Value adjustments and dynamic hedging of reinsurance counterparty risk

Reinsurance counterparty credit risk (RCCR) is the risk of a loss arising from the fact that a reinsurance company is unable to fulfill her contractual obligations towards the ceding insurer. RCCR is an important risk category for insurance companies which, so far, has been addressed mostly via qualitative approaches. In this paper we therefore study value adjustments and dynamic hedging for RCCR. We propose a novel model that accounts for contagion effects between the default of the reinsurer and the price of the reinsurance contract. We characterize the value adjustment in a reinsurance contract via a partial integro-differential equation (PIDE) and derive the hedging strategies using a quadratic method. The paper closes with a simulation study which shows that dynamic hedging strategies have the potential to significantly reduce RCCR.Comment: 27 pages, 8 figure

Closure tests for mean field magnetohydrodynamics using a self consistent reduced model

The mean electromotive force and alpha effect are computed for a forced turbulent flow using a simple nonlinear dynamical model. The results are used to check the applicability of two basic analytic ansatze of mean-field magnetohydrodynamics - the second order correlation approximation (SOCA) and the tau approximation. In the numerical simulations the effective Reynolds number Re is 2-20, while the magnetic Prandtl number varies from 0.1 to $10^{7}$. We present evidence that the $\tau$ approximation may be appropriate in dynamical regimes where there is a small-scale dynamo. Catastrophic quenching of the $\alpha$ effect is found for high $P_{m}$. Our results indicate that for high $P_{m}$ SOCA gives a very large value of the $\alpha$ coefficient compared with the ``exact'' solution. The discrepancy depends on the properties of the random force that drives the flow, with a larger difference occuring for $\delta$-correlated force compared with that for a steady random force.Comment: submitted to MNRA

Multi-messenger observations of a binary neutron star merger

On 2017 August 17 a binary neutron star coalescence candidate (later designated GW170817) with merger time 12:41:04 UTC was observed through gravitational waves by the Advanced LIGO and Advanced Virgo detectors. The Fermi Gamma-ray Burst Monitor independently detected a gamma-ray burst (GRB 170817A) with a time delay of ~1.7 s with respect to the merger time. From the gravitational-wave signal, the source was initially localized to a sky region of 31 deg2 at a luminosity distance of 40+8-8 Mpc and with component masses consistent with neutron stars. The component masses were later measured to be in the range 0.86 to 2.26 Mo. An extensive observing campaign was launched across the electromagnetic spectrum leading to the discovery of a bright optical transient (SSS17a, now with the IAU identification of AT 2017gfo) in NGC 4993 (at ~40 Mpc) less than 11 hours after the merger by the One- Meter, Two Hemisphere (1M2H) team using the 1 m Swope Telescope. The optical transient was independently detected by multiple teams within an hour. Subsequent observations targeted the object and its environment. Early ultraviolet observations revealed a blue transient that faded within 48 hours. Optical and infrared observations showed a redward evolution over ~10 days. Following early non-detections, X-ray and radio emission were discovered at the transient’s position ~9 and ~16 days, respectively, after the merger. Both the X-ray and radio emission likely arise from a physical process that is distinct from the one that generates the UV/optical/near-infrared emission. No ultra-high-energy gamma-rays and no neutrino candidates consistent with the source were found in follow-up searches. These observations support the hypothesis that GW170817 was produced by the merger of two neutron stars in NGC4993 followed by a short gamma-ray burst (GRB 170817A) and a kilonova/macronova powered by the radioactive decay of r-process nuclei synthesized in the ejecta

Volcanic hazards and remote sensing in Pacific Latin America

PASI Workshop on Open Vent Volcanoes; San José, Costa Rica, 10-24 January 2011; Open-vent volcanoes are a class of volcano that contain a relatively open path from the subsurface to the atmosphere without a major vent obstruction. Their persistent, low-level activity, which poses little danger to communities, may be punctuated by violent activity without warning. These complex systems challenge and provide opportunity for observatories and national and international investigators. Long-lived eruptions are also laboratories for students and scientists and a locus for developing collaborations and field testing new instrumentation and methods. Pacific Latin America hosts a high density of active volcanoes, and many are under-monitored and under-researched despite the efforts of local volcano observatories and their accessibility to U.S. and European scientists

Impact of Thrombus Length on Outcomes After Intra-Arterial Aspiration Thrombectomy in the THERAPY Trial

Increasing thrombus length (TL) impedes recanalization after intravenous (IV) thrombolysis. We sought to determine whether the clinical benefit of aspiration thrombectomy relative to IV r-tPA (recombinant tissue-type plasminogen activator) may be greater at longer TL. THERAPY was a randomized trial of aspiration thrombectomy plus IV r-tPA versus IV r-tPA alone in large-vessel stroke patients with prospective TL measurement ≥8 mm. In this post hoc study, we evaluated the association of TL with trial end points and potential endovascular treatment effect, using univariate, multivariable, and multiplicative interaction analyses. TL data were available for all 108 patients (28% internal carotid artery, 62% M1, and 10% M2). Median TL was 14.0 mm (interquartile range, 9.7-19.5 mm). Longer TL was associated with worse outcome (90-day modified Rankin Scale score: odds ratio, 1.24 per 5-mm TL increment; 95% confidence interval, 1.04-1.52; P=0.02), even after adjusting for key outcome predictors (adjusted P=0.004). Longer TL was also associated with more serious adverse events (adjusted P=0.01), more symptomatic hemorrhages (adjusted P=0.03), and increased mortality (adjusted P=0.01). No significant relationship was observed between TL and angiographic reperfusion (modified thrombolysis in cerebral ischemia 2b-3), but greater TL was associated with longer endovascular procedural times (ρ=0.36; P=0.045). Increasing TL was associated with greater aspiration thrombectomy treatment effect (interaction term P=0.03). This might be related to a potentially stronger adverse effect of increasing TL on 90-day modified Rankin Scale for patients treated with IV r-tPA (ρ=0.39; P=0.01) compared with intra-arterial therapy (ρ=0.20; P=0.165). Ischemic stroke patients with longer symptomatic thrombi have worse 90-day clinical outcomes but may have a greater relative benefit of aspiration thrombectomy over IV r-tPA alone. URL: http://www.clinicaltrials.gov. Unique identifier: NCT0142935