On the effects of changing mortality patterns on investment, labour and consumption under uncertainty

In this paper we extend the consumption-investment life cycle model for an uncertain-lived agent, proposed by Richard (1974), to allow for exible labor supply. We further study the consumption, labor supply and portfolio decisions of an agent facing age-dependent mortality risk, as presented by UK actuarial life tables spanning the time period from 1951-2060 (including mortality forecasts). We find that historical changes in mortality produces significant changes in portfolio investment (more risk taking), labour (decrease of hours) and consumption level (shift to higher level) contributing up to 5% to GDP growth during the period from 1980 until 2010

New BCJ representations for one-loop amplitudes in gauge theories and gravity

We explain a procedure to manifest the Bern-Carrasco-Johansson duality between color and kinematics in $n$-point one-loop amplitudes of a variety of supersymmetric gauge theories. Explicit amplitude representations are constructed through a systematic reorganization of the integrands in the Cachazo-He-Yuan formalism. Our construction holds for any nonzero number of supersymmetries and does not depend on the number of spacetime dimensions. The cancellations from supersymmetry multiplets in the loop as well as the resulting power counting of loop momenta is manifested along the lines of the corresponding superstring computations. The setup is used to derive the one-loop version of the Kawai-Lewellen-Tye formula for the loop integrands of gravitational amplitudes.Comment: 58 + 15 page

False Data Injection Attacks on Phasor Measurements That Bypass Low-rank Decomposition

This paper studies the vulnerability of phasor measurement units (PMUs) to false data injection (FDI) attacks. Prior work demonstrated that unobservable FDI attacks that can bypass traditional bad data detectors based on measurement residuals can be identified by detector based on low-rank decomposition (LD). In this work, a class of more sophisticated FDI attacks that captures the temporal correlation of PMU data is introduced. Such attacks are designed with a convex optimization problem and can always bypass the LD detector. The vulnerability of this attack model is illustrated on both the IEEE 24-bus RTS and the IEEE 118-bus systems.Comment: 6 pages, 4 figures, submitted to 2017 IEEE International Conference on Smart Grid Communications (SmartGridComm

Vulnerability Assessment of Large-scale Power Systems to False Data Injection Attacks

This paper studies the vulnerability of large-scale power systems to false data injection (FDI) attacks through their physical consequences. Prior work has shown that an attacker-defender bi-level linear program (ADBLP) can be used to determine the worst-case consequences of FDI attacks aiming to maximize the physical power flow on a target line. This ADBLP can be transformed into a single-level mixed-integer linear program, but it is hard to solve on large power systems due to numerical difficulties. In this paper, four computationally efficient algorithms are presented to solve the attack optimization problem on large power systems. These algorithms are applied on the IEEE 118-bus system and the Polish system with 2383 buses to conduct vulnerability assessments, and they provide feasible attacks that cause line overflows, as well as upper bounds on the maximal power flow resulting from any attack.Comment: 6 pages, 5 figure

Multiscale examination of strain effects in Nd-Fe-B permanent magnets

We have performed a combined first-principles and micromagnetic study on the strain effects in Nd-Fe-B magnets. First-principles calculations on Nd2Fe14B reveal that the magnetocrystalline anisotropy (K) is insensitive to the deformation along c axis and the ab in-plane shrinkage is responsible for the K reduction. The predicted K is more sensitive to the lattice deformation than what the previous phenomenological model suggests. The biaxial and triaxial stress states have a greater impact on K. Negative K occurs in a much wider strain range in the ab biaxial stress state. Micromagnetic simulations of Nd-Fe-B magnets using first-principles results show that a 3-4% local strain in a 2-nm-wide region near the interface around the grain boundaries and triple junctions leads to a negative local K and thus decreases the coercivity by ~60%. The local ab biaxial stress state is more likely to induce a large loss of coercivity. In addition to the local stress states and strain levels themselves, the shape of the interfaces and the intergranular phases also makes a difference in determining the coercivity. Smoothing the edge and reducing the sharp angle of the triple regions in Nd-Fe-B magnets would be favorable for a coercivity enhancement.Comment: 9 figure

Optimal management and inflation protection for defined contribution pension plans

Due to the increasing risk of inflation and diminishing pension benefits, insurance companies have started selling in°ation-linked products. Selling such products the insurance company takes over some or all of the inflation risk from their customers. On the other side financial derivatives which are linked to inflation such as inflation linked bonds are traded on financial markets and appear to be of increasing popularity. The insurance company can use these products to hedge its own inflation risk. In this article we study how to optimally manage a pension fund taking positions in a money market account, a stock and an inflation linked bond, while financing investments through a continuous stochastic income stream such as the plan member's contributions. We use the martingale method in order to compute an analytic expression for the optimal strategy and express it in terms of observable market variables.Pension mathematics; in°ation; long-term investment; stochastic optimal control; martingale method