Quasi-Monte Carlo Methods in Cash Flow Testing Simulations

What actuaries call cash flow testing is a large-scale simulation pitting a company\u27\u27s current policy obligation against future earnings based on interest rates. While life contingency issues associated with contract payoff are a mainstay of the actuarial sciences, modeling the random fluctuations of US Treasury rates is less studied. Furthermore, applying standard simulation techniques, such as the Monte Carlo method, to actual multi-billion dollar companies produce a simulation that can be computationally prohibitive. In practice, only hundreds of sample paths can be considered, not the usual hundreds of thousands one might expect for a simulation of this complexity. Hence, insurance companies have a desire to accelerate the convergence of the estimation procedure. The paper reports the results of cash flow testing simulations performed for Conseco L.L.C. using so-called quasi-Monte Carlo techniques. In these, pseudo-random number generation is replaced with deterministic low discrepancy sequences. It was found that by judicious choice of subsequences, that the quasi-Monte Carlo method provided a consistently tighter estimate than the traditional methods for a fixed, small number of sample paths. The techniques used to select these subsequences are discussed

Computational Finance Models

The author discusses his involvement in developing computational finance software. These computational finance models attempt to model the randomness of a stock\u27s price. At a fixed future time, a stock\u27s price is modeled as a random variable with a normal distribution centered about the current price adjusted with a simple growth multiplier. The standard deviation of this normal distribution depends on the length of time into the future one peers and the volatility of the market. As the market becomes more volatile and we look further ahead, the less likely the stock will have a price near the adjusted current price. Implementing these ideas requires a tool borrowed from physics called the Brownian motion. In a sense, a stock\u27s price is modeled as a point fluctuating about in dollar space . Hence a financial modeler can no more predict what price a stock will have at a given instance in time than a physicist can predict where a particular air molecule might be

Asynchronous Parallel Schemes: A Survey

It is well known that synchronization and communication delays are the major sources of performance degradation of synchronous parallel algorithms. It has been shown that asynchronous implementations have the potential to reduce the overhead to minimum. This paper surveys the existing asynchronous schemes and the sufficient conditions for the convergence of the surveyed schemes. Some comparisons among these schemes are also presented

Object-Oriented Modeling and Fauly Detection of a Powder Feeder for a Laser Metal Deposition System

One of the most critical components of a laser metal deposition system is the powder feeder unit. Techniques are required to efficiently design and analyze these systems and to ensure fault tolerance during the operation. In this paper, a model of the powder feeder unit, based on object- oriented abstractions of it components, is developed. This model is modular in that specific components can be efficiently updated or replaced with components that perform a similar function. In addition, the model can be used for simulation allowing for efficient design and analysis. Assurance of the correctness of the powder feeder system is obtained from concurrent run-time evaluation of temporal logic expressions. A simulation example is provided

Degree of Scaffolding: Learning Objective Metadata: A Prototype Leaning System Design for Integrating GIS into a Civil Engineering Curriculum

Digital media and networking offer great potential as tools for enhancing classroom learning environments, both local and distant. One concept and related technological tool that can facilitate the effective application and distribution of digital educational resources is learning objects in combination with the SCORM (sharable content objects reference model) compliance framework. Progressive scaffolding is a learning design approach for educational systems that provides flexible guidance to students. We are in the process of utilizing this approach within a SCORM framework in the form of a multi-level instructional design. The associated metadata required by SCORM will describe the degree of scaffolding. This paper will discuss progressive scaffolding as it relates to SCORM compliant learning objects, within the context of the design of an application for integrating Geographic Information Systems (GIS) into the civil engineering curriculum at the University of Missouri - Rolla

A Method for Matching Fractured Surfaces using Shadow Profilometry

Characterization of fractured surfaces is of interest to forensic scientists because the measurements can be used to investigate if two fractured surfaces have originated from a single common item, thus allowing the scientists to reconstruct shattered objects and structures. Fracture surfaces of object fragments that failed in tension under load or were torn apart because of explosive forces will have essentially matching surfaces. This paper presents an inexpensive technique for constructing a digital image of a three dimensional surface via two dimensional slices of very small objects using shadow profilometry. This method preserves minor details so that measurements can be made to characterize each surface and calculate the likelihood that the two surfaces were disjointed. Samples were created by using a load frame to pull apart round, square, and rectangular rods of various materials, such as high and low carbon steel, aluminium, brass, and copper. Other samples were created by blasting. Various methods and algorithms utilizing optical microscopy, shadow profilometry, and digital image processing were developed to characterize two fracture surfaces to determine if they originated from a single common object

Establishing Learning Objectives via Use Case Analysis for a Homeland Security Training System

At the heart of the design of any form of education media is establishing the learning objectives. When the media is an augmented reality system, establishing learning objectives is closely associated with requirement analysis for the system. This paper examines use case analysis as a means of determining the learning objectives for a virtual reality training system and demonstrates via example that this approach was successful in guiding the design and development of the First Responder Simulation and Training Environment. Use case analysis will be explained and a detailed description will be given of the learning objectives involved in training response personnel the proper procedures to use during a weapon of mass destruction event

Collaborative International Education: Reaching Across Borders

Purpose: As international boundaries fade and financial pressures increase, universities are redefining the norm in educational models. The move from a synchronous classroom to a blended classroom or a completely asynchronous environment has forced faculty to be creative in delivery while overcoming complexities in the associated infrastructure. Furthermore, geographic boundaries have diminished, leaving universities seeking ways to reach out to growing student markets, such as South-east Asia. However, this rapid international growth and nearly constant revision of delivery has raised serious questions regarding the maintenance of the quality and reputation of the institution. This is particularly challenging for science, technology, engineering, and mathematics (STEM) programs requiring laboratory facilities, commercial software, and detailed, highly interactive theoretical analysis. The purpose of this paper is to describe the evolution, in the aforementioned environment, of a science, technology, engineering and mathematics (STEM)-centric university. Design/methodology/approach: This paper will examine an example of using a local provider in an international setting to deliver content originating from three universities collaborating to deliver a single STEM degree. Findings: The question of quality of education is found to overshadow this entire process, particularly given the strict constraints placed by accrediting organizations. Originality/value: The example under consideration has addressed these issues in a variety of means, that is examined through the course of this paper as a case analysis