Solvency considerations in the gamma-omega surplus model

Ce mémoire de maîtrise traite de la théorie de la ruine, et plus spécialement des modèles actuariels avec surplus dans lesquels sont versés des dividendes. Nous étudions en détail un modèle appelé modèle gamma-omega, qui permet de jouer sur les moments de paiement de dividendes ainsi que sur une ruine non-standard de la compagnie. Plusieurs extensions de la littérature sont faites, motivées par des considérations liées à la solvabilité. La première consiste à adapter des résultats d’un article de 2011 à un nouveau modèle modifié grâce à l’ajout d’une contrainte de solvabilité. La seconde, plus conséquente, consiste à démontrer l’optimalité d’une stratégie de barrière pour le paiement des dividendes dans le modèle gamma-omega. La troisième concerne l’adaptation d’un théorème de 2003 sur l’optimalité des barrières en cas de contrainte de solvabilité, qui n’était pas démontré dans le cas des dividendes périodiques. Nous donnons aussi les résultats analogues à l’article de 2011 en cas de barrière sous la contrainte de solvabilité. Enfin, la dernière concerne deux différentes approches à adopter en cas de passage sous le seuil de ruine. Une liquidation forcée du surplus est mise en place dans un premier cas, en parallèle d’une liquidation à la première opportunité en cas de mauvaises prévisions de dividendes. Un processus d’injection de capital est expérimenté dans le deuxième cas. Nous étudions l’impact de ces solutions sur le montant des dividendes espérés. Des illustrations numériques sont proposées pour chaque section, lorsque cela s’avère pertinent.

Solvency considerations in the gamma-omega surplus model

Ce mémoire de maîtrise traite de la théorie de la ruine, et plus spécialement des modèles actuariels avec surplus dans lesquels sont versés des dividendes. Nous étudions en détail un modèle appelé modèle gamma-omega, qui permet de jouer sur les moments de paiement de dividendes ainsi que sur une ruine non-standard de la compagnie. Plusieurs extensions de la littérature sont faites, motivées par des considérations liées à la solvabilité. La première consiste à adapter des résultats d’un article de 2011 à un nouveau modèle modifié grâce à l’ajout d’une contrainte de solvabilité. La seconde, plus conséquente, consiste à démontrer l’optimalité d’une stratégie de barrière pour le paiement des dividendes dans le modèle gamma-omega. La troisième concerne l’adaptation d’un théorème de 2003 sur l’optimalité des barrières en cas de contrainte de solvabilité, qui n’était pas démontré dans le cas des dividendes périodiques. Nous donnons aussi les résultats analogues à l’article de 2011 en cas de barrière sous la contrainte de solvabilité. Enfin, la dernière concerne deux différentes approches à adopter en cas de passage sous le seuil de ruine. Une liquidation forcée du surplus est mise en place dans un premier cas, en parallèle d’une liquidation à la première opportunité en cas de mauvaises prévisions de dividendes. Un processus d’injection de capital est expérimenté dans le deuxième cas. Nous étudions l’impact de ces solutions sur le montant des dividendes espérés. Des illustrations numériques sont proposées pour chaque section, lorsque cela s’avère pertinent.

Impacts of periodic tillage on soil C stocks : a synthesis

Long-term loss of soil C stocks under conventional tillage and accrual of soil C following adoption of no-tillage have been well documented. No-tillage use is spreading, but it is common to occasionally till within a no-till regime or to regularly alternate between till and no-till practices within a rotation of different crops. Short-term studies indicate that substantial amounts of C can be lost from the soil immediately following a tillage event, but there are few field studies that have investigated the impact of infrequent tillage on soil C stocks. How much of the C sequestered under no-tillage is likely to be lost if the soil is tilled? What are the longer-term impacts of continued infrequent no-tillage? If producers are to be compensated for sequestering C in soil following adoption of conservation tillage practices, the impacts of infrequent tillage need to be quantified. A few studies have examined the short-term impacts of tillage on soil C and several have investigated the impacts of adoption of continuous no-tillage. We present: (1) results from a modeling study carried out to address these questions more broadly than the published literature allows, (2) a review of the literature examining the short-term impacts of tillage on soil C, (3) a review of published studies on the physical impacts of tillage and (4) a synthesis of these components to assess how infrequent tillage impacts soil C stocks and how changes in tillage frequency could impact soil C stocks and C sequestration. Results indicate that soil C declines significantly following even one tillage event (1-11 % of soil C lost). Longer-term losses increase as frequency of tillage increases. Model analyses indicate that cultivating and ripping are less disruptive than moldboard plowing, and soil C for those treatments average just 6% less than continuous NT compared to 27% less for CT. Most (80%) of the soil C gains of NT can be realized with NT coupled with biannual cultivating or ripping. (C) 2007 Elsevier B.V. All rights reserved.

