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.

On the efficient evaluation of ruin probabilities for completely monotone claim size distributions

In this paper we propose a highly accurate approximation procedure for ruin probabilities in the classical collective risk model, which is based on a quadrature/rational approximation procedure proposed in [2]. For a certain class of claim size distributions (which contains the completely monotone distributions) we give a theoretical justification for the method. We also show that under weaker assumptions on the claim size distribution, the method may still perform reasonably well in some cases. This in particular provides an efficient alternative to a related method proposed in [3]. A number of numerical illustrations for the performance of this procedure is provided for both completely monotone and other types of random variables.

Properties of a risk measure derived from ruin theory

This paper studies a risk measure inherited from ruin theory and investigates some of its properties. Specifically, we consider a value-at-risk (VaR)-type risk measure defined as the smallest initial capital needed to ensure that the ultimate ruin probability is less than a given level. This VaR-type risk measure turns out to be equivalent to the VaR of the maximal deficit of the ruin process in infinite time. A related Tail-VaR-type risk measure is also discussed.

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.

Factum pour dame Jeanne de Roffignac, veuve de... Mre Jean-Louis de Vassal de la Tourette... de Montviel... et Mre Louis de Roffignac de Sardiny... intimez... contre damoiselle Marguerite Ruin, femme de Charles Guyot, se disant aux droicts de Louis du Ponseau et Marie de Vernaison, qui se disoit seule... héritière de deffunte damoiselle Luce de Vernaison, légataire de deffunt Mre Paul de Sardiny, appellante d'une sentence rendue... le 12 janvier 1685... et contre les abbesse, prieure et convent de l'abbaye de Moncé, aussi appellantes...

[Factum. Sardiny, Paul de. 1685?]

A class of bivariate Erlang distributions and ruin probabilities in multivariate risk models

Nous y introduisons une nouvelle classe de distributions bivariées de type Marshall-Olkin, la distribution Erlang bivariée. La transformée de Laplace, les moments et les densités conditionnelles y sont obtenus. Les applications potentielles en assurance-vie et en finance sont prises en considération. Les estimateurs du maximum de vraisemblance des paramètres sont calculés par l'algorithme Espérance-Maximisation. Ensuite, notre projet de recherche est consacré à l'étude des processus de risque multivariés, qui peuvent être utiles dans l'étude des problèmes de la ruine des compagnies d'assurance avec des classes dépendantes. Nous appliquons les résultats de la théorie des processus de Markov déterministes par morceaux afin d'obtenir les martingales exponentielles, nécessaires pour établir des bornes supérieures calculables pour la probabilité de ruine, dont les expressions sont intraitables.

A Virtual Machine for a Type-omega Denotational Proof Language

In this thesis, I designed and implemented a virtual machine (VM) for a monomorphic variant of Athena, a type-omega denotational proof language (DPL). This machine attempts to maintain the minimum state required to evaluate Athena phrases. This thesis also includes the design and implementation of a compiler for monomorphic Athena that compiles to the VM. Finally, it includes details on my implementation of a read-eval-print loop that glues together the VM core and the compiler to provide a full, user-accessible interface to monomorphic Athena. The Athena VM provides the same basis for DPLs that the SECD machine does for pure, functional programming and the Warren Abstract Machine does for Prolog.

Does Facebook ruin your job Prospects?

News Report: Every Potential 2040 President Already Unelectable Due To Facebook:YouTube fake American news item (2min 39secs) in which all possible candidates are excluded because of something they show on Facebook. And Could your Facebook page ruin your job prospects? - A Guardian article that suggests that employers may be more tolerant than supposed.

