generation quarks to gauge bosons in rare B decays. We focus on the constraints from flavor changing neutral current processes such as b→sγ and b →sl+l-. We consider both dimension-four and dimension-five operators and show that the latter can give large deviations from the standard model in the still unobserved dilepton modes, even after the bounds from b→sγ and precision electroweak observables are taken into account. ©2000 The American Physical Society.

Computational strategies to include protein flexibility in Ligand Docking and Virtual Screening

The dynamic character of proteins strongly influences biomolecular recognition mechanisms. With the development of the main models of ligand recognition (lock-and-key, induced fit, conformational selection theories), the role of protein plasticity has become increasingly relevant. In particular, major structural changes concerning large deviations of protein backbones, and slight movements such as side chain rotations are now carefully considered in drug discovery and development. It is of great interest to identify multiple protein conformations as preliminary step in a screening campaign. Protein flexibility has been widely investigated, in terms of both local and global motions, in two diverse biological systems. On one side, Replica Exchange Molecular Dynamics has been exploited as enhanced sampling method to collect multiple conformations of Lactate Dehydrogenase A (LDHA), an emerging anticancer target. The aim of this project was the development of an Ensemble-based Virtual Screening protocol, in order to find novel potent inhibitors. On the other side, a preliminary study concerning the local flexibility of Opioid Receptors has been carried out through ALiBERO approach, an iterative method based on Elastic Network-Normal Mode Analysis and Monte Carlo sampling. Comparison of the Virtual Screening performances by using single or multiple conformations confirmed that the inclusion of protein flexibility in screening protocols has a positive effect on the probability to early recognize novel or known active compounds.

Massenspektrometrische Wasserdampfmessung in der oberen Troposphäre und unteren Stratosphäre

