Heterogeneous discounting in consumption-investment problems. Time consistent solutions

[cat] En aquest treball s'analitza un model estocàstic en temps continu en el que l'agent decisor descompta les utilitats instantànies i la funció final amb taxes de preferència temporal constants però diferents. En aquest context es poden modelitzar problemes en els quals, quan el temps s'acosta al moment final, la valoració de la funció final incrementa en comparació amb les utilitats instantànies. Aquest tipus d'asimetria no es pot descriure ni amb un descompte estàndard ni amb un variable. Per tal d'obtenir solucions consistents temporalment es deriva l'equació de programació dinàmica estocàstica, les solucions de la qual són equilibris Markovians. Per a aquest tipus de preferències temporals, s'estudia el model clàssic de consum i inversió (Merton, 1971) per a les funcions d'utilitat del tipus CRRA i CARA, comparant els equilibris Markovians amb les solucions inconsistents temporalment. Finalment es discuteix la introducció del temps final aleatori.

Discrete analysis of dividend payments in a non-life insurance portfolio

The process of free reserves in a non-life insurance portfolio as defined in the classical model of risk theory is modified by the introduction of dividend policies that set maximum levels for the accumulation of reserves. The first part of the work formulates the quantification of the dividend payments via the expectation of their current value under diferent hypotheses. The second part presents a solution based on a system of linear equations for discrete dividend payments in the case of a constant dividend barrier, illustrated by solving a specific case.

[The World's Columbian Exposition. Portfolio of views issued by the Department of photography, C.D. Arnold, chief. Chicago and St. Louis, National Chemigraph Company, 1893, 36 phot., don du marquis Davidsard en 1930]

Donateur : Davidsard (18..-18.. ; marquis)

Optimization of analytical methods for the assessment of the quality of fats and oils used in continuous deep fat frying

La aplicabilidad, repetibilidad y capacidad de diferentes métodos de análisis para discriminar muestras de aceites con diferentes grados de oxidación fueron evaluadas mediante aceites recogidos en procesos de fritura en continuo en varias empresas españolas. El objetivo de este trabajo fue encontrar métodos complementarios a la determinación del índice de acidez para el control de calidad rutinario de los aceites de fritura empleados en estas empresas. La optimización de la determinación de la constante dieléctrica conllevó una clara mejora de la variabilidad. No obstante, excepto en el caso del índice del ATB, el resto de métodos ensayados mostraron una menor variabilidad. La determinación del índice del ATB fue descartada ya que su sensibilidad fue insuficiente para discriminar entre aceites con diferente grado de oxidación. Los diferentes parámetros de alteración determinados en los aceites de fritura mostraron correlaciones significativas entre el índice de acidez y varios parámetros de oxidación diferentes, como la constante dieléctrica, el índice de p-anisidina, la absorción al ultravioleta y el contenido en polímeros de los triacilgliceroles. El índice de acidez solo evalúa la alteración hidrolítica, por lo que estos parámetros aportan información complementaria al evaluar la alteración termooxidativa.

Population demography of an endangered lizard, the Blue Mountains Water Skink.

BACKGROUND: Information on the age structure within populations of an endangered species can facilitate effective management. The Blue Mountains Water Skink (Eulamprus leuraensis) is a viviparous scincid lizard that is restricted to < 40 isolated montane swamps in south-eastern Australia. We used skeletochronology of phalanges (corroborated by mark-recapture data) to estimate ages of 222 individuals from 13 populations. RESULTS: These lizards grow rapidly, from neonatal size (30 mm snout-vent length) to adult size (about 70 mm SVL) within two to three years. Fecundity is low (mean 2.9 offspring per litter) and is affected by maternal body length and age. Offspring quality may decline with maternal age, based upon captive-born neonates (older females gave birth to slower offspring). In contrast to its broadly sympatric (and abundant) congener E. tympanum, E. leuraensis is short-lived (maximum 6 years, vs 15 years for E. tympanum). Litter size and offspring size are similar in the two species, but female E. leuraensis reproduce annually whereas many E. tympanum produce litters biennially. Thus, a low survival rate (rather than delayed maturation or low annual fecundity) is the key reason why E. leuraensis is endangered. Our 13 populations exhibited similar growth rates and population age structures despite substantial variation in elevation, geographic location and swamp size. However, larger populations (based on a genetic estimate of effective population size) contained older lizards, and thus a wider variance in ages. CONCLUSION: Our study suggests that low adult survival rates, as well as specialisation on a rare and fragmented habitat type (montane swamps) contribute to the endangered status of the Blue Mountains Water Skink.

Mean first-passage time of continuous non-Markovian processes driven by colored noise

An equation for mean first-passage times of non-Markovian processes driven by colored noise is derived through an appropriate backward integro-differential equation. The equation is solved in a Bourret-like approximation. In a weak-noise bistable situation, non-Markovian effects are taken into account by an effective diffusion coefficient. In this situation, our results compare satisfactorily with other approaches and experimental data.

CT dose optimization when changing to CT multi-detector row technology

The purpose of this article was to review the strategies to control patient dose in adult and pediatric computed tomography (CT), taking into account the change of technology from single-detector row CT to multi-detector row CT. First the relationships between computed tomography dose index, dose length product, and effective dose in adult and pediatric CT are revised, along with the diagnostic reference level concept. Then the effect of image noise as a function of volume computed tomography dose index, reconstructed slice thickness, and the size of the patient are described. Finally, the potential of tube current modulation CT is discussed.

