Dividend problems in the dual risk model

We consider the compound Poisson dual risk model, dual to the well known classical risk model for insurance applications, where premiums are regarded as costs and claims are viewed as profits. The surplus can be interpreted as a venture capital like the capital of an economic activity involved in research and development. Like most authors, we consider an upper dividend barrier so that we model the gains of the capital and its return to the capital holders. By establishing a proper and crucial connection between the two models we show and explain clearly the dividends process dynamics for the dual risk model, properties for different random quantities involved as well as their relations. Using our innovative approach we derive some already known results and go further by finding several new ones. We study different ruin and dividend probabilities, such as the calculation of the probability of a dividend, distribution of the number of dividends, expected and amount of dividends as well as the time of getting a dividend. We obtain integro-differential equations for some of the above results and also Laplace transforms. From there we can get analytical results for cases where solutions and/or inversions are possible, in other cases we may only get numerical ones. We present examples under the two cases.info:eu-repo/semantics/publishedVersio

The Entropy Function for the Black Holes of Nariai Class

Based on the fact that the near horizon geometry of the extremal Schwarzschild-de Sitter black holes is Nariai geometry, we define the black holes of Nariai class as the configuration whose near-horizon geometry is factorized as two dimensional de Sitter space-time and some compact topology, that is Nariai geometry. We extend the entropy function formalism to the case of the black holes of Nariai class. The conventional entropy function (for the extremal black holes) is defined as Legendre transformation of Lagrangian density, thus the `Routhian density', over two dimensional anti-de Sitter. As for the black holes of Nariai class, it is defined as {\em minus} `Routhian density' over two dimensional de Sitter space-time. We found an exact agreement of the result with Bekenstein-Hawking entropy. The higher order corrections are nontrivial only when the space-time dimension is over four, that is, $d>4$. There is a subtlety as regards the temperature of the black holes of Nariai class. We show that in order to be consistent with the near horizon geometry, the temperature should be non-vanishing despite the extremality of the black holes.Comment: references added, compatible with the published versio

Single Event Effects in the Pixel readout chip for BTeV

In future experiments the readout electronics for pixel detectors is required to be resistant to a very high radiation level. In this paper we report on irradiation tests performed on several preFPIX2 prototype pixel readout chips for the BTeV experiment exposed to a 200 MeV proton beam. The prototype chips have been implemented in commercial 0.25 um CMOS processes following radiation tolerant design rules. The results show that this ASIC design tolerates a large total radiation dose, and that radiation induced Single Event Effects occur at a manageable level.Comment: 15 pages, 6 Postscript figure

The Cramér-Lundberg and the dual risk models : ruin dividend problems and duality features

In the present paper we study some existing duality features between two very known models in Risk Theory. The classical Cramér–Lundberg risk model with application to insurance, and the dual risk model with (some) financial application. For simplicity the former will be referred as the primal model. The former has been of extensive treatment in the literature, it assumes that a given surplus process has constant deterministic gains (premiums) and random loses (claims) that come at random times. On the other hand, the latter, called as dual model, works in opposite direction, losses (costs) are constant and deterministic, and the gains (earnings) are random and come at random times. Sometimes this one is called the negative model. Similar quantities, with similar mathematical properties, work in opposite direction and have different meanings. There is however an important feature that makes the two models quite distinct, either in their application or in their nature: the loading condition, positive or negative, respectively. The primal model has been worked extensively and focuses essentially in ruin problems (in many different aspects) whereas the dual model has developed more recently and focuses on dividend payments. I most cases, they have been worked apart, however they have connection points that allow us to use methods and results from one to another. basically form the first to the second. Identifying the right connection, or duality, is crucial so that we transport methods and results. In the work by Afonso et al. (2013) this connection is first addressed in the case when the times between claims/gains follow an exponential distribution. We can easily understand that the ruin time in the primal has a correspondence to the dividend time in the latter. On the opposite side the time to hit an upper barrier in the primal model has a correspondence to the time to ruin in the dual model. Another interesting feature is the severity of ruin in the former and the size of the dividend payment in the latter.info:eu-repo/semantics/publishedVersio

Measuring the impact of a bonus-malus system in finite and continuous time ruin probabilities for large portfolios in motor insurance

Motor insurance is a very competitive business where insurers operate with quite large portfolios, often decisions must be taken under short horizons and therefore ruin probabilities should be calculated in finite time. The probability of ruin, in continuous and finite time, is numerically evaluated under the classical Cram´er-Lundberg risk process framework for a large motor insurance portfolio, where we allow for a posteriori premium adjustments, according to the claim record of each individual policyholder. Focusing on the classical model for bonus-malus systems we propose that the probability of ruin can be interpreted as a measure to decide between different bonus-malus scales or even between different bonus-malus rules. In our work the required initial surplus can also be evaluated. We consider an application of a bonus-malus system for motor insurance to study the impact of experience rating in ruin probabilities. For that we used a real commercial scale of an insurer operating in the portuguese market, and we also work various well known optimal bonus-malus scales estimated with real data from that insurer. Results involving these scales are discussedinfo:eu-repo/semantics/publishedVersio

