Methods of capital allocation in a Solvency II environment

Mestrado em Actuarial ScienceDe acordo com a regulamentação de Solvência II, o SCR é geralmente calculado usando uma fórmula padrão que considera os riscos que uma seguradora enfrenta. Devido à agregação dos diferentes riscos, são originados benefícios de diversificação e um valor de SCR total menor que a soma dos requisitos de capital de cada risco. Para ter em conta estes benefícios de diversificação, o capital total deve ser alocado de volta aos níveis mais baixos de risco, aplicando um método apropriado de alocação de capital. Este relatório é resultado de um estágio curricular que decorreu na EY. Um dos objetivos foi encontrar o método mais apropriado para realizar a alocação do SCR de uma empresa de seguros. Foram estudados cinco métodos de alocação, Proporcional, Variância-Covariância, Merton e Perold, Shapley e Euler. Os métodos são comparados teoricamente, analisando as suas respetivas propriedades e, com base em vários estudos presentes na literatura, conclui-se que o método de Euler é o mais apropriado. Este trabalho contribui para uma melhor compreensão dos métodos de alocação de capital e permite demonstrar como alocar o SCR. Contribui também para mostrar como construir o SES para fins do cálculo do ajustamento LAC DT. Visto que esta tarefa foi uma das dificuldades referidas no QIS 5, este trabalho pode servir como base literária, sendo útil para superar essas dificuldades.Under Solvency II regulation the SCR is mainly calculated using a standard formula which considers the risks that an insurer faces. Due to this aggregation of risks, a diversification benefit is achieved and the global SCR is smaller than the sum of the capital requirements of each risk. To take these diversification benefits into account the total capital should be allocated back to the lower levels of risk by applying a proper method of capital allocation. This report is the result of a curricular internship that took place at EY. One of the goals was to find the most appropriate method to perform a capital allocation of the SCR of an insurance company. Five methods of allocation were studied, Proportional, Variance-Covariance, Merton and Perold, Shapley and Euler. The methods were compared theoretically by analyzing their respective properties, and based on several studies in the literature it is concluded that the Euler method is the most appropriate to apply. This report contributes to a better understanding of capital allocation methods and allows to demonstrate how to allocate the SCR. It also contributes to show how to construct the SES for the purpose of the calculation of the adjustment of LAC DT. Since this task was one of the difficulties enumerated in the Fifth Quantitative Impact Study (QIS 5), this work can serve as a literary base, being useful to overcome these difficulties.info:eu-repo/semantics/publishedVersio

Genetic algorithm for controllers in elevator groups: analysis and simulation during lunchpeak traffic

The efficient performance of elevator group system controllers becomes a first order necessity when the buildings have a high utilisation ratio of the elevators, such as in professional buildings. We present a genetic algorithm that is compared with traditional controller algorithms in industry applications. An ARENA simulation scenario is created during heavy lunchpeak traffic conditions. The results allow us to affirm that our genetic algorithm reaches a better performance attending to the system waiting times than THV algorithm

Operation and restoration of bulk power systems using distributed energy resources and multi-microgrids

The fast-paced and meaningful penetration of distributed energy resources (DERs), such as variable renewable energy sources (RESs), concurrently with the widespread occurrence of natural disasters and man-made threats, has raised several challenges for the modern bulk power systems (BPSs) status quo. Although the DERs are demanding new solutions to ensure adequate stability and security levels, these resources enable significant opportunities to improve multiple BPS perspectives. In this view, seeking to capitalize on these novel features, while aware of the significant changes to BPS outlook, this thesis is focused on developing new methods able to capitalize on modern monitoring infrastructures, DERs and control areas opportunities toward the improvement of BPS operation and stability. Specifically, the thesis focuses on: 1) First, a novel method for the improvement of the static security region (SSR) is proposed based on a new network partitioning algorithm. The proposed algorithm focuses on modern BPS with high penetration of variable RES generation. It divides the BPS into coherence areas according to its criticality mapping, and consequently, areas are adaptively associated with SSRs generators groups. To this end, each bus is assigned a criticality index from the potential energy function, whereas this calculation is based on the data of the wide-area measurement system (WAMS) using phasor measurement unit (PMU); 2) Second, a novel area-based sensitivity index for voltage stability support is proposed, exploring both the network-wide sensitivity and the local characteristics of voltage collapse. The developed index focuses on the determination of the most effective buses for voltage support and their respective capability of increasing the system’s load margin. For this, a novel area-based outlook is developed taking advantage of the new possibilities enabled by BPS distributed controllable resources, such as flexible resources (FRs)

A Research Framework for the Multidisciplinary Design and Optimization of Wind Turbines

