Optimal reinsurance of dependent risks

We analyse the problem of nding the optimal combination of quota-share and stop loss treaties, maximizing the expected utility or the adjustment coecient of the ce- dent, for each of two risks dependent through a copula structure. By risk we mean a line of business or a portfolio of policies. Results are obtained numerically, using the software Mathematica. Sensitivity of the optimal reinsurance strategy to several factors are investigated, including: i) the dependence level, by means of the Kendall's tau and the dependence parameter; ii) the type of dependence, using dierent copulas describing dierent tail behaviour; iii) the reinsurance calculation principles, where expected value, variance and standard deviation principles are considered. Results show that dierent dependence structures, yield signicantly dierent optimal solu- tions. The optimal treaty is also very sensible to the reinsurance premium calculation principle. Namely, for variance related premiums the optimal solution is not the pure stop loss. In general, the maximum adjustment coecient decreases when dependence increases..info:eu-repo/semantics/publishedVersio

Agriculture pest and disease risk maps considering MSG satellite data and Land Surface Temperature.

Pest risk maps for agricultural use are usually constructed from data obtained from in-situ meteorological weather stations, which are relatively sparsely distributed and are often quite expensive to install and difficult to maintain. This leads to the creation of maps with relatively low spatial resolution, which are very much dependent on interpolation methodologies. Considering that agricultural applications typically require a more detailed scale analysis than has traditionally been available, remote sensing technology can offer better monitoring at increasing spatial and temporal resolutions, thereby improving pest management results and reducing costs. This article uses ground temperature, or land surface temperature (LST), data distributed by EUMETSAT/LSASAF (with a spatial resolution of 3 x 3 km (nadir resolution) and a revisiting time of 15 min) to generate one of the most commonly used parameters in pest modelling and monitoring: “thermal integral over air temperature (accumulated degree-days)”. The results show a clear association between the accumulated LST values over a threshold and the accumulated values computed from meteorological stations over the same threshold (specific to a particular tomato pest). The results are very promising and enable the production of risk maps for agricultural pests with a degree of spatial and temporal detail that is difficult to achieve using in-situ meteorological stations

Aerosol optical properties from columnar data during the second Aerosol Characterization Experiment on the south coast of Portugal

Measurements of aerosol optical properties over the atmospheric column (aerosol optical thickness, spectral angular sky radiance (sky brightness), and downwelling hemispheric flux) have been used to derive climate-relevant aerosol parameters such as the phase function, the broadband single-scattering albedo, and the refractive index. These parameters are needed to estimate the direct short-wave radiative forcing by aerosols and to validate aerosol models in the satellite retrieval algorithms. Values of the broadband single-scattering albedo obtained in this study range between w0 = 0.98 (marine aerosols) and 0.90 (continental pollution aerosols). The columnar ambient broadband refractive index is found to be m = 1.39 ± 0.044 i (<0.003) for marine conditions and m = 1.48 ± 0.058 i (0.01 ± 0.003) for polluted continental aerosols. Nonsphericity is shown to be important in the case of marine aerosols. Moreover, aerosol nonsphericity gives an additional contribution to the negative short-wave radiative forcing of marine aerosols under clear-sky conditions, which can be estimated as being 30 up to 50% of the radiative forcing estimated for spherical marine aerosols. In the case of continental polluted aerosols the optical properties can be represented by spherical particles, and no additional shape effect has to be considered. However, the aerosol absorption leads to an increase of about 40% of the radiative forcing estimated for nonabsorbing aerosol of the same size distribution