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)

Relationship between Megastigmus suspectus borr.size and Abies alba mill.seed size

Summary

Generic finite-size enhancement of pairing in mesoscopic Fermi systems

The finite-size-dependent enhancement of pairing in mesoscopic Fermi systems is studied under the assumption that the BCS approach is valid and that the two-body force is size independent. Different systems are investigated such as superconducting metallic grains and films as well as atomic nuclei. It is shown that the finite size enhancement of pairing in these systems is in part due to the presence of a surface which accounts quite well for the data of nuclei and explains a good fraction of the enhancement in Al grains.

Finite-size scaling analysis of the avalanches in the three-dimensional Gaussian random-field Ising model with metastable dynamics

A numerical study is presented of the third-dimensional Gaussian random-field Ising model at T=0 driven by an external field. Standard synchronous relaxation dynamics is employed to obtain the magnetization versus field hysteresis loops. The focus is on the analysis of the number and size distribution of the magnetization avalanches. They are classified as being nonspanning, one-dimensional-spanning, two-dimensional-spanning, or three-dimensional-spanning depending on whether or not they span the whole lattice in different space directions. Moreover, finite-size scaling analysis enables identification of two different types of nonspanning avalanches (critical and noncritical) and two different types of three-dimensional-spanning avalanches (critical and subcritical), whose numbers increase with L as a power law with different exponents. We conclude by giving a scenario for avalanche behavior in the thermodynamic limit.

Optimal growth strategies when mortality and production rates are size-dependent

Pontryagin's maximum principle from optimal control theory is used to find the optimal allocation of energy between growth and reproduction when lifespan may be finite and the trade-off between growth and reproduction is linear. Analyses of the optimal allocation problem to date have generally yielded bang-bang solutions, i.e. determinate growth: life-histories in which growth is followed by reproduction, with no intermediate phase of simultaneous reproduction and growth. Here we show that an intermediate strategy (indeterminate growth) can be selected for if the rates of production and mortality either both increase or both decrease with increasing body size, this arises as a singular solution to the problem. Our conclusion is that indeterminate growth is optimal in more cases than was previously realized. The relevance of our results to natural situations is discussed.

Chronic malnutrition favours smaller critical size for metamorphosis initiation in Drosophila melanogaster.

Critical size at which metamorphosis is initiated represents an important checkpoint in insect development. Here, we use experimental evolution in Drosophila melanogaster to test the long-standing hypothesis that larval malnutrition should favour a smaller critical size. We report that six fly populations subject to 112 generations of laboratory natural selection on an extremely poor larval food evolved an 18% smaller critical size (compared to six unselected control populations). Thus, even though critical size is not plastic with respect to nutrition, smaller critical size can evolve as an adaptation to nutritional stress. We also demonstrate that this reduction in critical size (rather than differences in growth rate) mediates a trade-off in body weight that the selected populations experience on standard food, on which they show a 15-17% smaller adult body weight. This illustrates how developmental mechanisms that control life history may shape constraints and trade-offs in life history evolution.

Effects of erosion and deposition on particle size distribution of deposited farmland soils on the chinese loess plateau

Particle size distribution (PSD) in the soil profile is strongly related to erosion, deposition, and physical and chemical processes. Water cycling and plant growth are also affected by PSD. Material sedimented upstream of the dam constructions formed large areas of deposited farmland (DF) soils on the Chinese Loess Plateau (CLP), which has been the site of the most severe soil erosion in the world. Two DFs without tillage on the CLP were chosen to study the combined effect of erosion and check dams on PSD. Eighty-eight layers (each 10 cm thick) of filled deposited farmland (FDF) soils and 22 layers of silting deposited farmland (SDF) soils of each studied soil profile were collected and 932 soil samples were investigated using laser granulometry. The particle sizes were stratified in both DFs based on soil properties and erosion resistance. The obtained results of clay and silt fractions showed similar horizontal distribution, indicating parallel characteristics of erosion and deposition processes. Fine sand represented the largest fraction, suggesting the preferential detachment of this fraction. The most erodible range of particle sizes was 0.25-0.5 mm, followed by 0.2-0.25 mm in the studied soil profiles. The correlation between particle size and soil water contents tended to increase with increasing water contents in FDF. Due to the abundant shallow groundwater, the relationship between particle size and soil water content in SDF was lost. Further studies on PSD in the DF area are needed to enhance the conservation management of soil and water resources in this region.