The omega equation and potential vorticity

Two fundamental perspectives on the dynamics of midlatitude weather systems are provided by potential vorticity (PV) and the omega equation. The aim of this paper is to investigate the link between the two perspectives, which has so far received very little attention in the meteorological literature. It also aims to give a quantitative basis for discussion of quasi-geostrophic vertical motion in terms of components associated with system movement, maintaining a constant thermal structure, and with the development of that structure. The former links with the isentropic relative-flow analysis technique. Viewed in a moving frame of reference, the measured development of a system depends on the velocity of that frame of reference. The requirement that the development should be a minimum provides a quantitative method for determining the optimum system velocity. The component of vertical velocity associated with development is shown to satisfy an omega equation with forcing determined from the relative advection of interior PV and boundary temperature. The analysis carries through in the presence of diabatic heating provided the omega equation forcing is based on the interior PV and boundary thermal tendencies, including the heating effect. The analysis is shown to be possible also at the level of the semi-geostrophic approximation. The analysis technique is applied to a number of idealized problems that can be considered to be building blocks for midlatitude synoptic-scale dynamics. They focus on the influences of interior PV, boundary temperature, an interior boundary, baroclinic instability associated with two boundaries, and also diabatic heating. In each case, insights yielded by the new perspective are sought into the dynamical behaviour, especially that related to vertical motion. Copyright © 2003 Royal Meteorological Society

Omega-3 fatty acids, cardiovascular disease and stability of atherosclerotic plaques

Long-chain n-3 polyunsaturated fatty acids are found in oily fish and in fish oils and similar preparations. Substantial evidence from epidemiological and case-control studies indicates that consumption of fish, oily fish and long-chain n-3 fatty acids reduces risk of cardiovascular mortality. Secondary prevention studies using long-chain n-3 fatty acids in patients post-myocardial infarction have shown a reduction in total and cardiovascular mortality with an especially potent effect on sudden death. Long-chain n-3 fatty acids have been shown to beneficially modify a range of cardiovascular risk factors, which may result in primary cardiovascular prevention. However, reduced non-fatal and fatal events and a reduction in sudden death probably involve other mechanisms. Reduced thrombosis following long-chain n-3 fatty acids may play a role. A decrease in arrhythmias is a favoured mechanism of action of long-chain n-3 fatty acids and is supported by cell culture and animal studies. However human trials using implantable cardiac defibrillators have produced inconsistent findings and a recent meta-analysis does not support this mechanism of action. An alternative mechanism of action may be stabilisation of atherosclerotic plaques by long-chain n-3 fatty acids. This is suggested by one published human study which showed that incorporation of long-chain n-3 fatty acids into plaques collected at carotid endarterectomy resulted in fewer macrophages in the plaque and a morphology indicative of increased stability. These findings are supported from observations in an animal model and suggest that the primary effect of long-chain n-3 fatty acids might be on macrophages within the plaque.

beta-Sheet mediated self-assembly of dipeptides of omega-amino acids and remarkable fibrillation in the solid state

Single crystal X-ray diffraction studies show that the extended structure of dipeptide I Boc-beta-Ala-m-ABA-OMe (m-ABA: meta-aminobenzoic acid) self-assembles in the solid state by intermolecular hydrogen bonding to create an infinite parallel P-sheet structure. In dipeptide II Boc-gamma-Abu-m-ABA-OMe (gamma-Abu: gamma-aminobutyric acid), two such parallel beta-sheets are further cross-linked by intermolecular hydrogen bonding through m-aminobenzoic acid moieties. SEM (scanning electron microscopy) studies reveal that both the peptides I and II form amyloid-like fibrils in the solid state. The fibrils are also found to be stained readily by Congo red, a characteristic feature of the amyloid fiber whose accumulation causes several fatal diseases such as Alzheimer's, prion-protein etc.

Dipeptide nanotubes, with n-terminally located omega-amino acid residues, that are stable proteolytically, thermally, and over a wide range of pH

Two dipeptides containing an N-terminally positioned omega-amino acid residue (beta-alanine/delta-amino valeric acid) self-assembles to form nanotubes in the solid state as well as in aqueous solution. In spite of having hollow nanotubular structures in the solid state and in solution, their self-assembling nature in these two states are different and this leads to the formation of different internal diameters of these nanotubes in solution and in solid state structure. These nanotubes are stable proteolytically, thermally, and over a wide range of pH values (1-13). The role of water molecules in nanotube formation has been investigated in the solid state. These nanotubes can be considered as a new class of dipeptide nanotubes as they are consisting of N-terminally located protease resistant omega-amino acid residues and C-terminally positioned alpha-amino acid residues. These dipeptides can form an interesting class of short peptidic structure that can give rise to stable nanotubular structure upon self-assembly and these nanotubes can be explored in future for potential nanotechnological applications.