Development of an EOG (electro-oculography) based human-computer interface

Author name used in this publication: Kaiyu TongJockey Club Rehabilitation Engineering CentreRefereed conference paper2005-2006 > Academic research: refereed > Refereed conference paperVersion of RecordPublishe

Portfolio risk analysis of excess of loss reinsurance

Consider a catastrophe insurance market in which primary insurers purchase excess of loss reinsurance to transfer their higher-layer losses to a reinsurer. We conduct a portfolio risk analysis for the reinsurer. In doing so, we model the losses to the primary insurers by a mixture structure, which effectively integrates three risk factors: common shock, systematic risk, and idiosyncratic risk. Assume that the reinsurer holds an initial capital Cn that is in accordance with its market size n. When expanding its business, the reinsurer needs to comply with a certain VaR-based solvency capital requirement, which determines an infimal retention level rn according to the initial capital Cn. As our main results, we find the limit of rn as n→∞ and then establish a weak convergence for the reinsurance portfolio loss. The latter result is applied to approximate the distortion risk measures of the reinsurance portfolio loss. In our numerical studies, we examine the accuracy of the obtained approximations and conduct various sensitivity tests against some risk parameters

The gradient allocation principle based on the higher moment risk measure

According to the gradient allocation principle based on a positively homogeneous and subadditive risk measure, the capital allocated to a sub-portfolio is the Gâteaux derivative, assuming it exists, of the underlying risk measure at the overall portfolio in the direction of the sub-portfolio. We consider the capital allocation problem based on the higher moment risk measure, which, as a generalization of expected shortfall, involves a risk aversion parameter and a confidence level and is consistent with the stochastic dominance of corresponding orders. As the main contribution, we prove that the higher moment risk measure is Gâteaux differentiable and derive an explicit expression for the Gâteaux derivative, which is then interpreted as the capital allocated to a corresponding sub-portfolio. We further establish the almost sure convergence and a central limit theorem for the empirical estimate of the capital allocation, and address the robustness issue of this empirical estimate by computing the influence function of the capital allocation. We also explore the interplay of the risk aversion and the confidence level in the context of capital allocation. In addition, we conduct intensive numerical studies to examine the obtained results and apply this research to a hypothetical portfolio of four stocks based on real data

Conductance plateau in quantum spin transport through an interacting quantum dot

Quantum spin transport is studied in an interacting quantum dot. It is found that a conductance "plateau" emerges in the non-linear charge conductance by a spin bias in the Kondo regime. The conductance plateau, as a complementary to the Kondo peak, originates from the strong electron correlation and exchange processes in the quantum dot, and can be regarded as one of the characteristics in quantum spin transport.Comment: 5 pages, 5 figure

A model for luminescence of localized state ensemble

A distribution function for localized carriers, $f(E,T)=\frac{1}{e^{(E-E_a)/k_BT}+\tau_{tr}/\tau_r}$, is proposed by solving a rate equation, in which, electrical carriers' generation, thermal escape, recapture and radiative recombination are taken into account. Based on this distribution function, a model is developed for luminescence from localized state ensemble with a Gaussian-type density of states. The model reproduces quantitatively all the anomalous temperature behaviors of localized state luminescence. It reduces to the well-known band-tail and luminescence quenching models under certain approximations.Comment: 14 pages, 4 figure

Insurance risk analysis of financial networks vulnerable to a shock

We conduct a risk analysis of non-core insurance business of selling protection to financial firms against investment losses due to a shock. A static structural model is constructed, composed of a network of firms who cross-hold each other, a financial market consisting of multiple primitive assets that are vulnerable to a shock, and an insurer who resides external to the network and assesses the opportunity to sell protection to the financial firms. Assume that each firm in the network is rational and able to decide how much protection to purchase to optimize its portfolio according to the mean-variance principle. As a result, the shock may impact on the insurer but indirectly through the network. In view of the robust-yet-fragile nature of financial networks that has been discovered, both empirically and theoretically, by various recent works, one expects that the network integration and the shock play an intertwined role in the insurance risk. Our study forms a theoretical confirmation of this surmise: Depending on the shock size, there are three mutually exclusive scenarios in which an increase in the network integration can either reduce or amplify the impact of the shock on the insurance risk

Development of a Classical Force Field for the Oxidised Si Surface: Application to Hydrophilic Wafer Bonding

We have developed a classical two- and three-body interaction potential to simulate the hydroxylated, natively oxidised Si surface in contact with water solutions, based on the combination and extension of the Stillinger-Weber potential and of a potential originally developed to simulate SiO2 polymorphs. The potential parameters are chosen to reproduce the structure, charge distribution, tensile surface stress and interactions with single water molecules of a natively oxidised Si surface model previously obtained by means of accurate density functional theory simulations. We have applied the potential to the case of hydrophilic silicon wafer bonding at room temperature, revealing maximum room temperature work of adhesion values for natively oxidised and amorphous silica surfaces of 97 mJ/m2 and 90mJ/m2, respectively, at a water adsorption coverage of approximately 1 monolayer. The difference arises from the stronger interaction of the natively oxidised surface with liquid water, resulting in a higher heat of immersion (203 mJ/m2 vs. 166 mJ/m2), and may be explained in terms of the more pronounced water structuring close to the surface in alternating layers of larger and smaller density with respect to the liquid bulk. The computed force-displacement bonding curves may be a useful input for cohesive zone models where both the topographic details of the surfaces and the dependence of the attractive force on the initial surface separation and wetting can be taken into account