Formation of emerging disinfection byproducts in water and evaluation of potential genotoxic effects: the case of chlorinated polycyclic aromatic hydrocarbons

Work performed by Departamento de Genética, Instituto Nacional de Saúde Dr. Ricardo Jorge (INSA); Centro de Química Estrutural, Instituto Superior Técnico, Technical University of Lisbon; Departamento de Saúde Ambiental, INSADisinfection byproducts (DBPs) are formed when disinfectants used in water treatment plants (WTPs) react with natural (or anthropogenic) organic matter present in the source water. Many studies have addressed health risks posed by a life-time exposure to DBPs through chlorinated drinking water or through dermal or inhalation exposure routes. Experimental studies have revealed genotoxic and carcinogenic effects of some DBPs and epidemiological studies evidenced potential associations between chlorinated drinking water and bladder or colorectal cancer. In addition, a possible link between chlorinated drinking water and reproductive/developmental effects has been hypothesized. Many DBPs have been identified in treated water, which justifies the growing concern about the potential health effects of emerging unregulated DBPs, some of which appear to be more genotoxic, in some assays, than the regulated DBPs. Polycyclic aromatic hydrocarbons (PAHs) are among the most persistent contaminants detected in environmental samples such as river sediments and tap water. Water chlorination can lead to the formation of chlorinated derivatives of PAHs (Cl-PAHs) and the few available toxicological studies have shown that Cl-PAHs possess greater mutagenicity than the corresponding parent PAHs. The present study had two main objectives: 1) identification of the major chlorinated derivatives of benzo[a]pyrene (BaP) and fluoranthene (Fluo) formed as chlorination by-products and 2) evaluation of their potential hazard to humans, through the characterization of their potential genotoxic effects in a human cell line. To synthesize chlorinated standards of PAHs, a newly two phase (water/n-hexane) method was developed for BaP and Fluo. 6-Cl-BaP was obtained as the major chlorination product of BaP, and 3-Cl-Fluo and 1,3-Cl2-Fluo of Fluo. The formation of these BaP and Fluo chlorinated derivatives was also observed under WTPs chlorination conditions after at 0.5 until 24 h of exposure. The effects of equimolar concentrations of 6-Cl-BaP vs. BaP and of 3-Cl-Fluo/1,3-Cl2-Fluo vs. Fluo on cell viability and DNA integrity were assessed by the neutral red uptake (NR) and the comet assay, respectively. Exposure of HepG2 cells to a dose-range of 6-Cl-BaP and BaP showed that both compounds are cytotoxic above 50 µM and that, at the equimolar doses of 100 and 125 µM, 6-Cl-BaP is able to induce a significantly higher level of DNA damage than BaP. On the other hand, no changes of cell viability were observed after exposure to several concentrations of Fluo and its derivatives. Likewise, none of the compounds was able to significantly induce DNA damage. In conclusion, the present data confirmed that chlorinated derivatives of BaP and Fluo are formed during WTPs chlorination procedures and allowed the identification of their major chlorinated derivatives that should be further analysed in drinking water. On the other hand, the results from the comet assay evidenced a higher DNA damaging effect of Cl-BaP comparatively to its parent compound, suggestive of a more potent genotoxic effect. In spite of the negative results found for Fluo and its chorinated products, further genotoxicity studies are still needed to allow a definite conclusion. Although health risks of DBPs are small compared to health risks of waterborne diseases, the identification of hazardous Cl-PAHs in water emphasizes the need of development of new and safer water disinfection methods

On Entropy Function for Supersymmetric Black Rings

The entropy function for five-dimensional supersymmetric black rings, which are solutions of $U(1)^{3}$ minimal supergravity, is calculated via both on-shell and off-shell formalism. We find that at the tree level, the entropy function obtained from both perspectives can reproduce the Bekenstein-Hawking entropy. We also compute the higher order corrections to the entropy arising form five-dimensional Gauss-Bonnet term as well as supersymmetric $R^{2}$ completion respectively and compare the results with previous microscopic calculations.Comment: 17 pages, no figure, JHEP3 style, to appear in JHEP

Power transformers winding fault diagnosis by the on-load exciting current extended Park's vector approach

This paper presents the application of the on-load exciting current Extended Park's Vector Approach to diagnose incipient turn-to-turn winding faults in operating power transformers. Experimental and simulation test results demonstrate the effectiveness of the proposed technique, which is based on the spectral analysis of the AC component of the on-load exciting current Park's Vector modulus