On the design of customized risk measures in insurance, the problem of capital allocation and the theory of fluctuations for Lévy processes

Dans cette thèse, nous étudions quelques problèmes fondamentaux en mathématiques financières et actuarielles, ainsi que leurs applications. Cette thèse est constituée de trois contributions portant principalement sur la théorie de la mesure de risques, le problème de l’allocation du capital et la théorie des fluctuations. Dans le chapitre 2, nous construisons de nouvelles mesures de risque cohérentes et étudions l’allocation de capital dans le cadre de la théorie des risques collectifs. Pour ce faire, nous introduisons la famille des "mesures de risque entropique cumulatifs" (Cumulative Entropic Risk Measures). Le chapitre 3 étudie le problème du portefeuille optimal pour le Entropic Value at Risk dans le cas où les rendements sont modélisés par un processus de diffusion à sauts (Jump-Diffusion). Dans le chapitre 4, nous généralisons la notion de "statistiques naturelles de risque" (natural risk statistics) au cadre multivarié. Cette extension non-triviale produit des mesures de risque multivariées construites à partir des données financiéres et de données d’assurance. Le chapitre 5 introduit les concepts de "drawdown" et de la "vitesse d’épuisement" (speed of depletion) dans la théorie de la ruine. Nous étudions ces concepts pour des modeles de risque décrits par une famille de processus de Lévy spectrallement négatifs.

Theory of laser-induced ultrafast structural changes in solids

The present thesis is a contribution to the study of laser-solid interaction. Despite the numerous applications resulting from the recent use of laser technology, there is still a lack of satisfactory answers to theoretical questions regarding the mechanism leading to the structural changes induced by femtosecond lasers in materials. We provide here theoretical approaches for the description of the structural response of different solids (cerium, samarium sulfide, bismuth and germanium) to femtosecond laser excitation. Particular interest is given to the description of the effects of the laser pulse on the electronic systems and changes of the potential energy surface for the ions. Although the general approach of laser-excited solids remains the same, the potential energy surface which drives the structural changes is calculated with different theoretical models for each material. This is due to the difference of the electronic properties of the studied systems. We use the Falicov model combined with an hydrodynamic method to study photoinduced phase changes in cerium. The local density approximation (LDA) together with the Hubbard-type Hamiltonian (LDA+U) in the framework of density functional theory (DFT) is used to describe the structural properties of samarium sulfide. We parametrize the time-dependent potential energy surface (calculated using DFT+ LDA) of bismuth on which we perform quantum dynamical simulations to study the experimentally observed amplitude collapse and revival of coherent $A_{1g}$ phonons. On the basis of a time-dependent potential energy surface calculated from a non-orthogonal tight binding Hamiltonian, we perform molecular dynamics simulation to analyze the time evolution (coherent phonons, ultrafast nonthermal melting) of germanium under laser excitation. The thermodynamic equilibrium properties of germanium are also reported. With the obtained results we are able to give many clarifications and interpretations of experimental results and also make predictions.

Many-body theory of laser-induced ultrafast demagnetization and angular momentum transfer in ferromagnetic transition metals

An electronic theory is developed, which describes the ultrafast demagnetization in itinerant ferromagnets following the absorption of a femtosecond laser pulse. The present work intends to elucidate the microscopic physics of this ultrafast phenomenon by identifying its fundamental mechanisms. In particular, it aims to reveal the nature of the involved spin excitations and angular-momentum transfer between spin and lattice, which are still subjects of intensive debate. In the first preliminary part of the thesis the initial stage of the laser-induced demagnetization process is considered. In this stage the electronic system is highly excited by spin-conserving elementary excitations involved in the laser-pulse absorption, while the spin or magnon degrees of freedom remain very weakly excited. The role of electron-hole excitations on the stability of the magnetic order of one- and two-dimensional 3d transition metals (TMs) is investigated by using ab initio density-functional theory. The results show that the local magnetic moments are remarkably stable even at very high levels of local energy density and, therefore, indicate that these moments preserve their identity throughout the entire demagnetization process. In the second main part of the thesis a many-body theory is proposed, which takes into account these local magnetic moments and the local character of the involved spin excitations such as spin fluctuations from the very beginning. In this approach the relevant valence 3d and 4p electrons are described in terms of a multiband model Hamiltonian which includes Coulomb interactions, interatomic hybridizations, spin-orbit interactions, as well as the coupling to the time-dependent laser field on the same footing. An exact numerical time evolution is performed for small ferromagnetic TM clusters. The dynamical simulations show that after ultra-short laser pulse absorption the magnetization of these clusters decreases on a time scale of hundred femtoseconds. In particular, the results reproduce the experimentally observed laser-induced demagnetization in ferromagnets and demonstrate that this effect can be explained in terms of the following purely electronic non-adiabatic mechanism: First, on a time scale of 10–100 fs after laser excitation the spin-orbit coupling yields local angular-momentum transfer between the spins and the electron orbits, while subsequently the orbital angular momentum is very rapidly quenched in the lattice on the time scale of one femtosecond due to interatomic electron hoppings. In combination, these two processes result in a demagnetization within hundred or a few hundred femtoseconds after laser-pulse absorption.

