An investigation on the use of copulas when calculating general cash flow distributions.

In a paper of 2000, Kaas, Dhaene and Goovaerts investigate the present value of a rather general cash flow as a special case of sums of dependent risks. Making use of comonotonic risks, they derive upper and lower bounds for the distribution of the present value, in the sense of convex ordering. These bounds are very close to the real distribution in case all payments have the same sign; however, if there are both positive and negative payments, the upper bounds perform rather badly. In the present contribution we show what happens when solving this problem by means of copulas. The idea consists of splitting up the total present value in the difference of two present values with positive payments. Making use of a copula as an approximation for the joint distribution of the two sums, an approximation for the distribution of the original present value can be derived.Approximation; Cash flow; Convex order; copulas; Dependent risk; Distribution; Lower bounds; present value; Research; Risk; Sign; Value;

Bounds for present value functions with stochastic interest rates and stochastic volatility.

The distribution of the present value of a series of cash flows under stochastic interest rates has been investigated by many researchers. One of the main problems in this context is the fact that the calculation of exact analytical results for this type of distributions turns out to be rather complicated, and is known only for special cases. An interesting solution to this difficulty consists of determining computable upper bounds, as close as possible to the real distribution.In the present contribution, we want to show how it is possible to compute such bounds for the present value of cash flows when not only the interest rates but also volatilities are stochastic. We derive results for the stop loss premium and distribution of these bounds.Distribution; Value; Cash flow; Interest rates; Researchers; Problems;

On the use of copula for calculating the present value of a general cash flow.

present value; Value;

On the distribution of cash-flows using Esscher transforms.

In their seminal paper, Gerber and Shiu (1994) introduced the concept of the Esscher transform for option pricing. As examples they considered the shifted Poisson process, the random walk, a shifted gamma process and a shifted inverse Gaussian process to describe the logarithm of the stock price. In the present paper it is shown how upper and lower bounds in convex order can be obtained when we use these types of models to describe the financial stochasticity for a given cash-flow.Cash flow; Pricing; Processes; Models; Model;

Non-Life Insurance Pricing: Multi Agents Model

We use the maximum entropy principle for pricing the non-life insurance and recover the B\"{u}hlmann results for the economic premium principle. The concept of economic equilibrium is revised in this respect.Comment: 6 pages, revtex

An ECMS-based powertrain control of a parallel hybrid electric forklift

n this paper we focus on the supervisory control problem of a parallel hybrid electric vehicle (HEV): minimize fuel consumption while ensuring self-sustaining State-of-Charge (SoC). We reapply the state of the art methodology by comparing optimal results of Dynamic Programming (DP) against a real-time control candidate. After careful selection, we opted for an Equivalent Consumption Minimization Strategy (ECMS) based approach for the following reasons: (i) results are quite remarkable with less than 5% fuel usage increase when compared to DP; (ii) simple and intuitive tuning of control parameters; (iii) readily usable for code generation (prototyping). Topics that distinguish this article from others in the literature include: (i) the usage of trapezoidal rule of integration implementing DP and ECMS; consequently, the offline simulation results are intended to be more precise and representative when compared against the more common, often used rectangular rule; (ii) a particular post-processing procedure of the recorded driving cycle data based on physical interpretation; it allows consistent offline simulations with quite high sampling period (in the order of seconds); (iii) tuning of control parameters in such a way that control system is robust towards new, unknown, unpredictable but closely resembling driving cycles. In particular, we focus on the supervisory control of a forklift truck. The real-time control is able to compute: (i) the power split (i.e. a balanced usage between an internal combustion engine and a supercapacitor); (ii) the drivetrain control (i.e. automatic gear shifting and clutching). Numerous numerical implementation issues are discussed along our presentation

Insulin-like growth factor I activates the invasion suppressor function of E-cadherin in MCF-7 human mammary carcinoma cells in vitro.

The calcium-dependent cell-cell adhesion molecule E-cadherin has been shown to counteract invasion of epithelial neoplastic cells. Using three monoclonal antibodies, we have demonstrated the presence of E-cadherin at the surface of human MCF-7/6 mammary carcinoma cells by indirect immunofluorescence coupled to flow cytometry and by immunocytochemistry. Nevertheless, MCF-7/6 cells failed to aggregate in a medium containing 1.25 mM CaCl2, and they were invasive after confrontation with embryonic chick heart fragments in organ culture. Treatment of MCF-7/6 cells with 0.5 microgram ml-1 insulin-like growth factor I (IGF-I) led to homotypic aggregation within 5 to 10 min and inhibited invasion in vitro during at least 8 days. The effect of IGF-I on cellular aggregation was insensitive to cycloheximide. However, monoclonal antibodies that interfered with the function of either the IGF-I receptor (alpha IR3) or E-cadherin (HECD-1, MB2) blocked the effect of IGF-I on aggregation. The effects of IGF-I on aggregation and on invasion could be mimicked by 1 microgram ml-1 insulin, but not by 0.5 microgram ml-1 IGF-II. The insulin effects were presumably not mediated by the IGF-I receptor, since they could not be blocked by an antibody against this receptor (alpha IR3). Our results indicate that IGF-I activates the invasion suppressor role of E-cadherin in MCF-7/6 cells