Insurance Contracts and Securitization

High correlations between risks can increase required insurer capital and/orreduce the availability of insurance. For such insurance lines, securitizationis rapidly emerging as an alternative form of risk transfer. The ultimatesuccess of securitization in replacing or complementing traditional insuranceand reinsurance products depends on the ability of securitization to facilitateand/or be facilitated by insurance contracts. We consider how insuredlosses might be decomposed into separate components, one of which is atype of “systemic risk” that is highly correlated amongst insureds. Such acorrelated component might conceivably be hedged directly by individuals,but is more likely to be hedged by the insurer. We examine how insurancecontracts may be designed to allow the insured a mechanism to retain all orpart of the systemic component. Examples are provided, which illustrate ourmethodology in several types of insurance markets subject to systemic risk.

Digital media - social memory: remembering in digitally networked times

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Deformations of Fuchsian Systems of Linear Differential Equations and the Schlesinger System

We consider holomorphic deformations of Fuchsian systems parameterized by the pole loci. It is well known that, in the case when the residue matrices are non-resonant, such a deformation is isomonodromic if and only if the residue matrices satisfy the Schlesinger system with respect to the parameter. Without the non-resonance condition this result fails: there exist non-Schlesinger isomonodromic deformations. In the present article we introduce the class of the so-called isoprincipal deformations of Fuchsian systems. Every isoprincipal deformation is also an isomonodromic one. In general, the class of the isomonodromic deformations is much richer than the class of the isoprincipal deformations, but in the non-resonant case these classes coincide. We prove that a deformation is isoprincipal if and only if the residue matrices satisfy the Schlesinger system. This theorem holds in the general case, without any assumptions on the spectra of the residue matrices of the deformation. An explicit example illustrating isomonodromic deformations, which are neither isoprincipal nor meromorphic with respect to the parameter, is also given

Quantum-classical transition and quantum activation of ratchet currents in the parameter space

The quantum ratchet current is studied in the parameter space of the dissipative kicked rotor model coupled to a zero temperature quantum environment. We show that vacuum fluctuations blur the generic isoperiodic stable structures found in the classical case. Such structures tend to survive when a measure of statistical dependence between the quantum and classical currents are displayed in the parameter space. In addition, we show that quantum fluctuations can be used to overcome transport barriers in the phase space. Related quantum ratchet current activation regions are spotted in the parameter space. Results are discussed {based on quantum, semiclassical and classical calculations. While the semiclassical dynamics involves vacuum fluctuations, the classical map is driven by thermal noise.Comment: 6 pages, 3 figure

Soft Manifold Dynamics Behind Negative Thermal Expansion

Minimal models are developed to examine the origin of large negative thermal expansion (NTE) in under-constrained systems. The dynamics of these models reveals how underconstraint can organize a thermodynamically extensive manifold of low-energy modes which not only drives NTE but extends across the Brillioun zone. Mixing of twist and translation in the eigenvectors of these modes, for which in ZrW2O8 there is evidence from infrared and neutron scattering measurements, emerges naturally in our model as a signature of the dynamics of underconstraint.Comment: 5 pages, 3 figure