Development, implementation and application of electronic structural descriptors to the analysis of the chemical bonding, aromaticity and chemical reactivity

En la literatura sobre mecànica quàntica és freqüent trobar descriptors basats en la densitat de parells o la densitat electrònica, amb un èxit divers segons les aplicacions que atenyin. Per tal de que tingui sentit químic un descriptor ha de donar la definició d'un àtom en una molècula, o ésser capaç d'identificar regions de l'espai molecular associades amb algun concepte químic (com pot ser un parell solitari o zona d'enllaç, entre d'altres). En aquesta línia, s'han proposat diversos esquemes de partició: la teoria d'àtoms en molècules (AIM), la funció de localització electrònica (ELF), les cel·les de Voroni, els àtoms de Hirshfeld, els àtoms difusos, etc. L'objectiu d'aquesta tesi és explorar descriptors de la densitat basats en particions de l'espai molecular del tipus AIM, ELF o àtoms difusos, analitzar els descriptors existents amb diferents nivells de teoria, proposar nous descriptors d'aromaticitat, així com estudiar l'habilitat de totes aquestes eines per discernir entre diferents mecanismes de reacció.

A theory of rational spatial agglomerations

We model the behavior of rational forward-looking agents in a spatial economy. The economic geography structure is built on Fujita et al. (1999)'s racetrack economy. Workers choose optimally what to consume at each period, as well as which spatial itinerary to follow in the geographical space. The spatial extent of the resulting agglomerations increases with the taste for variety and the expenditure share on manufactured goods, and decreases with transport costs. Because forward-looking agents anticipate the future formation of agglomerations, they are more responsive to spatial utility differentials than myopic agents. As a consequence, the emerging agglomerations are larger under perfect foresight spatial adjustments than under myopic ones.

Extending feature usage: a study of the post-adoption of electronic medical records

Technology Acceptance Model (TAM) posits that Perceived Ease of Use (PEOU) and Perceived Usefulness (PU) influence the ‘intention to use’. The Post-Acceptance Model (PAM) posits that continued use is influenced by prior experience. In order to study the factors that influence how professionals use complex systems, we create a tentative research model that builds on PAM and TAM. Specifically we include PEOU and the construct ‘Professional Association Guidance’. We postulate that feature usage is enhanced when professional associations influence PU by highlighting additional benefits. We explore the theory in the context of post-adoption use of Electronic Medical Records (EMRs) by primary care physicians in Ontario. The methodology can be extended to other professional environments and we suggest directions for future research.

Investigating the Nature of Noble Gas-Copper Bonds by the Quantum Theory of Atoms in Molecules

We investigated noble gas copper bonds in linear complexes represented by the NgCuX general formula in which Ng and X stand for a noble gas (neon, argon, krypton, or xenon) and a halogen (fluorine, chlorine or bromine), respectively, by coupled cluster methods and modified cc-pVQZ basis sets. The quantum theory of atoms in molecules (QTAIM) shows a linear relation between the dissociation energy or noble gas-copper bonds and the amount of electronic charge transferred mainly from the noble gas to copper during complexation. Large changes in the QTAIM quadrupole moments of copper and noble gases resulting from this bonding and a comparison between NgCuX and NgNaCl systems indicate that these noble gas-copper bonds should be better interpreted as predominantly covalent. Finally, QTAIM atomic dipoles of noble gases in NgNaCl systems agree satisfactorily with atomic dipoles given by a simple model for these NgNa van der Waals bonds.

A meta-analysis of the effects of measuring theory of planned behaviour constructs on behaviour within prospective studies

Measurement reactivity effects, such as the mere measurement effect, have been proposed as a reason for behavioural changes in a number of theory of planned behaviour intervention studies. However, it is unclear whether such changes are the result of the mere measurement effect or of other artefacts of intervention study design. The aim of this study is to determine the size and direction of changes in health behaviours from baseline to follow-up in prospective studies using the theory of planned behaviour. Electronic databases were searched for the theory of planned behaviour studies which measured health behaviours at two or more time points. Change in behaviour was calculated for all studies. Sixty-six studies were included. Mean effect sizes across all studies were small and negative (d = -.03). Effect size was moderated by behaviour, behaviour type and follow-up length. Subgroup analyses showed significant decreases in socially undesirable behaviour (d = -.28), binge drinking (d = -.17), risk driving (d = -.20), sugar snack consumption (d = -.43) and sun-protective behaviour (d = -.18). Measurement of intention at baseline resulted in significant decreases in undesirable behaviour. Changes in undesirable behaviours reported in other studies may be the result of the mere measurement effect.

