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)

Testing the bivariate distribution of daily equity returns using copulas: an application to the Spanish stock market

In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several families of copulas are fitted and compared with Spanish stock market data. The results show that the t-copula generally outperforms other dependence structures, and highlight the difficulty in adjusting a significant number of bivariate data series

Hydraulic conductivity and water retention in leptosols-regosols and saprolite derived from sandstone, Brazil

Leptosols and Regosols are soils with a series of restrictions for use, mainly related to the effective depth, which have been poorly studied in Brazil. These soils, when derived from sedimentary rocks should be treated with particular care to avoid environmental damage such as aquifer contamination. The purpose of this study was to verify the behavior of hydraulic conductivity and water retention capacity in profiles of Leptosols and Regosols derived from sandstone of the Caturrita formation in Rio Grande do Sul state. The morphology, particle size distribution, porosity, soil density (Ds), saturated hydraulic conductivity (Ks), basic water infiltration in the field (BI) and water retention were determined in soil and saprolite samples of six soil profiles. High Ds, low macroporosity and high microporosity were observed in the profiles, resulting in a low Ks and BI, even under conditions of sandy texture and a highly fractured saprolite layer. The variation coefficients of data of Ks and BI were high among the studied profiles and between replications of a same profile. Water retention of the studied soils was higher in Cr layers than in the A horizons and the volume of plant-available water greater and variable among A horizons and Cr layers.

Turn-on-time statistics of modulated lasers subjected to resonant weak optical feedback

We present analytical calculations of the turn-on-time probability distribution of intensity-modulated lasers under resonant weak optical feedback. Under resonant conditions, the external cavity round-trip time is taken to be equal to the modulation period. The probability distribution of the solitary laser results are modified to give reduced values of the mean turn-on-time and its variance. Numerical simulations have been carried out showing good agreement with the analytical results.

Stabilization of soil hydraulic properties under a long term no-till system

The area under the no-tillage system (NT) has been increasing over the last few years. Some authors indicate that stabilization of soil physical properties is reached after some years under NT while other authors debate this. The objective of this study was to determine the effect of the last crop in the rotation sequence (1st year: maize, 2nd year: soybean, 3rd year: wheat/soybean) on soil pore configuration and hydraulic properties in two different soils (site 1: loam, site 2: sandy loam) from the Argentinean Pampas region under long-term NT treatments in order to determine if stabilization of soil physical properties is reached apart from a specific time in the crop sequence. In addition, we compared two procedures for evaluating water-conducting macroporosities, and evaluated the efficiency of the pedotransfer function ROSETTA in estimating the parameters of the van Genuchten-Mualem (VGM) model in these soils. Soil pore configuration and hydraulic properties were not stable and changed according to the crop sequence and the last crop grown in both sites. For both sites, saturated hydraulic conductivity, K0, water-conducting macroporosity, εma, and flow-weighted mean pore radius, R0ma, increased from the 1st to the 2nd year of the crop sequence, and this was attributed to the creation of water-conducting macropores by the maize roots. The VGM model adequately described the water retention curve (WRC) for these soils, but not the hydraulic conductivity (K) vs tension (h) curve. The ROSETTA function failed in the estimation of these parameters. In summary, mean values of K0 ranged from 0.74 to 3.88 cm h-1. In studies on NT effects on soil physical properties, the crop effect must be considered.

Physical-hydraulic properties of a sandy loam typic paleudalf soil under organic cultivation of 'montenegrina' mandarin (Citrus deliciosa Tenore)¹

Citrus plants are the most important fruit species in the world, with emphasis to oranges, mandarins and lemons. In Rio Grande do Sul, Brazil, most fruit production is found on small properties under organic cultivation. Soil compaction is one of the factors limiting production and due to the fixed row placement of this crop, compaction can arise in various manners in the interrows of the orchard. The aim of this study was to evaluate soil physical properties and water infiltration capacity in response to interrow management in an orchard of mandarin (Citrus deliciosa Tenore 'Montenegrina') under organic cultivation. Interrow management was performed through harrowing, logs in em "V", mowing, and cutting/knocking down plants with a knife roller. Soil physical properties were evaluated in the wheel tracks of the tractor (WT), between the wheel tracks (BWT), and in the area under the line projection of the canopy (CLP), with undisturbed soil samples collected in the 0.00-0.15, 0.15-0.30, 0.30-0.45, and 0.45-0.60 m layers, with four replicates. The soil water infiltration test was performed using the concentric cylinder method, with a maximum time of 90 min for each test. In general, soil analysis showed a variation in the physical-hydraulic properties of the Argissolo Vermelho-Amarelo distrófico arênico (sandy loam Typic Paleudalf) in the three sampling sites in all layers, regardless of the management procedure in the interrows. Machinery traffic leads to heterogeneity in the soil physical-hydraulic properties in the interrows of the orchard. Soil porosity and bulk density are affected especially in the wheel tracks of the tractor (WT), which causes a reduction in the constant rate of infiltration and in the accumulated infiltration of water in this sampling site. The use of the disk harrow and mower leads to greater harmful effects on the soil, which can interfere with mandarin production.

Continuous-time random-walk model for financial distributions

We apply the formalism of the continuous-time random walk to the study of financial data. The entire distribution of prices can be obtained once two auxiliary densities are known. These are the probability densities for the pausing time between successive jumps and the corresponding probability density for the magnitude of a jump. We have applied the formalism to data on the U.S. dollardeutsche mark future exchange, finding good agreement between theory and the observed data.