Runoff and sediment transport in a degraded area

Gully erosion occurs by the combined action of splash, sheetwash and rill-wash (interrill and rill erosion). These erosion processes have a great capacity for both sediment production and sediment transport. The objectives of this experiment were to evaluate hydrological and sediment transport in a degraded area, severely dissected by gullies; to assess the hydraulic flow characteristics and their aggregate transport capacity; and to measure the initial splash erosion rate. In the study area in Guarapuava, State of Paraná, Brazil (lat 25º 24' S; long 51º24' W; 1034 m asl), the soil was classified as Cambissolo Húmico alumínico, with the following particle-size composition: sand 0.116 kg kg-1; silt 0.180 kg kg-1; and clay 0.704 kg kg-1. The approach of this research was based on microcatchments formed in the ground, to study the hydrological response and sediment transport. A total of eight rill systems were simulated with dry and wet soil. An average rainfall of 33.7 ± 4.0 mm was produced for 35 to 54 min by a rainfall simulator. The equipment was installed, and a trough was placed at the end of the rill to collect sediments and water. During the simulation, the following variables were measured: time to runoff, time to ponding, time of recession, flow velocity, depth, ratio of the initial splash and grain size. The rainsplash of dry topsoil was more than twice as high as under moist conditions (5 g m-2 min-1 and 2 g m-2 min-1, respectively). The characteristics of the flow hydraulics indicate transition from laminar to turbulent flow [Re (Reynolds number) 1000-2000]. In addition, it was observed that a flow velocity of 0.12 m s-1 was the threshold for turbulent flow (Re > 2000), especially at the end of the rainfall simulation. The rill flow tended to be subcritical [Fr (Froude Number) < 1.0]. The variation in hydrological attributes (infiltration and runoff) was lower, while the sediment yield was variable. The erosion in the rill systems was characterized as limited transport, although the degraded area generated an average of 394 g m-2 of sediment in each simulation.

Performance of a reciprocal shaker in mechanical dispersion of soil samples for particle-size analysis

The dispersion of the samples in soil particle-size analysis is a fundamental step, which is commonly achieved with a combination of chemical agents and mechanical agitation. The purpose of this study was to evaluate the efficiency of a low-speed reciprocal shaker for the mechanical dispersion of soil samples of different textural classes. The particle size of 61 soil samples was analyzed in four replications, using the pipette method to determine the clay fraction and sieving to determine coarse, fine and total sand fractions. The silt content was obtained by difference. To evaluate the performance, the results of the reciprocal shaker (RSh) were compared with data of the same soil samples available in reports of the Proficiency testing for Soil Analysis Laboratories of the Agronomic Institute of Campinas (Prolab/IAC). The accuracy was analyzed based on the maximum and minimum values defining the confidence intervals for the particle-size fractions of each soil sample. Graphical indicators were also used for data comparison, based on dispersion and linear adjustment. The descriptive statistics indicated predominantly low variability in more than 90 % of the results for sand, medium-textured and clay samples, and for 68 % of the results for heavy clay samples, indicating satisfactory repeatability of measurements with the RSh. Medium variability was frequently associated with silt, followed by the fine sand fraction. The sensitivity analyses indicated an accuracy of 100 % for the three main separates (total sand, silt and clay), in all 52 samples of the textural classes heavy clay, clay and medium. For the nine sand soil samples, the average accuracy was 85.2 %; highest deviations were observed for the silt fraction. In relation to the linear adjustments, the correlation coefficients of 0.93 (silt) or > 0.93 (total sand and clay), as well as the differences between the angular coefficients and the unit < 0.16, indicated a high correlation between the reference data (Prolab/IAC) and results obtained with the RSh. In conclusion, the mechanical dispersion by the reciprocal shaker of soil samples of different textural classes was satisfactory. The results allowed recommending the use of the equipment at low agitation for particle size- analysis. The advantages of this Brazilian apparatus are its low cost, the possibility to simultaneously analyze a great number of samples using ordinary, easily replaceable glass or plastic bottles.

Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.