The design of very large wind turbines is a complex task which requires the development of dedicated tools and techniques. In this chapter, we present a system-level design procedure based on the combination of multi-body numerical models of the turbine and a multilevel optimization scheme. The overall design aims at the minimization of the cost of energy (COE) through the optimization of all the characteristics of the turbine, and the procedure automatically manages all the simulations required to compute relevant loads and displacements. This unique setup allows the designer to conduct trade-off studies in a highly realistic virtual environment and is an ideal test bench for advanced research studies in which it is important to assess the economic impact of specific design choices. Examples of such studies include the impact of stall-induced vibrations on fatigue, the development of active/passive control laws for large rotors, and the complete definition of 10–20 MW reference turbines

Contribution to the Ultra-Fast Charging of Electric Vehicles:The Configurable Modular Multilevel Converter (CMMC)

It is generally agreed that one of the drawbacks of a conventional vehicle is the inability to always reach the best operating point of the engine and the inability to regenerate the kinetic energy. Meaning, even with the help of the gearbox or automatic transmission, there is no way to reach more efficient operating points without increasing the power and then there is nowhere to store the excess of the energy converted. Electric vehicles (EVs) offer an opportunity for intelligent motion by working at the best operating point during driving mode, as well as a smart energy management during charging mode. However, it is well-known that the EV has been criticised due to its range anxiety, its limited compatibility with various charging points, its high cost, as well as its limited capability to ride-through a thermal runaway, etc. Today, the range anxiety seems to be resolved by the fact that a significate development is foreseen in the field of the battery cells market for portable equipment such as cell phones, pads, laptops, etc; the same battery technology can be deployed for EVs. Actually, battery packs in EVs tend to have high energy and power densities which will exert a strong thermal stress upon them. This means that individual battery cells are more prone to decline away and eventually fail early because of an excessive loss of capacity and an increase of the internal resistance caused by accelerated aging. Moreover, for electromechanical reasons, each cell is totally unbalanced in operating mode. Therefore, a suitable battery management system should be installed and the capability of the EV to ride-through thermal runaways must be guaranteed. Furthermore, in order to overcome the difference between AC and DC charging station standards, the EV on-board charger has to be flexible for various levels of charging modes (from AC household basic supply to AC or DC ultrafast charging). In order to meet the EV requirements, an advanced power converter which driven efficiency, power density is required. Therefore, the configurable modular multilevel converter (CMMC) has been introduced. It is part of a family of modular multilevel converters, also known as MMC, M2C or DSCC. Hence, its heritage allows bringing the whole advantages to EV applications. In addition it carries the surname of configurable because the converter plays a double role: in fact, it merge the traction converter and the bidirectional charger as well as the battery balancer converter, which not only increases the modularity and the scalability of the power modules but it reduces the cost, condenses the volume. In detail, the concept is linked to the idea of replacing the branch inductance of the standard MMC by the tapped stator windings of the traction motor itself. This allows operating the stator windings as current filter during charging mode. In addition, the famous EV battery pack is split into the MMC submodule. This will increase the fault ride-through capabilities of the Flex-EV battery against thermal runaways, by increasing the capability of the system to work under fault condition. In addition, states of charge (SoC) balancing are implemented at the level of modulation in order to balance that submodule battery state of charge. This is based on a selecting and sorting algorithm, which connect and disconnect the batteries submodules actively according to the sign of the generated AC current wave form and the SoC of the submodules batteries

The quotient in preorder theories

Seeking the largest solution to an expression of the form Ax 64 B is a common task in several domains of engineering and computer science. This largest solution is commonly called quotient. Across domains, the meanings of the binary operation and the preorder are quite different, yet the syntax for computing the largest solution is remarkably similar. This paper is about finding a common framework to reason about quotients. We only assume we operate on a preorder endowed with an abstract monotonic multiplication and an involution. We provide a condition, called admissibility, which guarantees the existence of the quotient, and which yields its closed form. We call preordered heaps those structures satisfying the admissibility condition. We show that many existing theories in computer science are preordered heaps, and we are thus able to derive a quotient for them, subsuming existing solutions when available in the literature. We introduce the concept of sieved heaps to deal with structures which are given over multiple domains of definition. We show that sieved heaps also have well-defined quotients

A New MMC Topology Which Decreases the Sub Module Voltage Fluctuations at Lower Switching Frequencies and Improves Converter Efficiency

Modular Multi-level inverters (MMCs) are becoming more common because of their suitability for applications in smart grids and multi-terminal HVDC transmission networks. The comparative study between the two classic topologies of MMC (AC side cascaded and DC side cascaded topologies) indicates some disadvantages which can affect their performance. The sub module voltage ripple and switching losses are one of the main issues and the reason for the appearance of the circulating current is sub module capacitor voltage ripple. Hence, the sub module capacitor needs to be large enough to constrain the voltage ripple when operating at lower switching frequencies. However, this is prohibitively uneconomical for the high voltage applications. There is always a trade off in MMC design between the switching frequency and sub module voltage ripple