Optimal Robust Reinsurance with Multiple Insurers

We study a reinsurer who faces multiple sources of model uncertainty. The reinsurer offers contracts to $n$ insurers whose claims follow different compound Poisson processes. As the reinsurer is uncertain about the insurers' claim severity distributions and frequencies, they design reinsurance contracts that maximise their expected wealth subject to an entropy penalty. Insurers meanwhile seek to maximise their expected utility without ambiguity. We solve this continuous-time Stackelberg game for general reinsurance contracts and find that the reinsurer prices under a distortion of the barycentre of the insurers' models. We apply our results to proportional reinsurance and excess-of-loss reinsurance contracts, and illustrate the solutions numerically. Furthermore, we solve the related problem where the reinsurer maximises, still under ambiguity, their expected utility and compare the solutions

Stressing Dynamic Loss Models

Stress testing, and in particular, reverse stress testing, is a prominent exercise in risk management practice. Reverse stress testing, in contrast to (forward) stress testing, aims to find an alternative but plausible model such that under that alternative model, specific adverse stresses (i.e. constraints) are satisfied. Here, we propose a reverse stress testing framework for dynamic models. Specifically, we consider a compound Poisson process over a finite time horizon and stresses composed of expected values of functions applied to the process at the terminal time. We then define the stressed model as the probability measure under which the process satisfies the constraints and which minimizes the Kullback-Leibler divergence to the reference compound Poisson model. We solve this optimization problem, prove existence and uniqueness of the stressed probability measure, and provide a characterization of the Radon-Nikodym derivative from the reference model to the stressed model. We find that under the stressed measure, the intensity and the severity distribution of the process depend on time and the state space. We illustrate the dynamic stress testing by considering stresses on VaR and both VaR and CVaR jointly and provide illustrations of how the stochastic process is altered under these stresses. We generalize the framework to multivariate compound Poisson processes and stresses at times other than the terminal time. We illustrate the applicability of our framework by considering "what if" scenarios, where we answer the question: What is the severity of a stress on a portfolio component at an earlier time such that the aggregate portfolio exceeds a risk threshold at the terminal time? Moreover, for general constraints, we provide a simulation algorithm to simulate sample paths under the stressed measure

Role of cross-shell excitations in the reaction 54Fe(d_pol,p)55Fe

The reaction 54Fe(d_pol,p)55Fe was studied at the Munich Q3D spectrograph with a 14 MeV polarized deuteron beam. Excitation energies, angular distributions and analyzing powers were measured for 39 states up to 4.5 MeV excitation energy. Spin and parity assignments were made and spectroscopic factors deduced by comparison to DWBA calculations. The results were compared to predictions by large scale shell model calculations in the full pf-shell and it was found that reasonable agreement for energies and spectroscopic factors below 2.5 MeV could only be obtained if up to 6 particles were allowed to be excited from the f_7/2 orbital into p_3/2, f_5/2, and p_1/2 orbitals across the N=28 gap. For levels above 2.5 MeV the experimental strength distribution was found to be significantly more fragmented than predicted by the shell model calculations.Comment: 9 pages, 12 figures, 3 tables, submitted to European Physical Journal

Identification of the slow E3 transition 136mCs -> 136Cs with conversion electrons

We performed at ISOLDE the spectroscopy of the decay of the 8- isomer in 136Cs by and conversion-electron detection. For the first time the excitation energy of the isomer and the multipolarity of its decay have been measured. The half-life of the isomeric state was remeasured to T1/2 = 17.5(2) s. This isomer decays via a very slow 518 keV E3 transition to the ground state. In addition to this, a much weaker decay branch via a 413 keV M4 and a subsequent 105 keV E2 transition has been found. Thus we have found a new level at 105 keV with spin 4+ between the isomeric and the ground state. The results are discussed in comparison to shell model calculations.Comment: Phys. Rev. C accepted for publicatio

First Results on In-Beam gamma Spectroscopy of Neutron-Rich Na and Mg Isotopes at REX-ISOLDE

After the successful commissioning of the radioactive beam experiment at ISOLDE (REX-ISOLDE) - an accelerator for exotic nuclei produced by ISOLDE - first physics experiments using these beams were performed. Initial experiments focused on the region of deformation in the vicinity of the neutron-rich Na and Mg isotopes. Preliminary results show the high potential and physics opportunities offered by the exotic isotope accelerator REX in conjunction with the modern Germanium gamma spectrometer MINIBALL.Comment: 7 pages, RNB6 conference contributio

Study of bound states in Be-10 by one neutron removal reactions of Be-11

The bound states of Be-10 have been studied by removing single neutrons from Be-11 nuclei. A 2.8 MeV u(-1) beam of Be-11 was produced at ISOLDE, CERN and directed on to both proton and deuteron targets inducing one-neutron removal reactions. Charged particles were detected to identify the two reaction channels (d, t) and (p, d), and the individual states in Be-10 were identified by gamma detection. All bound states but one were populated and identified in the (d, t) reaction. The combination of REX-ISOLDE and MINIBALL allowed for a clean separation of the high-lying states in Be-10. This is the first time these states have been separated in a reaction experiment. Differential cross sections have been calculated for all the reaction channels and compared to DWBA calculations. Spectroscopic factors are derived and compared to values from the litterature. While the overall agreement between the spectrocopic factors is poor, the ratio between the ground state and the first excited state is in agreement with the previous measured ones. Furthermore, a significant population of the 2(2)(+) state is observed, which which may indicate the presence of multi-step processes at our beam energy.Peer reviewe

High-sensitivity study of levels in Al-30 following beta decay of Mg-30

gamma-ray and fast-timing spectroscopy were used to study levels in Al-30 populated following the beta(-) decay of Mg-30. Five new transitions and three new levels were located in Al-30. A search was made to identify the third 1(+) state expected at an excitation energy of similar to 2.5 MeV. Two new levels were found, at 3163.9 and 3362.5 keV, that are firm candidates for this state. Using the advanced time-delayed (ATD) beta gamma gamma (t) method we have measured the lifetime of the 243.8-keV state to be T-1/2 = 15(4) ps, which implies that the 243.8-keV transition is mainly of M1 character. Its fast B(M1; 2(+) -> 3(+)) value of 0.10(3) W.u. is in very good agreement with the USD shell-model prediction of 0.090 W.u. The 1801.5-keV level is the only level observed in this study that could be a candidate for the second excited 2(+) state.Peer reviewe

Rb-37(97)60 : The Cornerstone of the Region of Deformation around A similar to 100

Excited states of the neutron-rich nuclei Rb-97,Rb- 99 were populated for the first time using the multistep Coulomb excitation of radioactive beams. Comparisons of the results with particle-rotor model calculations provide clear identification for the ground-state rotational band of Rb-97 as being built on the pi g(9/2) [431] 3/2(+) Nilsson-model configuration. The ground-state excitation spectra of the Rb isotopes show a marked distinction between single-particle-like structures below N = 60 and rotational bands above. The present study defines the limits of the deformed region around A similar to 100 and indicates that the deformation of Rb-97 is essentially the same as that observed well inside the deformed region. It further highlights the power of the Coulomb-excitation technique for obtaining spectroscopic information far from stability. The Rb-99 case demonstrates the challenges of studies with very short-lived postaccelerated radioactive beams.Peer reviewe

The observation of vibrating pear-shapes in radon nuclei (vol 10, 2473, 2019)

An amendment to this paper has been published and can be accessed via a link at the top of the paper