Modelling the influence of change in fire regime on the local distribution of a Mediterranean pyrophytic plant species (Cistus salviifolius) at its northern range limit

Aims: To assess the potential distribution of an obligate seeder and active pyrophyte, Cistus salviifolius, a vulnerable species in the Swiss Red List; to derive scenarios by changing the fire return interval; and to discuss the results from a conservation perspective. A more general aim is to assess the impact of fire as a natural factor influencing the vegetation of the southern slopes of the Alps. Locations: Alps, southern Switzerland. Methods: Presence-absence data to fit the model were obtained from the most recent field mapping of C. salviifolius. The quantitative environmental predictors used in this study include topographic, climatic and disturbance (fire) predictors. Models were fitted by logistic regression and evaluated by jackknife and bootstrap approaches. Changes in fire regime were simulated by increasing the time-return interval of fire (simulating longer periods without fire). Two scenarios were considered: no fire in the past 15 years; or in the past 35 years. Results: Rock cover, slope, topographic position, potential evapotranspiration and time elapsed since the last fire were selected in the final model. The Nagelkerke R-2 of the model for C. salviifolius was 0.57 and the Jackknife area under the curve evaluation was 0.89. The bootstrap evaluation revealed model robustness. By increasing the return interval of fire by either up to 15 years, or 35 years, the modelled C. salviifolius population declined by 30-40%, respectively. Main conclusions: Although fire plays a significant role, topography and rock cover appear to be the most important predictors, suggesting that the distribution of C. salviifolius in the southern Swiss Alps is closely related to the availability of supposedly competition-free sites, such as emerging bedrock, ridge locations or steep slopes. Fire is more likely to play a secondary role in allowing C. salviifolius to extend its occurrence temporarily, by increasing germination rates and reducing the competition from surrounding vegetation. To maintain a viable dormant seed bank for C. salviifolius, conservation managers should consider carrying out vegetation clearing and managing wild fire propagation to reduce competition and ensure sufficient recruitment for this species.

Comparison of aminolevulinic acid and hexylester aminolevulinate induced protoporphyrin IX distribution in human bladder cancer.

PURPOSE: Successful photodynamic therapy of epithelial cancer requires a specific photosensitization of malignant tissue. We evaluate the intensity and localization of protoporphyrin IX (PpIX) in superficial transitional cell carcinoma and nonmalignant cells of the human bladder following topical administration of its precursor, either aminolevulinic acid (ALA) or hexylester aminolevulinate (HAL). MATERIALS AND METHODS: Solutions of ALA or HAL were instilled into the bladder of 18 patients presenting with recurrent transitional cell carcinoma. The distribution of PpIX through the bladder wall was studied on frozen biopsies using fluorescence microscopy and correlated with pathological findings. RESULTS: Topical bladder instillation with 180 mmol (3%) ALA administered for 6 hours or 8 mmol (0.2%) HAL administered for 4 hours gave similar results regarding intensity and tissue distribution of PpIX fluorescence, whereas 8 mmol HAL administered for 2 hours followed by 2 hours of resting time (2+2 hours concept) induced a PpIX fluorescence twice as high. The fluorescence remained limited to cancer cells. Only a trace of PpIX fluorescence was observed in suburothelial connective tissue, that is chorion, but none in the bladder smooth muscle regardless of experiment conditions. CONCLUSIONS: HAL is an excellent precursor for PpIX synthesis in bladder cancer. With the 2+2 hour topical administration condition it yielded the highest PpIX fluorescence intensity and fluorescence contrast between normal and malignant urothelial cells. This approach allows us to optimize PpIX tissue distribution for photodynamic therapy in superficial bladder cancer.

Exact long-time behavior of a network of oscillators under random fields

We present an exact solution for the order parameters that characterize the stationary behavior of a population of Kuramotos phase oscillators under random external fields [Y. Kuramoto, in International Symposium on Mathematical Problems in Theoretical Physics, Lecture Notes in Physics, Vol. 39 (Springer, Berlin, 1975), p. 420]. From these results it is possible to generate the phase diagram of models with an arbitrary distribution of random frequencies and random fields.

Stochastic resonance in a system of magnetic particles

We show that a dispersion of monodomain ferromagnetic particles in a solid phase exhibits stochastic resonance when a driven linearly polarized magnetic field is applied. By using an adiabatic approach, we calculate the power spectrum, the distribution of residence times, and the mean first passage time. The behavior of these quantities is similar to the behavior of corresponding quantities in other systems where stochastic resonance has also been observed.

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)

Testing the bivariate distribution of daily equity returns using copulas: an application to the Spanish stock market

In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several families of copulas are fitted and compared with Spanish stock market data. The results show that the t-copula generally outperforms other dependence structures, and highlight the difficulty in adjusting a significant number of bivariate data series

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.

Formation and distribution of point defects on a disclination line near a free nematic interface

Point defects of opposite signs can alternately nucleate on the -1/2 disclination line that forms near the free surface of a confined nematic liquid crystal. We show the existence of metastable configurations consisting of periodic repetitions of such defects. These configurations are characterized by a minimal interdefect spacing that is seen to depend on sample thickness and on an applied electric field. The time evolution of the defect distribution suggests that the defects attract at small distances and repel at large distances.