On optimal dividend strategies in insurance with a random time horizon

For the classical compound Poisson surplus process of an insurance portfolio we investigate the problem of how to optimally pay out dividends to shareholders if the criterion is to maximize the expected discounted dividend payments until the time of ruin or a random time horizon, whichever is smaller. We explicitly solve this problem for an exponential time horizon and exponential claim sizes. Furthermore, we study the case of an Erlang(2) time horizon by introducing an external state process and derive the solution under the assumption that the external state process is observable. The results are illustrated by numerical examples

Randomized observation times for the compound Poisson risk model: The discounted penalty function

In the framework of collective risk theory, we consider a compound Poisson risk model for the surplus process where the process (and hence ruin) can only be observed at random observation times. For Erlang(n) distributed inter-observation times, explicit expressions for the discounted penalty function at ruin are derived. The resulting model contains both the usual continuous-time and the discrete-time risk model as limiting cases, and can be used as an effective approximation scheme for the latter. Numerical examples are given that illustrate the effect of random observation times on various ruin-related quantities

Spin Signature of Nonlocal Correlation Binding in Metal-Organic Frameworks

We develop a proper nonempirical spin-density formalism for the van der Waals density functional (vdW-DF) method. We show that this generalization, termed svdW-DF, is firmly rooted in the single-particle nature of exchange and we test it on a range of spin systems. We investigate in detail the role of spin in the nonlocal correlation driven adsorption of H-2 and CO2 in the linear magnets Mn-MOF74, Fe-MOF74, Co-MOF74, and Ni-MOF74. In all cases, we find that spin plays a significant role during the adsorption process despite the general weakness of the molecular-magnetic responses. The case of CO2 adsorption in Ni-MOF74 is particularly interesting, as the inclusion of spin effects results in an increased attraction, opposite to what the diamagnetic nature of CO2 would suggest. We explain this counterintuitive result, tracking the behavior to a coincidental hybridization of the O p states with the Ni d states in the down-spin channel. More generally, by providing insight on nonlocal correlation in concert with spin effects, our nonempirical svdW-DF method opens the door for a deeper understanding of weak nonlocal magnetic interactions

Structure optimization effects on the electronic properties of Bi2_2Sr2_2CaCu2_2O8_8

We present detailed first-principles calculations for the normal state electronic properties of the high T$_C$ superconductor Bi$_2$Sr$_2$CaCu$_2$O$_8$, by means of the linearized augmented plane wave (LAPW) method within the framework of density functional theory (DFT). As a first step, the body centered tetragonal (BCT) cell has been adopted, and optimized regarding its volume, $c/a$ ratio and internal atomic positions by total energy and force minimizations. The full optimization of the BCT cell leads to small but visible changes in the topology of the Fermi surface, rounding the shape of CuO$_2$ barrels, and causing both the BiO bands, responsible for the pockets near the \textit{\=M} 2D symmetry point, to dip below the Fermi level. We have then studied the influence of the distortions in the BiO plane observed in nature by means of a $\sqrt{2}\times\sqrt{2}$ orthorhombic cell (AD-ORTH) with $Bbmb$ space group. Contrary to what has been observed for the Bi-2201 compound, we find that for Bi-2212 the distortion does not sensibly shift the BiO bands which retain their metallic character. As a severe test for the considered structures we present Raman-active phonon frequencies ($q = 0$) and eigenvectors calculated within the frozen-phonon approximation. Focussing on the totally symmetric A$_{g}$ modes, we observe that for a reliable attribution of the peaks observed in Raman experiments, both $c$- and a-axis vibrations must be taken into account, the latter being activated by the in-plane orthorhombic distortion.Comment: 22 pages, 4 figure

Bloch bundles, Marzari-Vanderbilt functional and maximally localized Wannier functions

We consider a periodic Schroedinger operator and the composite Wannier functions corresponding to a relevant family of its Bloch bands, separated by a gap from the rest of the spectrum. We study the associated localization functional introduced by Marzari and Vanderbilt, and we prove some results about the existence and exponential localization of its minimizers, in dimension d < 4. The proof exploits ideas and methods from the theory of harmonic maps between Riemannian manifolds.Comment: 37 pages, no figures. V2: the appendix has been completely rewritten. V3: final version, to appear in Commun. Math. Physic

Elastic and vibrational properties of alpha and beta-PbO

The structure, electronic and dynamic properties of the two layered alpha (litharge) and beta (massicot) phases of PbO have been studied by density functional methods. The role of London dispersion interactions as leading component of the total interaction energy between layers has been addressed by using the Grimme's approach, in which new parameters for Pb and O atoms have been developed. Both gradient corrected and hybrid functionals have been adopted using Gaussian-type basis sets of polarized triple zeta quality for O atoms and small core pseudo-potential for the Pb atoms. Basis set superposition error (BSSE) has been accounted for by the Boys-Bernardi correction to compute the interlayer separation. Cross check with calculations adopting plane waves that are BSSE free have also been performed for both structures and vibrational frequencies. With the new set of proposed Grimme's type parameters structures and dynamical parameters for both PbO phases are in good agreement with experimental data.Comment: 8 pages, 5 figure

Risk Theory with Affine Dividend Payment Strategies

We consider a classical compound Poisson risk model with affine dividend payments. We illustrate how both by analytical and probabilistic techniques closed-form expressions for the expected discounted dividends until ruin and the Laplace transform of the time to ruin can be derived for exponentially distributed claim amounts. Moreover, numerical examples are given which compare the performance of the proposed strategy to classical barrier strategies and illustrate that such affine strategies can be a noteworthy compromise between profitability and safety in collective risk theory