The theory of vibronic transitions in rare earth compounds

The theory of vibronic transitions in rare earth compounds is re-examined in the light of a more reliable representation for the ligand field Hamiltonian than the crude electrostatic model. General expressions that take into account the relevant contributions from the forced electric dipole and dynamic coupling mechanisms are derived for the vibronic intensity parameters. These include additional terms, from charge and polarizability gradients, which have not been considered in previous work. Emphasis is given to the relative signs of these various contributions. Under certain approximations these expressions may be conveniently written in terms of accessible ligand field parameters. A comparison with experimental values for the compounds Cs2NaEuCl6 and LiEuF4 is made and satisfactory agreement between theory and experiment is found. A discussion is given on the sensitivity of the calculated intensities to the values of radial integrals, interconfigurational energy differences and ligand field parameters that may be used. Finally, the problem in which a vibronic and an electronic level are in resonance, or near resonance, is analyzed. Suitable expressions to describe the effects of the even-rank components of the vibronic Hamiltonian are obtained. It is found that, depending on the strength of the vibronic interaction and the resonance conditions, the admixture between these two levels may lead to intensities of nearly equal values. © 1995.

Theory of non-steady state electrical characteristics of metal-insulator-metal structures with schottky barriers and exponentially distributed impurity states

We discuss non-steady state electrical characteristics of a metal-insulator-metal structure. We consider an exponential distribution (in energy) of impurity states in addition to impurity states at a single energy level within the depletion region. We discuss thermal as well as isothermal characteristics and present an expression for the temperature of maximum current (Tm) and a method to calculate the density of exponentially distributed impurity states. We plot the theoretical curves for various sets of parameters and the variation of Tm, and Im (maximum current) with applied potential for various impurity distributions. The present model can explain the available experimental results. Finally we compare the non-steady state characteristics in three cases: (i) impurity states only at a single energy level, (ii) uniform energetic distribution of impurity states, and (iii) exponential energetic distribution of impurity states.

A combined theoretical and experimental study of electronic structure and optical properties of β-ZnMoO4 microcrystals

In this paper, a combined theoretical and experimental study on the electronic structure and photoluminescence (PL) properties of beta zinc molybdate (β-ZnMoO4) microcrystals synthesized by the hydrothermal method has been employed. These crystals were structurally characterized by X-ray diffraction (XRD), Rietveld refinement, Fourier transform Raman (FT-Raman) and Fourier transform infrared (FT-IR) spectroscopies. Their optical properties were investigated by ultraviolet-visible (UV-Vis) absorption spectroscopy and PL measurements. First-principles quantum mechanical calculations based on the density functional theory at the B3LYP level have been carried out. XRD patterns, Rietveld refinement, FT-Raman and FT-IR spectra showed that these crystals have a wolframite-type monoclinic structure. The Raman and IR frequencies experimental results are in reasonable agreement with theoretically calculated results. UV-Vis absorption measurements shows an optical band gap value of 3.17 eV, while the calculated band structure has a value of 3.22 eV. The density of states indicate that the main orbitals involved in the electronic structure of β-ZnMoO4 crystals are (O 2p-valence band and Mo 4d-conduction band). Finally, PL properties of β-ZnMoO4 crystals are explained by means of distortions effects in octahedral [ZnO6] and [MoO6] clusters and inhomogeneous electronic distribution into the lattice with the electron density map. © 2013 Elsevier Ltd. All rights reserved.

Experimental and Theoretical Investigations of Electronic Structure and Photoluminescence Properties of beta-Ag2MoO4 Microcrystals

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Electrostatic potentials and polarization effects in proton-molecule interactions by means of multipoles from the quantum theory of atoms in molecules

Some atomic multipoles (charges, dipoles and quadrupoles) from the Quantum Theory of Atoms in Molecules (QTAIM) and CHELPG charges are used to investigate interactions between a proton and a molecule (F2, Cl2, BF, AlF, BeO, MgO, LiH, H2CO, NH3, PH3, BF3, and CO2). Calculations were done at the B3LYP/6-311G(3d,3p) level. The main aspect of this work is the investigation of polarization effects over electrostatic potentials and atomic multipoles along a medium to long range of interaction distances. Large electronic charge fluxes and polarization changes are induced by a proton mainly when this positive particle approaches the least electronegative atom of diatomic heteronuclear molecules. The search for simple equations to describe polarization on electrostatic potentials from QTAIM quantities resulted in linear relations with r-4 (r is the interaction distance) for many cases. Moreover, the contribution from atomic dipoles to these potentials is usually the most affected contribution by polarization what reinforces the need for these dipoles to a minimal description of purely electrostatic interactions. Finally, CHELPG charges provide a description of polarization effects on electrostatic potentials that is in disagreement with physical arguments for certain of these molecules. (c) 2012 Wiley Periodicals, Inc.

