A non-linear stochastic asset model for actuarial use

This paper reviews the stochastic asset model described in Wilkie (1995) and previous work on refining this model. The paper then considers the application of non-linear modelling to investment series, considering both ARCH techniques and threshold modelling. The paper suggests a threshold autoregressive (TAR) system as a useful progression from the Wilkie (1995) model. The authors are making available (by email, on request) a collection of spreadsheets, which they have used to simulate the stochastic asset models which are considered in this paper

Quantum Kicked Dynamics and Classical Diffusion

We consider the quantum counterpart of the kicked harmonic oscillator showing that it undergoes the effect of delocalization in momentum when the classical diffusional threshold is obeyed. For this case the ratio between the oscillator frequency and the frequency of the kick is a rational number, strictly in analogy with the classical case that does not obey the Kolmogorov-Arnold-Moser theorem as the unperturbed motion is degenerate. A tight-binding formulation is derived showing that there is not delocalization in momentum for irrational ratio of the above frequencies. In this way, it is straightforwardly seen that the behavior of the quantum kicked rotator is strictly similar to the one of the quantum kicked harmonic oscillator, although the former, in the classical limit, obeys the Kolmogorov-Arnold-Moser theorem.Comment: 9 pages, LaTeX. Comments are welcom

TGA/FTIR: An Extremely Useful Technique for Studying Polymer Degradation

Thermogravimetric analysis coupled to Fourier transform infrared spectroscopy, TGA/FTIR, has been used to probe the degradation of several polymeric systems. These include poly(methyl methacrylate) in the presence of various additives, graft copolymers of acrylonitrile-butadiene-styrene and styrene-butadiene with sodium methacrylate and styrene with acrylonitrile, blends of styrene-butadiene block copolymers with poly(vinylphosphonic acid) and poly(vinylsulfonic acid), and cross-linked polystyrenes. Additives may interact with poly(methyl methacrylate) by coordination to the carbonyl oxygen to a Lewis acid and the subsequent transfer of an electron from the polymer chain to the metal atom or by the formation of a radical which can trap the degrading radicals before they can undergo further degradation. When an inorganic char-former is graft copolymerized onto a polymer, there is a good correlation between TGA behavior in an inert atmosphere and thermal stability in air, but this is not true when the char is largely carbonific

Analytic slowing-down distributions as modified by turbulent transport

The effect of electrostatic microturbulence on fast particles rapidly decreases at high energy, but can be significant at moderate energy. Previous studies found that, in addition to changes in the energetic particle density, this results in nontrivial changes to the equilibrium velocity distribution. These effects have implications for plasma heating and the stability of Alfv\'en eigenmodes, but make multiscale simulations much more difficult without further approximations. Here, several related analytic model distribution functions are derived from first principles with reasonable approximations. A single dimensionless parameter characterizes the relative strength of turbulence relative to collisions, and this parameter appears as an exponent in the model distribution functions. Even the most simple of these models reproduces key features of the numerical phase-space transport solution and provides a useful a priori heuristic for determining how strong the effect of turbulence is on the redistribution of energetic particles in toroidal plasmas.Comment: 13 pages; 6 figure