Quasi-Monte Carlo Methods in Cash Flow Testing Simulations

What actuaries call cash flow testing is a large-scale simulation pitting a company\u27\u27s current policy obligation against future earnings based on interest rates. While life contingency issues associated with contract payoff are a mainstay of the actuarial sciences, modeling the random fluctuations of US Treasury rates is less studied. Furthermore, applying standard simulation techniques, such as the Monte Carlo method, to actual multi-billion dollar companies produce a simulation that can be computationally prohibitive. In practice, only hundreds of sample paths can be considered, not the usual hundreds of thousands one might expect for a simulation of this complexity. Hence, insurance companies have a desire to accelerate the convergence of the estimation procedure. The paper reports the results of cash flow testing simulations performed for Conseco L.L.C. using so-called quasi-Monte Carlo techniques. In these, pseudo-random number generation is replaced with deterministic low discrepancy sequences. It was found that by judicious choice of subsequences, that the quasi-Monte Carlo method provided a consistently tighter estimate than the traditional methods for a fixed, small number of sample paths. The techniques used to select these subsequences are discussed

Computational Finance Models

The author discusses his involvement in developing computational finance software. These computational finance models attempt to model the randomness of a stock\u27s price. At a fixed future time, a stock\u27s price is modeled as a random variable with a normal distribution centered about the current price adjusted with a simple growth multiplier. The standard deviation of this normal distribution depends on the length of time into the future one peers and the volatility of the market. As the market becomes more volatile and we look further ahead, the less likely the stock will have a price near the adjusted current price. Implementing these ideas requires a tool borrowed from physics called the Brownian motion. In a sense, a stock\u27s price is modeled as a point fluctuating about in dollar space . Hence a financial modeler can no more predict what price a stock will have at a given instance in time than a physicist can predict where a particular air molecule might be

Development of a radiation hard version of the Analog Pipeline Chip APC128

The Analog Pipeline Chip (APC) is a low noise, low power readout chip for silicon micro strip detectors with 128 channels containing an analog pipeline of 32 buffers depth. The chip has been designed for operation at HERA with a power dissipation of 300-400 muW per channel and has been used also in several other particle physics experiments. In this paper we describe the development of a radiation hard version of this chip that will be used in the H1 vertex detector for operation at the luminosity upgraded HERA machine. A 128 channel prototyping chip with several amplifier variations has been designed in the radiation hard DMILL technology and measured. The results of various parameter variations are presented in this paper. Based on this, the design choice for the final production version of the APC128-DMILL has been made.Comment: 10 pages, 10 figure

Economic Feasibility of Semi-Underground Pumped Storage Hydropower Plants in Open-Pit Mines

This work aims at the economic evaluation of a semi-underground pumped hydro storage power plant erected in an abandoned open-pit mine. For the exploratory model-based analysis, we develop and apply both a simple deterministic and a stochastic net present value (NPV) approach, the latter of which uses a Monte Carlo simulation to account for revenue uncertainty from electricity price fluctuations. The analytical framework developed is applied to two promising sites in the Rheinland region in Germany, Hambach and Inden, making reasonable parameter value assumptions and considering and ignoring the lengthy duration of lower reservoir flooding. The investor’s value-at-risk is computed for alternative performance indicators (NPV, net cash recovery, profit-to-investment ratio, and specific production costs) to compare the different outcomes in terms of the project’s financial risk distribution. Calculations show that a semi-underground pumped hydro storage power plant in an abandoned open-pit mine can be constructed at reasonably low investment costs and operated at low specific production costs. However, because the investment has to be made long before the pit lake is (naturally) flooded—a process that for realistic flow rates may take up to 20 years—the project is highly uneconomical and would require substantial subsidies, as compared to a situation where flooding happens immediately

Desigm and Development Considerations of a Learning Object Repository

A learning objects repository (LOR) is a web-based educational portal that houses, displays, and delivers sharable content objects for educational purposes. Design of such a repository encounters a number of considerations that relate the behavior of the information system to the content objects it manages. This paper examines these design issues in light of standards we have utilized. In particular, the instructional design of our learning objects is based on a concept called progressive scaffolding, which refers to the process of providing differing levels of media guidance. A brief description of related research is included. Furthermore, our objects are compliant with the Advanced Distributed Learning’s Sharable Content Object Reference Model (SCORM) to ensure they behave in a uniform and predictable manner. This paper also reviews existing content portals and gives a summary of an evaluation project carried out with a prototype

Designing Motorcycles via the Web: Improved Aesthetics and Consumer Preference

The purpose of this research was to examine how manipulation of the aesthetic appeal of a motorcycle’s image on a web page might elucidate trends in consumer preference. To this end, website visitors were encouraged to reconfigure a blueprint of motorcycle to make it more appealing. These alterations to its confirmation were analyzed to identify patterns of preference that were then compared to the marketplace in general. It was observed that aesthetic preferences recognized by the design method were similar to trends within the motorcycle building/buying public

Asynchronous Parallel Schemes: A Survey

It is well known that synchronization and communication delays are the major sources of performance degradation of synchronous parallel algorithms. It has been shown that asynchronous implementations have the potential to reduce the overhead to minimum. This paper surveys the existing asynchronous schemes and the sufficient conditions for the convergence of the surveyed schemes. Some comparisons among these schemes are also presented

Object-Oriented Modeling and Fault Detection of a Powder Feeder for a Laser Metal Deposition System

One of the most critical components of a laser metal deposition system is the powder feeder unit. Techniques are required to efficiently design and analyze these systems and to ensure fault tolerance during the operation. In this paper, a model of the powder feeder unit, based on object– oriented abstractions of it components, is developed. This model is modular in that specific components can be efficiently updated or replaced with components that perform a similar function. In addition, the model can be used for simulation allowing for efficient design and analysis. Assurance of the correctness of the powder feeder system is obtained from concurrent run–time evaluation of temporal logic expressions. A simulation example is provided.The authors gratefully acknowledge their students’ contributions to this paper and the financial support of the National Science Foundation (DMI–9871185), Missouri Research Board, Society of Manufacturing Engineers, and Missouri Department of Economic Development.Mechanical Engineerin

Thermal UAS survey of reactivated hot spring activity in Waiwera, New Zealand

The utilization of geothermal reservoirs as alternative energy source is becoming increasingly important worldwide. Through close-range aerial photogrammetry realized by unmanned aircraft systems (UAS), this study investigates the surface expression of a leaking warm water reservoir in Waiwera, New Zealand, that has been known for many centuries but remained little explored. Due to overproduction during the 1960s and 1970s the reservoir has suffered significant pressure reduction, which resulted in the loss of artesian conditions and led to the desiccation of the hot springs in close succession. However, shortly after the recent shutdown of the primary user (Waiwera Thermal Resort & Spa) renewed artesian activity was reported by locals but no hot spring activity has been observed so far. Therefore, this study was carried out in October 2019 to assess the actual conditions of thermal activity in the area of the former hot springs. UAS with coupled thermal infrared cameras were used for thermal mapping and the obtained data show renewed activity of the hot springs on the beachfront of Waiwera. Faults and fractures were identified as important fluid pathways, as well as individual fluid conducting lithologies