Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates

In this paper we study the optimal management of an aggregated pension fund of defined benefit type, in the presence of a stochastic interest rate. We suppose that the sponsor can invest in a savings account, in a risky stock and in a bond, with the aim of minimizing deviations of the unfunded actuarial liability from zero along a finite time horizon. We solve the problem by means of optimal stochastic control techniques and analyze the influence on the optimal solution of some of the parameters involved in the model.Pension funds, Stochastic control, Optimal portfolio, Stochastic interest rate, 91B28, 93E20, 62P05, 60H10, 60J60, E13, B81

Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates.

In this paper we study the optimal management of an aggregated pension fund of defined benefit type, in the presence of a stochastic interest rate. We suppose that the sponsor can invest in a savings account, in a risky stock and in a bond with the aim of minimizing deviations of the unfunded actuarial liability from zero along a finite time horizon. We solve the problem by means of optimal stochastic control techniques and analyze the influence on the optimal solution of some of the parameters involved in the model.Pension funds; Stochastic control; Optimal portfolio; Stochastic interest rate;

Allantoin Crystal Formation in Bagrada hilaris (Burmeister) (Heteroptera: Pentatomidae) Females.

Bagrada hilaris is a polyphagous herbivore reported as an invasive pest in the United States. During the course of dissecting Burmeister hilaris unique crystals were observed in both the midgut and oviducts. Crystals were identified using X-ray diffraction techniques. Both acicular (i.e., needle-like, slender, and/or tapered) and cubic (i.e., cube shaped) crystals were observed in six of 75 individuals examined (8.0%). The crystals were mainly observed in females (6.7%), followed by males (1.3%) with no crystals observed in the minimal number of nymphs examined (0%). Crystals of both types were detected in the midgut and lateral oviducts of the females and midgut in males. The acicular crystals often appeared as distinct bundles when present in the midgut and oviducts. Crystals varied in size with the acicular crystals ranging from 0.12 mm to 0.5 mm in length although the cubic crystals ranged in length from 0.25 mm to over 1.0 mm with widths of ∼0.25 mm. The cubic crystals were identified as allantoin although the acicular crystals were most likely dl-allantoin in combination with halite. While allantoin in a soluble form is often found in insect tissues and excreta; being present as a crystal, especially in such a large form, is curious and raises some interesting questions. More research is warranted to further understand mechanisms associated with such crystal formation in B. hilaris and can lead to a better understanding of the excretory process in this species and the role allantoin plays in the elimination of excess nitrogen

Area of Operation for a Radio-Frequency Identification (RFID) Tag in the Far-Field

In Radio Frequency Identification (RFID) applications, it is beneficial to know where in a three-dimensional space an RFID tag will operate with respect to the interrogating transmitter. It becomes a very complex problem containing numerous variables including transmitted power, antenna gains, orientation, etc. One well-known equation used to approximate the power that a tag can receive from an interrogating transmitter is the Friis Equation. However, the commonly used form of the Friis Equation contains assumptions that limit the validity to a single point, orientation, and polarization in space, which is usually the most favorable. These simplifications eliminate the reflection coefficients and polarization terms, and the gains lose their angular dependences. This dissertation will provide a mathematical model that describes the operation of a tag in the far-field from a more realistic perspective in a three-dimensional space. The complete form of the Friis equation will be used as the basic formulation to model the amount of power a tag can receive for any orientation at a given point in space. The dissertation will also include mathematical analyses of how the location of the data base station affects the performance of the system by applying the physics embodied in the complete Friis equation to the return transmission link from the tag to the data base station. The complete mathematical expression will be used to evaluate the performance of an RFID tag by depicting the three-dimensional area of operation. The functioning volume will be solved using the developed scaling factor method and will give an accurate portrayal of where a tag can be successfully read as a specified percentage of reads when all orientations and polarizations are examined

Ground Penetrating Radar: Analysis of point diffractors for modeling and inversion

International audienceThe three electromagnetic properties appearing in Maxwell's equations are dielectric permittivity, electrical conductivity and magnetic permeability. The study of point diffractors in a homogeneous, isotropic, linear medium suggests the use of logarithms to describe the variations of electromagnetic properties in the earth. A small anomaly in electrical properties (permittivity and conductivity) responds to an incident electromagnetic field as an electric dipole, whereas a small anomaly in the magnetic property responds as a magnetic dipole. Neither property variation can be neglected without justification. Considering radiation patterns of the different diffracting points, diagnostic interpretation of electric and magnetic variations is theoretically feasible but is not an easy task using Ground Penetrating Radar. However, using an effective electromagnetic impedance and an effective electromagnetic velocity to describe a medium, the radiation patterns of a small anomaly behave completely differently with source-receiver offset. Zero-offset reflection data give a direct image of impedance variations while large-offset reflection data contain information on velocity variations

Dynamical Structure of Viscous Accretion Disks with Shocks

We develop and discuss global accretion solutions for viscous ADAF disks containing centrifugally supported isothermal shock waves. The fact that such shocks can exist at all in ADAF disks is a new result. Interestingly, we find that isothermal shocks can form even when the level of viscous dissipation is relatively high. In order to better understand this phenomenon, we explore all possible combinations of the fundamental flow parameters, such as specific energy, specific angular momentum, and viscosity, to obtain the complete family of global solutions. This procedure allows us to identify the region of the parameter space where isothermal shocks can exist in viscous ADAF disks. The allowed region is maximized in the inviscid case, and it shrinks as the level of viscous dissipation increases. Adopting the canonical value gamma=1.5 for the ratio of specific heats, we find that the shock region disappears completely when the Shakura-Sunyaev viscosity parameter alpha exceeds the critical value ~0.27. This establishes for the first time that steady ADAF disks containing shocks can exist even for relatively high levels of viscous dissipation. If an isothermal shock is present in the disk, it would have important implications for the acceleration of energetic particles that can escape to power the relativistic jets commonly observed around underfed, radio-loud black holes. In two specific applications, we confirm that the kinetic luminosity lost from the disk at the isothermal shock location is sufficient to power the observed relativistic outflows in M87 and Sgr A*.Comment: accepted by Ap

On one-dimensional stochastic control problems: applications to investment models

The paper provides a systematic way for finding a partial differential equation that characterize directly the optimal control, in the framework of one?dimensional stochastic control problems of Mayer, with no constraints on the controls. The results obtained are applied to some significative models in financial economics.Dynamic programming, Stochastic control, Quasilinear parabolic equation, Investment problems

Faculty Excellence

Each year, the University of New Hampshire selects a small number of its outstanding faculty for special recognition of their achievements in teaching, scholarship and service. Awards for Excellence in Teaching are given in each college and school, and university-wide awards recognize public service, research, teaching and engagement. This booklet details the year\u27s award winners\u27 accomplishments in short profiles with photographs and text