16,646 research outputs found
Hedging Pure Endowments with Mortality Derivatives
In recent years, a market for mortality derivatives began developing as a way
to handle systematic mortality risk, which is inherent in life insurance and
annuity contracts. Systematic mortality risk is due to the uncertain
development of future mortality intensities, or {\it hazard rates}. In this
paper, we develop a theory for pricing pure endowments when hedging with a
mortality forward is allowed. The hazard rate associated with the pure
endowment and the reference hazard rate for the mortality forward are
correlated and are modeled by diffusion processes. We price the pure endowment
by assuming that the issuing company hedges its contract with the mortality
forward and requires compensation for the unhedgeable part of the mortality
risk in the form of a pre-specified instantaneous Sharpe ratio. The major
result of this paper is that the value per contract solves a linear partial
differential equation as the number of contracts approaches infinity. One can
represent the limiting price as an expectation under an equivalent martingale
measure. Another important result is that hedging with the mortality forward
may raise or lower the price of this pure endowment comparing to its price
without hedging, as determined in Bayraktar et al. [2009]. The market price of
the reference mortality risk and the correlation between the two portfolios
jointly determine the cost of hedging. We demonstrate our results using
numerical examples.Comment: 33 Pages, 1 figur
Superplastic forming and diffusion bonding of rapidly solidified, dispersion strengthened aluminum alloys for elevated temperature structural applications
Rapidly solidified alloys, based upon the Al-Fe-V-Si system and designed for elevated temperature applications, were evaluated for superplasticity and diffusion bonding behavior. Alloys with 8, 16, 27, and 36 volume percent silicide dispersoids were produced; dispersoid condition was varied by rolling at 300, 400, and 500 C (572, 752, and 932 F). Superplastic behavior was evaluated at strain rates from 1 x 10(exp -6)/s to 8.5/s at elevated temperatures. The results indicate that there was a significant increase in elongation at higher strain rates and at temperatures above 600 C (1112 F). However, the exposure of the alloys to temperatures greater than 600 C (1112 F) resulted in the coarsening of the strengthening dispersoid and the degradation of mechanical properties. Diffusion bonding was possible using low gas pressure at temperatures greater than 600 C (1112 F) which also resulted in degraded properties. The bonding of Al-Fe-V-Si alloys to 7475 aluminum alloy was performed at 516 C (960 F) without significant degradation in microstructure. Bond strengths equal to 90 percent that of the base metal shear strength were achieved. The mechanical properties and microstructural characteristics of the alloys were investigated
On the Throughput of Channels that Wear Out
This work investigates the fundamental limits of communication over a noisy
discrete memoryless channel that wears out, in the sense of signal-dependent
catastrophic failure. In particular, we consider a channel that starts as a
memoryless binary-input channel and when the number of transmitted ones causes
a sufficient amount of damage, the channel ceases to convey signals. Constant
composition codes are adopted to obtain an achievability bound and the
left-concave right-convex inequality is then refined to obtain a converse bound
on the log-volume throughput for channels that wear out. Since infinite
blocklength codes will always wear out the channel for any finite threshold of
failure and therefore cannot convey information at positive rates, we analyze
the performance of finite blocklength codes to determine the maximum expected
transmission volume at a given level of average error probability. We show that
this maximization problem has a recursive form and can be solved by dynamic
programming. Numerical results demonstrate that a sequence of block codes is
preferred to a single block code for streaming sources.Comment: 23 pages, 1 table, 11 figures, submitted to IEEE Transactions on
Communication
Skip-Sliding Window Codes
Constrained coding is used widely in digital communication and storage
systems. In this paper, we study a generalized sliding window constraint called
the skip-sliding window. A skip-sliding window (SSW) code is defined in terms
of the length of a sliding window, skip length , and cost constraint
in each sliding window. Each valid codeword of length is determined by
windows of length where window starts at th symbol for
all non-negative integers such that ; and the cost constraint
in each window must be satisfied. In this work, two methods are given to
enumerate the size of SSW codes and further refinements are made to reduce the
enumeration complexity. Using the proposed enumeration methods, the noiseless
capacity of binary SSW codes is determined and observations such as greater
capacity than other classes of codes are made. Moreover, some noisy capacity
bounds are given. SSW coding constraints arise in various applications
including simultaneous energy and information transfer.Comment: 28 pages, 11 figure
Spin dynamics in the antiferromagnetic phase for electron-doped cuprate superconductors
Based on the --- model we have calculated the dynamical spin
susceptibilities in the antiferromagnetic (AF) phase for electron-doped
cuprates, by use of the slave-boson mean-field theory and random phase
approximation. Various results for the susceptibilities versus energy and
momentum have been shown at different dopings. At low energy, except the
collective spin-wave mode around and 0, we have primarily observed
that new resonance peaks will appear around and equivalent
points with increasing doping, which are due to the particle-hole excitations
between the two AF bands. The peaks are pronounced in the transverse
susceptibility but not in the longitudinal one. These features are predicted
for neutron scattering measurements.Comment: 5 pages, 3 figures, published version with minor change
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