A Conditional Value–at–Risk Model for Insurance Products with Guarantee

We propose a model to select the optimal portfolio which underlies insurance policies with a guarantee. The objective function is defined in order to minimise the conditional value-at-risk (CVaR) of the distribution of the losses with respect to a target return. We add operational and regulatory constraints to make the model as flexible as possible when used for real applications. We show that the integration of the asset and liability side yields superior performances with respect to naive fixed-mix portfolios and asset based strategies.We validate the model on out-of-sample scenarios and provide insights on policy design

Microwave gas sensor based on graphene aerogel for breath analysis

Exhaled breath can be used for early detection and diagnosis of diseases, monitoring metabolic activity, and precision medicine. In this work, we design and simulate a microwave sensor in which thin graphene aerogels are integrated into rectangular microwave waveguides. Graphene aerogels are ideal sensing platforms for gases and volatile compounds as they combine extremely high surface-to-volume ratio and good electrical conductivity at RF and microwave frequencies. The latter is modified by exposure to different gases, and -when integrated into a waveguide- these changes result in significant shifts in transmission and reflection scattering parameters. We model the aerogel as a graphene grid with hexagonal openings of size 22.86×10.16×0.1 mm3, characterized by an air volume equal to about 90 % of its entire volume. This grid is used as a building block for modeling thicker samples (up to 9 mm), To simulate the variation in the dynamic conductivity of the graphene sheets as a consequence of the absorption of gaseous molecules, a sweep of the chemical potential from 0.0 e V to 0.5 e V with steps of 0.1 e V was used. The results show a significant variation of the waveguide transmission scattering parameters resulting from the gas-induced modification of the graphene conductivity, and hence the potential of the proposed sensor design for breath analysis

Microwave gas sensor based on graphene aerogels

— In this article, the experimental demonstration of a novel microwave gas sensor based on graphene aerogel is presented. This device makes use of a highly porous structure of the aerogel in combination with the modulation of graphene AC conductivity upon exposure to vacuum and ambient air. As a proof of concept, we integrate the graphene aerogel into rectangular waveguides and measure its scattering parameters by a Vector network Analyzer (VNA). The aerogel is characterized by a combination of scanning electron microscopy and four-probe DC measurements. The aerogel is integrated into WR-90 waveguides by custom-designed support and wave propagation is tested over the 8-12 GHz frequency range (Xband). By exposing the aerogel to either air or a moderate vacuum, clear shifts in the waveguide scattering parameters are observed. In particular, changes of ≈ 3 dB and ≈ 1 dB in the transmission and reflection parameters of the waveguide are obtained, respectively. Moreover, the sensor exhibits excellent reproducibility when exposed to alternating cycles of air and vacuum, proving that the shifts in microwave transmission and reflection are caused by changes in the conductivity of the graphene aerogel due to the absorption and desorption of gas molecules. These proof-of-concept results pave the way for the development of a new class of gas sensors for applications such as breath analysis

Precorso di Matematica Generale

In questo libro di matematica si trattano argomenti tipici degli studi liceali ed è rivolto soprattutto a tutte quelle matricole che nel loro piano di studi hanno insegnamenti di matematica. Lo studio degli argomenti trattati ha come obiettivo quello di fare raggiungere alle matricole un livello di conoscenze matematiche sufficienti a seguire le lezioni con il massimo profitto. Il libro dovrebbe risultare un valido supporto per coloro che hanno una base matematica lacunosa, ma anche per le matricole che desiderano ripassare e rafforzare le conoscenze acquisite alle scuole superiori

A MULTISTAGE DECISION MODEL FOR THE OPTIMAL ISSUANCE OF SOVEREIGN DEBT UNDER ESA95

The aim of this paper is to develop a stochastic programming model for the optimal composition of debt portfolios. Such a prob- lem has recently acquired a more and more major interest, being the indebtedness of many countries quite worrying. We propose a stochastic programming model where the decision maker desires to minimize a certain cost function while bounding the interest rate risk. Our analysis focus mainly on the cost function ESA95, which is a methodology developed by the European System of Accounts to gauge the cost of servicing the debt. The model is implemented under two financing strategies, one as- sumes the government cannot resort to budget surplus to pay interest expenses, and the other one the interest expenses are repaid entirely by budget surplus. We show results about these two financing strategies and compare the results. We conclude the paper by substituting the cost function ESA95 with the market value of all the not expired debt and showing the results of this modified model

VALUTAZIONE E COPERTURA DI OPZIONI SU MATERIE PRIME

Tramite un modello di super-replication è possibile costruire un portafoglio composto da titoli liquidi per coprire la basket option sul mix produttivo di argento ed oro. Il prezzo non è molto differente da quello di Black & Scholes, le cui ipotesi però rendono impossibile l’implementazione della copertura

Un Modello di Massima Copertura della Domanda per l’Allocazione Ottima delle Ciclostazioni di AMAT

AMAT Palermo S.p.A. is the public transport company of the municipality of Palermo. AMAT manages the bike sharing system and within a sustainable mobility project has involved the DSEAS and four secondary schools to the research project “GoToSchool”, a project whose main aim is to foster the use of the bike by the students in getting to the school.The project developed in two phases: the first phase was devoted to the estimate of the demand of bike sharing service from the students; the second phase was committed to the study of an optimal facility allocation problem in order to maximize the demand of bike sharing service arising from students.The optimization model can be easily customized to account for operational requirements from AMAT, such as, the maximum number of bike sharing stations that can be installed according to the available budget, the inclusion or exclusion (“blacklist” or “whitelist”) of potential bike station places because of specific planning and organizational needs. Finally,the model provides a tool to evaluate some fundamental parameters such as, the utility to reach school by bike, or the distances between the students home address and the places of the potential bike stations

A parallel simulated annealing approach to the K shortest loopless paths problem

The k shortest loopless paths problem is a significant combinatorial problem which arises in many contexts. When the size of the networks is very large the exact algorithms fail to find the best solution in a reasonable time. The aim of this paper is to suggest parallel efficient algorithms to obtain a good approximation of the solution to the k shortest loopless paths problem between two arbitrary nodes, when the network size is large. The heuristic used is known in literature as Simulated Annealing. Preliminary tests have been conducted for evaluating the validity of the proposed algorithms. The quality of the obtained results represents a significant base for further experimentations

A Conditional Value–at–Risk Model for Insurance Products with Guarantee

We propose a model to select the optimal portfolio which underlies insurance policies with guarantee. The objective function is defined in order to minimize the conditional VaR of the distribution of the losses respect to a target return. We add operational and regulatory constraints to make the model as flexible as possible when used for real applications. We show that the integration of the asset and liability side yields superior performances respect to naive fixed–mix portfolios and asset based strategies. We validate the model on out–of–sample scenarios and provide insights on policy design