Diese Arbeit beschreibt die Entwicklung des flugzeuggetragenen Atmosphärischen Ionisations-Massenspektrometers AIMS-H2O zur Messung von Wasserdampf in der oberen Troposphäre und unteren Stratosphäre (UTLS) und erste Flugzeugmessungen mit dem Instrument. Wasserdampf beeinflusst das Klima in der UTLS aufgrund seiner Strahlungseigenschaften und agiert als wichtiger Parameter bei der Bildung von Zirruswolken und Kondensstreifen. Deshalb sind genaue Wasserdampfmessungen für das Verständnis vieler atmosphärischer Prozesse unerlässlich. Instrumentenvergleiche wie sie im SPARC Report No. 2 und dem Bericht der AUQAVIT Kampagne zusammengefasst sind, haben gezeigt, dass große Abweichungen zwischen einzelnen Methoden und Instrumenten bestehen. Diese Unsicherheiten limitieren das Verständnis des Einflusses von Wasserdampf auf die Dynamik und die Strahlungseigenschaften in der UTLS. Die in dieser Arbeit vorgestellte Entwicklung einer neuen Messmethode für Wasserdampf mit dem Massenspektrometer AIMS-H2O ist deshalb auf die genaue Messung niedriger Wasserdampfkonzentrationen in der UTLS fokussiert. Mit AIMS H2O wird Umgebungsluft in einer neu entwickelten Gasentladungsquelle ionisiert. Durch eine Reihe von Ionen-Molekül-Reaktionen entstehen H3O+(H2O) und H3O+(H2O)2 Ionen. Diese Ionen werden genutzt, um die Wasserdampfkonzentration in der Atmosphäre zu bestimmen. Um die erforderliche hohe Genauigkeit zu erzielen, wird AIMS H2O im Flug kalibriert. In dem zu diesem Zweck aufgebauten Kalibrationsmodul wird die katalytische Reaktion von Wasserstoff und Sauerstoff auf einer Platinoberfläche genutzt, um definierte Wasserdampfkonzentrationen für die Kalibration im Flug zu erzeugen. Bei ersten Messungen auf der Falcon während der Kampagne CONCERT 2011 konnte dabei eine Genauigkeit von 8 bis 15% für die Messung der Wasserdampfkonzentration in einem Messbereich von 0,5 bis 250 ppmv erreicht werden. Die Messfrequenz betrug 4 Hz, was einer räumlichen Auflösung von etwa 50 m entspricht. Der Vergleich der Messung des Massenspektrometers mit dem Laserhygrometer Waran zeigt eine sehr gute Übereinstimmung im Rahmen der Unsicherheiten. Anhand zweier Fallstudien werden die Messungen von AIMS H2O während CONCERT 2011 detailliert analysiert. In der ersten Studie werden zwei Flüge in eine stratosphärische Intrusion über Nordeuropa untersucht. In dieser Situation wurde stratosphärische Luft bis hinunter auf 6 km Höhe transportiert und war dadurch mit der Falcon erreichbar. Es konnte gezeigt werden, dass AIMS-H2O sehr gut für die genaue Messung niedriger Wasserdampfkonzentrationen, in diesem Fall bis etwa 3,5 ppmv, geeignet ist. Der Vergleich der Messung mit Analysen des ECMWF Integrated Forecast Systems zeigt eine gute Übereinstimmung der gemessenen Wasserdampfstrukturen mit der dynamischen Tropopause. Unterschiede tauchen dagegen beim Vergleich der Wasserdampfkonzentrationen in der unteren Stratosphäre auf. Hier prognostiziert das Modell deutlich höhere Feuchten. Die zweite Fallstudie beschäftigt sich mit der Verteilung der relativen Feuchte in jungen Kondensstreifen im Vergleich zu ihrer direkten Umgebung. Dabei wurde für drei Messsequenzen im Abgasstrahl von Flugzeugen beobachtet, dass die relative Feuchte innerhalb des Kondensstreifens im Vergleich zur Umgebung sowohl bei unter- als auch übersättigten Umgebungsbedingungen in Richtung Sättigung verschoben ist. Die hohe Anzahl an Eispartikeln und die damit verbundene große Eisoberfläche in jungen Kondensstreifen führt also zu einer schnellen Relaxation von Gasphase und Eis in Richtung Gleichgewicht. In der Zukunft soll AIMS-H2O auch auf HALO für die genaue Messung von Wasserdampf bei ML-CIRRUS und weiteren Kampagnen eingesetzt werden.

Simple beam models for Monte Carlo photon beam dose calculations in radiotherapy

Monte Carlo (code GEANT) produced 6 and 15 MV phase space (PS) data were used to define several simple photon beam models. For creating the PS data the energy of starting electrons hitting the target was tuned to get correct depth dose data compared to measurements. The modeling process used the full PS information within the geometrical boundaries of the beam including all scattered radiation of the accelerator head. Scattered radiation outside the boundaries was neglected. Photons and electrons were assumed to be radiated from point sources. Four different models were investigated which involved different ways to determine the energies and locations of beam particles in the output plane. Depth dose curves, profiles, and relative output factors were calculated with these models for six field sizes from 5x5 to 40x40cm2 and compared to measurements. Model 1 uses a photon energy spectrum independent of location in the PS plane and a constant photon fluence in this plane. Model 2 takes into account the spatial particle fluence distribution in the PS plane. A constant fluence is used again in model 3, but the photon energy spectrum depends upon the off axis position. Model 4, finally uses the spatial particle fluence distribution and off axis dependent photon energy spectra in the PS plane. Depth dose curves and profiles for field sizes up to 10x10cm2 were not model sensitive. Good agreement between measured and calculated depth dose curves and profiles for all field sizes was reached for model 4. However, increasing deviations were found for increasing field sizes for models 1-3. Large deviations resulted for the profiles of models 2 and 3. This is due to the fact that these models overestimate and underestimate the energy fluence at large off axis distances. Relative output factors consistent with measurements resulted only for model 4.