Optimal Asset Allocation for CRRA and CARA Insurers under the Vasicek Interest Rate Model

This paper considers the reinsurance-investment problem with interest rate risks under constant relative risk aversion and constant absolute risk aversion preferences, respectively. Stochastic control theory and dynamic programming principle are applied to investigate the optimal proportional reinsurance-investment strategy for an insurer under the Vasicek stochastic interest rate model. Solving the corresponding Hamilton-Jacobi-Bellman equation via the Legendre transform approach, the optimal premium allocation strategies maximizing the expected utilities of terminal wealth are derived. In addition, several sensitivity analyses and numerical illustrations are given to analyze the impacts of different risk preferences and interest rate fluctuation on the optimal strategies. We find that the asset allocation and reinsurance ratio of the insurer are correlated with risk preference coefficient and interest rate fluctuation, and the insurance company may adjust the reinsurance-investment strategy to deal with interest rate risk.

Novel Fractional Dynamic Hardy–Hilbert-Type Inequalities on Time Scales with Applications

The main objective of the present article is to prove some new ∇ dynamic inequalities of Hardy–Hilbert type on time scales. We present and prove very important generalized results with the help of Fenchel–Legendre transform, submultiplicative functions. We prove the (γ,a)-nabla conformable Hölder’s and Jensen’s inequality on time scales. We prove several inequalities due to Hardy–Hilbert inequalities on time scales. Furthermore, we introduce the continuous inequalities and discrete inequalities as special case.

Conformal boundary conditions from cutoff AdS3

We construct a particular flow in the space of 2D Euclidean QFTs on a torus, which we argue is dual to a class of solutions in 3D Euclidean gravity with conformal boundary conditions. This new flow comes from a Legendre transform of the kernel which implements the T$$ \overline{T} $$ T ¯ deformation, and is motivated by the need for boundary conditions in Euclidean gravity to be elliptic, i.e. that they have well-defined propagators for metric fluctuations. We demonstrate equivalence between our flow equation and variants of the Wheeler de-Witt equation for a torus universe in the so-called Constant Mean Curvature (CMC) slicing. We derive a kernel for the flow, and we compute the corresponding ground state energy in the low-temperature limit. Once deformation parameters are fixed, the existence of the ground state is independent of the initial data, provided the seed theory is a CFT. The high-temperature density of states has Cardy-like behavior, rather than the Hagedorn growth characteristic of T$$ \overline{T} $$ T ¯ -deformed theories.

On the Derivation of Multisymplectic Variational Integrators for Hyperbolic PDEs Using Exponential Functions

We investigated the derivation of numerical methods for solving partial differential equations, focusing on those that preserve physical properties of Hamiltonian systems. The formulation of these properties via symplectic forms gives rise to multisymplectic variational schemes. By using analogy with the smooth case, we defined a discrete Lagrangian density through the use of exponential functions, and derived its Hamiltonian by Legendre transform. This led to a discrete Hamiltonian system, the symplectic forms of which obey the conservation laws. The integration schemes derived in this work were tested on hyperbolic-type PDEs, such as the linear wave equations and the non-linear seismic wave equations, and were assessed for their accuracy and the effectiveness by comparing them with those of standard multisymplectic ones. Our error analysis and the convergence plots show significant improvements over the standard schemes.

Optimal Investment Strategy for DC Pension Plan with Stochastic Income and Inflation Risk under the Ornstein–Uhlenbeck Model

This paper is concerned with the optimal investment strategy for a defined contribution (DC) pension plan. We assumed that the financial market consists of a risk-free asset and a risky asset, where the risky asset is subject to the Ornstein–Uhlenbeck (O-U) process, and stochastic income and inflation risk were also considered in the model. We firstly derived the Hamilton–Jacobi–Bellman (HJB) equation through the stochastic control method. Secondly, under the logarithmic utility function, the closed-form solution of optimal asset allocation was obtained by using the Legendre transform method. Finally, we give several numerical examples and a financial analysis.

A Computational Protocol Combining DFT and Cheminformatics for Prediction of pH-Dependent Redox Potentials

Discovering new materials for energy storage requires reliable and efficient protocols for predicting key properties of unknown compounds. In the context of the search for new organic electrolytes for redox flow batteries, we present and validate a robust procedure to calculate the redox potentials of organic molecules at any pH value, using widely available quantum chemistry and cheminformatics methods. Using a consistent experimental data set for validation, we explore and compare a few different methods for calculating reaction free energies, the treatment of solvation, and the effect of pH on redox potentials. We find that the B3LYP hybrid functional with the COSMO solvation method, in conjunction with thermal contributions evaluated from BLYP gas-phase harmonic frequencies, yields a good prediction of pH = 0 redox potentials at a moderate computational cost. To predict how the potentials are affected by pH, we propose an improved version of the Alberty-Legendre transform that allows the construction of a more realistic Pourbaix diagram by taking into account how the protonation state changes with pH.

A Computational Protocol Combining DFT and Cheminformatics for Prediction of pH-Dependent Redox Potentials

<p>We present and validate a robust procedure to calculate the redox potentials of organic molecules at any pH value, using widely available quantum chemistry and cheminformatics methods. Using a consistent experimental data set for validation, we explore and compare a few different methods for calculating reaction free energies, the treatment of solvation, and the effect of pH on redox potentials. We find that the B3LYP hybrid functional with COSMO solvation method, in conjunction with thermal contributions evaluated from BLYP gas-phase harmonic frequencies, yields a good prediction of pH=0 redox potentials at a moderate computational cost. To predict how the potentials are affected by pH, we propose an improved version of the Alberty-Legendre transform that allows the construction of a more realistic Pourbaix diagram by taking into account how the protonation state changes with pH.</p>

A Computational Protocol Combining DFT and Cheminformatics for Prediction of pH-Dependent Redox Potentials

<p>We present and validate a robust procedure to calculate the redox potentials of organic molecules at any pH value, using widely available quantum chemistry and cheminformatics methods. Using a consistent experimental data set for validation, we explore and compare a few different methods for calculating reaction free energies, the treatment of solvation, and the effect of pH on redox potentials. We find that the B3LYP hybrid functional with COSMO solvation method, in conjunction with thermal contributions evaluated from BLYP gas-phase harmonic frequencies, yields a good prediction of pH=0 redox potentials at a moderate computational cost. To predict how the potentials are affected by pH, we propose an improved version of the Alberty-Legendre transform that allows the construction of a more realistic Pourbaix diagram by taking into account how the protonation state changes with pH.</p>