Optimization of snowmaking in high mountains ski resort

Ski resorts are deploying more and more systems of artificial snow. These tools are necessary to ensure an important economic activity for the high alpine valleys. However, artificial snow raises important environmental issues that can be reduced by an optimization of its production. This paper presents a software prototype based on artificial intelligence to help ski resorts better manage their snowpack. It combines on one hand a General Neural Network for the analysis of the snow cover and the spatial prediction, with on the other hand a multiagent simulation of skiers for the analysis of the spatial impact of ski practice. The prototype has been tested on the ski resort of Verbier (Switzerland).

Alcohol drinking, the metabolic syndrome and diabetes in a population with high mean alcohol consumption.

AIMS: To investigate the relationship of alcohol consumption with the metabolic syndrome and diabetes in a population-based study with high mean alcohol consumption. Few data exist on these conditions in high-risk drinkers. METHODS: In 6172 adults aged 35-75 years, alcohol consumption was categorized as 0, 1-6, 7-13, 14-20, 21-27, 28-34 and ≥ 35 drinks/week or as non-drinkers (0), low-risk (1-13), medium-to-high-risk (14-34) and very-high-risk (≥ 35) drinkers. Alcohol consumption was objectively confirmed by biochemical tests. In multivariate analysis, we assessed the relationship of alcohol consumption with adjusted prevalence of the metabolic syndrome, diabetes and insulin resistance, determined with the homeostasis model assessment of insulin resistance (HOMA-IR). RESULTS: Seventy-three per cent of participants consumed alcohol, 16% were medium-to-high-risk drinkers and 2% very-high-risk drinkers. In multivariate analysis, the prevalence of the metabolic syndrome, diabetes and mean HOMA-IR decreased with low-risk drinking and increased with high-risk drinking. Adjusted prevalence of the metabolic syndrome was 24% in non-drinkers, 19% in low-risk (P<0.001 vs. non-drinkers), 20% in medium-to-high-risk and 29% in very-high-risk drinkers (P=0.005 vs. low-risk). Adjusted prevalence of diabetes was 6.0% in non-drinkers, 3.6% in low-risk (P<0.001 vs. non-drinkers), 3.8% in medium-to-high-risk and 6.7% in very-high-risk drinkers (P=0.046 vs. low-risk). Adjusted HOMA-IR was 2.47 in non-drinkers, 2.14 in low-risk (P<0.001 vs. non-drinkers), 2.27 in medium-to-high-risk and 2.53 in very-high-risk drinkers (P=0.04 vs. low-risk). These relationships did not differ according to beverage types. CONCLUSIONS: Alcohol has a U-shaped relationship with the metabolic syndrome, diabetes and HOMA-IR, without differences between beverage types.

Learning wind fields with multiple kernels

This paper presents multiple kernel learning (MKL) regression as an exploratory spatial data analysis and modelling tool. The MKL approach is introduced as an extension of support vector regression, where MKL uses dedicated kernels to divide a given task into sub-problems and to treat them separately in an effective way. It provides better interpretability to non-linear robust kernel regression at the cost of a more complex numerical optimization. In particular, we investigate the use of MKL as a tool that allows us to avoid using ad-hoc topographic indices as covariables in statistical models in complex terrains. Instead, MKL learns these relationships from the data in a non-parametric fashion. A study on data simulated from real terrain features confirms the ability of MKL to enhance the interpretability of data-driven models and to aid feature selection without degrading predictive performances. Here we examine the stability of the MKL algorithm with respect to the number of training data samples and to the presence of noise. The results of a real case study are also presented, where MKL is able to exploit a large set of terrain features computed at multiple spatial scales, when predicting mean wind speed in an Alpine region.

Evaluation of Variable Advisory Speed Limits in Work Zones, TPF-5(081), 2013

Variable advisory speed limit (VASL) systems could be effective at both urban and rural work zones, at both uncongested and congested sites. At uncongested urban work zones, the average speeds with VASL were lower than without VASL. But the standard deviation of speeds with VASL was higher. The increase in standard deviation may be due to the advisory nature of VASL. The speed limit compliance with VASL was about eight times greater than without VASL. At the congested sites, the VASL were effective in making drivers slow down gradually as they approached the work zone, reducing any sudden changes in speeds. Mobility-wise the use of VASL resulted in a decrease in average queue length, throughput, number of stops, and an increase in travel time. Several surrogate safety measures also demonstrated the benefits of VASL in congested work zones. VASL deployments in rural work zones resulted in reductions in mean speed, speed variance, and 85th percentile speeds downstream of the VASL sign. The study makes the following recommendations based on the case studies investigated: 1. The use of VASL is recommended for uncongested work zones to achieve better speed compliance and lower speeds. Greater enforcement of regulatory speed limits could help to decrease the standard deviation in speeds; 2. The use of VASL to complement the static speed limits in rural work zones is beneficial even if the VASL is only used to display the static speed limits. It leads to safer traffic conditions by encouraging traffic to slow down gradually and by reminding traffic of the reduced speed limit. A well-designed VASL algorithm, like the P5 algorithm developed in this study, can significantly improve the mobility and safety conditions in congested work zones. The use of simulation is recommended for optimizing the VASL algorithms before field deployment.

How Much Does It Cost? Optimization of Costs in Sequence Analysis of Social Science Data

One major methodological problem in analysis of sequence data is the determination of costs from which distances between sequences are derived. Although this problem is currently not optimally dealt with in the social sciences, it has some similarity with problems that have been solved in bioinformatics for three decades. In this article, the authors propose an optimization of substitution and deletion/insertion costs based on computational methods. The authors provide an empirical way of determining costs for cases, frequent in the social sciences, in which theory does not clearly promote one cost scheme over another. Using three distinct data sets, the authors tested the distances and cluster solutions produced by the new cost scheme in comparison with solutions based on cost schemes associated with other research strategies. The proposed method performs well compared with other cost-setting strategies, while it alleviates the justification problem of cost schemes.