Numerical simulation of ion transport through ion channels and solid-state nanopores

Ion channels are pore-forming proteins that regulate the flow of ions across biological cell membranes. Ion channels are fundamental in generating and regulating the electrical activity of cells in the nervous system and the contraction of muscolar cells. Solid-state nanopores are nanometer-scale pores located in electrically insulating membranes. They can be adopted as detectors of specific molecules in electrolytic solutions. Permeation of ions from one electrolytic solution to another, through a protein channel or a synthetic pore is a process of considerable importance and realistic analysis of the main dependencies of ion current on the geometrical and compositional characteristics of these structures are highly required. The project described by this thesis is an effort to improve the understanding of ion channels by devising methods for computer simulation that can predict channel conductance from channel structure. This project describes theory, algorithms and implementation techniques used to develop a novel 3-D numerical simulator of ion channels and synthetic nanopores based on the Brownian Dynamics technique. This numerical simulator could represent a valid tool for the study of protein ion channel and synthetic nanopores, allowing to investigate at the atomic-level the complex electrostatic interactions that determine channel conductance and ion selectivity. Moreover it will provide insights on how parameters like temperature, applied voltage, and pore shape could influence ion translocation dynamics. Furthermore it will help making predictions of conductance of given channel structures and it will add information like electrostatic potential or ionic concentrations throughout the simulation domain helping the understanding of ion flow through membrane pores.

Simulations of charge transport in organic compounds

To aid the design of organic semiconductors, we study the charge transport properties of organic liquid crystals, i.e. hexabenzocoronene and carbazole macrocycle, and single crystals, i.e. rubrene, indolocarbazole and benzothiophene derivatives (BTBT, BBBT). The aim is to find structure-property relationships linking the chemical structure as well as the morphology with the bulk charge carrier mobility of the compounds. To this end, molecular dynamics (MD) simulations are performed yielding realistic equilibrated morphologies. Partial charges and molecular orbitals are calculated based on single molecules in vacuum using quantum chemical methods. The molecular orbitals are then mapped onto the molecular positions and orientations, which allows calculation of the transfer integrals between nearest neighbors using the molecular orbital overlap method. Thus we obtain realistic transfer integral distributions and their autocorrelations. In case of organic crystals the differences between two descriptions of charge transport, namely semi-classical dynamics (SCD) in the small polaron limit and kinetic Monte Carlo (KMC) based on Marcus rates, are studied. The liquid crystals are investigated solely in the hopping limit. To simulate the charge dynamics using KMC, the centers of mass of the molecules are mapped onto lattice sites and the transfer integrals are used to compute the hopping rates. In the small polaron limit, where the electronic wave function is spread over a limited number of neighboring molecules, the Schroedinger equation is solved numerically using a semi-classical approach. The results are compared for the different compounds and methods and, where available, with experimental data. The carbazole macrocycles form columnar structures arranged on a hexagonal lattice with side chains facing inwards, so columns can closely approach each other allowing inter-columnar and thus three-dimensional transport. When taking only intra-columnar transport into account, the mobility is orders of magnitude lower than in the three-dimensional case. BTBT is a promising material for solution-processed organic field-effect transistors. We are able to show that, on the time-scales of charge transport, static disorder due to slow side chain motions is the main factor determining the mobility. The resulting broad transfer integral distributions modify the connectivity of the system but sufficiently many fast percolation paths remain for the charges. Rubrene, indolocarbazole and BBBT are examples of crystals without significant static disorder. The high mobility of rubrene is explained by two main features: first, the shifted cofacial alignment of its molecules, and second, the high center of mass vibrational frequency. In comparsion to SCD, only KMC based on Marcus rates is capable of describing neighbors with low coupling and of taking static disorder into account three-dimensionally. Thus it is the method of choice for crystalline systems dominated by static disorder. However, it is inappropriate for the case of strong coupling and underestimates the mobility of well-ordered crystals. SCD, despite its one-dimensionality, is valuable for crystals with strong coupling and little disorder. It also allows correct treatment of dynamical effects, such as intermolecular vibrations of the molecules. Rate equations are incapable of this, because simulations are performed on static snapshots. We have thus shown strengths and weaknesses of two state of the art models used to study charge transport in organic compounds, partially developed a program to compute and visualize transfer integral distributions and other charge transport properties, and found structure-mobility relations for several promising organic semiconductors.