TVaR-based capital allocation with copulas

Because of regulation projects from control organizations such as the European solvency II reform and recent economic events, insurance companies need to consolidate their capital reserve with coherent amounts allocated to the whole company and to each line of business. The present study considers an insurance portfolio consisting of several lines of risk which are linked by a copula and aims to evaluate not only the capital allocation for the overall portfolio but also the contribution of each risk over their aggregation. We use the tail value at risk (TVaR) as risk measure. The handy form of the FGM copula permits an exact expression for the TVaR of the sum of the risks and for the TVaR-based allocations when claim amounts are exponentially distributed and distributed as a mixture of exponentials. We first examine the bivariate model and then the multivariate case. We also show how to approximate the TVaR of the aggregate risk and the contribution of each risk when using any copula.

On the Moments of the Aggregate Discounted Claims with Dependence Introduced by a FGM Copula

In this paper, we investigate the computation of the moments of the compound Poisson sums with discounted claims when introducing dependence between the interclaim time and the subsequent claim size. The dependence structure between the two random variables is defined by a Farlie-Gumbel-Morgenstern copula. Assuming that the claim distribution has finite moments, we give expressions for the first and the second moments and then we obtain a general formula for any mth order moment. The results are illustrated with applications to premium calculation, moment matching methods, as well as inflation stress scenarios in Solvency II.

Double-walled carbon nanotubes trigger IL-1β release in human monocytes through Nlrp3 inflammasome activation

Because of their outstanding physical properties, carbon nanotubes (CNTs) are promising new materials in the field of nanotechnology. It is therefore imperative to assess their adverse effects on human health. Monocytes/macrophages that recognize and eliminate the inert particles constitute the main target of CNTs. In this article, we report our finding that double-walled CNTs (DWCNTs) synergize with Tolllike receptor agonists to enhance IL-1β release in human monocytes. We show that DWCNTs–induced IL-1β secretion is exclusively linked to caspase-1 and to Nlrp3 inflammasome activation in human monocytes. We also establish that this activation requires DWCNTs phagocytosis and potassium efflux, but not reactive oxygen specied (ROS) generation. Moreover, inhibition of lysosomal acidification or cathepsin-B activation reduces DWCNT-induced IL-1β secretion, suggesting that Nlrp3 inflammasome activation occurs via lysosomal destabilization. Thus, DWCNTs present a health hazard due to their capacity to activate Nlrp3 inflammasome, recalling the inflammation caused by asbestos and hence demonstrating that they should be used with caution. From the Clinical Editor: This is a very important biosafety/toxicity study regarding double walled carbon nanotubes. The investigators demonstrate that such nanotubes do represent a health hazard due to their capacity to activate Nlrp3 inflammasome, resembling the inflammation caused by asbestos. While further study of this phenomenon is definitely needed, the above findings clearly suggest that special precautions need to be taken when applying these nanoparticles in human disease research

Characterization of an integrated buck converter using infrared thermography

This study deals with new integrated systems for power electronics applications including wide-gap semiconductors. Integration of Silicon carbide (SiC) components provides for instance new perspectives with higher temperature operating points than conventional Silicon (Si) semiconductors. The present work intends to study an integrated buck converter composed of a Silicon IGBT (Insulated-Gate Bipolar Transistor) and a Silicon carbide diode. By means of infrared thermography, an analysis of the thermal disparities induced within such a hybrid assembly under various electrical loads is proposed, regarding especially the consequences of the electrical power transfer and the spatial distribution of the thermal field

Étude et caractérisation d’une fonction hacheur intégrée par thermographie infrarouge

Cet article présente une méthode d’étude et de caractérisation des fonctions d’électronique de puissance basée sur la thermographie infrarouge. Cette dernière permet d’accéder, sans contact, à l’évolution temporelle du champ surfacique de température de la structure fonctionnelle, basée ici sur un IGBT Silicium et une diode SiC. Cette étude apparaît comme essentielle dans le cadre de l’intégration de puissance, lors du dimensionnement thermique au sein d’une fonction spécifique, afin de réduire le volume des fonctions et des systèmes de refroidissement associés. Le suivi thermique est ainsi réalisé jusqu’à l’obtention du régime permanent de la structure, à la fois au niveau des composants IGBT et diode mais également des fils de bonding. L’étude de la fonction hacheur 1 quadrant est menée par ailleurs pour différents points de fonctionnement afin de valider l’approche proposée. Par la suite, les sollicitations thermiques auxquelles sont soumis les éléments de la fonction sont comparées et discutées