Markov modelling of the IEEE 802.11 DCF for real-time applications with periodic traffic

Popular wireless network standards, such as IEEE 802.11/15/16, are increasingly adopted in real-time control systems. However, they are not designed for real-time applications. Therefore, the performance of such wireless networks needs to be carefully evaluated before the systems are implemented and deployed. While efforts have been made to model general wireless networks with completely random traffic generation, there is a lack of theoretical investigations into the modelling of wireless networks with periodic real-time traffic. Considering the widely used IEEE 802.11 standard, with the focus on its distributed coordination function (DCF), for soft-real-time control applications, this paper develops an analytical Markov model to quantitatively evaluate the network quality-of-service (QoS) performance in periodic real-time traffic environments. Performance indices to be evaluated include throughput capacity, transmission delay and packet loss ratio, which are crucial for real-time QoS guarantee in real-time control applications. They are derived under the critical real-time traffic condition, which is formally defined in this paper to characterize the marginal satisfaction of real-time performance constraints.

Natural convection and heat transfer in attics subject to periodic thermal forcing

The heat transfer through the attics of buildings under realistic thermal forcing has been considered in this study. A periodic temperature boundary condition is applied on the sloping walls of the attic to show the basic flow features in the attic space over diurnal cycles. The numerical results reveal that, during the daytime heating stage, the flow in the attic space is stratified; whereas at the night-time cooling stage, the flow becomes unstable. A symmetrical solution is seen for relatively low Rayleigh numbers. However, as the Ra gradually increases, a transition occurs at a critical value of Ra. Above this critical value, an asymmetrical solution exhibiting a pitchfork bifurcation arises at the night-time. It is also found that the calculated heat transfer rate at the night-time cooling stage is much higher than that during the daytime heating stage.

Natural convection in a triangular enclosure subject to periodic thermal forcing

The effects of periodic thermal forcing on the flow field and heat transfer through an attic space are examined numerically in this paper. We consider the case with a fixed aspect ratio of 0.5 and a fixed Grashof number of 1.33×106. The numerical results reveal that, during the daytime, the flow is stratified; whereas at the night-time, the flow becomes unstable. A number of regular plumes and vortices are observed in the contours of isotherms and stream functions respectively. Moreover, the flow appears to be symmetric during the daytime, and becomes asymmetric at the night-time. It is also found that the flow is weaker during the daytime than that at the night-time in the present case, and the calculated heat transfer rate at the night-time is approximately three times greater than the heat transfer rate during the daytime.

Guidance of aircraft in periodic inspection tasks

This paper presents a guidance approach for aircraft in periodic inspection tasks. The periodic inspection task involves flying to a series of desired fixed points of inspection with specified attitude requirements so that requirements for downward looking sensors, such as cameras, are achieved. We present a solution using a precision guidance law and a bank turn dynamics model. High fidelity simulation studies illustrate the effectiveness of this approach under both ideal (nil-wind) and non-ideal (wind) conditions.

A nanometre-scale non-periodic structural variation in high temperature superconducting ceramics and the implications for properties

Non-periodic structural variation has been found in the high Tc cuprates, YBa2Cu3O7-x and Hg0.67Pb0.33Ba2Ca2Cu 3O8+δ, by image analysis of high resolution transmission electron microscope (HRTEM) images. We use two methods for analysis of the HRTEM images. The first method is a means for measuring the bending of lattice fringes at twin planes. The second method is a low-pass filter technique which enhances information contained by diffuse-scattered electrons and reveals what appears to be an interference effect between domains of differing lattice parameter in the top and bottom of the thin foil. We believe that these methods of image analysis could be usefully applied to the many thousands of HRTEM images that have been collected by other workers in the high temperature superconductor field. This work provides direct structural evidence for phase separation in high Tc cuprates, and gives support to recent stripes models that have been proposed to explain various angle resolved photoelectron spectroscopy and nuclear magnetic resonance data. We believe that the structural variation is a response to an opening of an electronic solubility gap where holes are not uniformly distributed in the material but are confined to metallic stripes. Optimum doping may occur as a consequence of the diffuse boundaries between stripes which arise from spinodal decomposition. Theoretical ideas about the high Tc cuprates which treat the cuprates as homogeneous may need to be modified in order to take account of this type of structural variation.

Higher-Order Nonlinearity In Accretion Disks: Quasi-Periodic Oscillations Of Black Hole And Neutron Star Sources And Their Spin

We propose a unified model to explain Quasi-Periodic Oscillation (QPO), particularly of high frequency, observed from black hole and neutron star systems globally. We consider accreting systems to be damped harmonic oscillators exhibiting epicyclic oscillations with higher-order nonlinear resonance to explain QPO. The resonance is expected to be driven by the disturbance from the compact object at its spin frequency. The model explains various properties parallelly for both types of the compact object. It describes QPOs successfully for ten different compact sources. Based on this, we predict the spin frequency of the neutron star Sco X-1 and specific angular momentum of black holes GRO J1655–40, XTE J1550–564, H1743–322, and GRS 1915+105.