Longevity risk and capital markets: The 2009-2010 update

This Special Issue of the North American Actuarial Journal contains ten contributions to the academic literature all dealing with longevity risk and capital markets. Draft versions of the papers were presented at Longevity Five: the Fifth International Longevity Risk and Capital Markets Solutions Conference that was held in New York on 25-26 September 2009. It was hosted by J. P. Morgan and St John’s University and organized by the Pensions Institute at Cass Business School, London, and the Edmondson-Miller Chair at Illinois State University.Longevity Risk; Capital Market

Scraping sounds and disgusting noises

Thirty-four horrible sounds have been examined in an Internet-based psychoacoustic experiment. This paper presents the results for the scraping and disgusting noises used. It is not understood why some humans find certain scraping noises, such as the sound of fingernails being scraped down a blackboard, so terrible. In this experiment, the variations in ratings with age, gender and location are examined. The results for one of the scraping sounds is consistent with the hypothesis suggested by others, that the response comes from a vestigial reflex related to the warning cries of monkeys. But this was not true for the actual recording of the fingernails scraping down a blackboard. An alternative hypothesis that the response is related to an audio–haptic interaction was tested and results indicated that this idea warrants further investigation. Other possible causes of the response, drawing on work concerning dissonance, are tentatively suggested. The disgusting sounds examined included the worst sound found in the experiment, the sound of someone vomiting. However, none of the disgusting sounds tested promoted responses consistent with a ‘disgust reaction’ based purely on survival instincts. Cultural factors might be important in our response to the disgusting sounds, with the influence of manners and etiquette being suggested as a possible factor

The effect of substrate roughness on air entrainment in dip coating

YesDynamic wetting failure was observed in the simple dip coating flow with a series of substrates, which had a rough side and a comparatively smoother side. When we compared the air entrainment speeds on both sides, we found a switch in behaviour at a critical viscosity. At viscosity lower than a critical value, the rough side entrained air at lower speeds than the smooth side. Above the critical viscosity the reverse was observed, the smooth side entraining air at lower speed than the rough side. Only substrates with significant roughness showed this behaviour. Below a critical roughness, the rough side always entrained air at lower speeds than the smooth side. These results have both fundamental and practical merits. They support the hydrodynamic theory of dynamic wetting failure and imply that one can coat viscous fluids at higher speeds than normal by roughening substrates. A mechanism and a model are presented to explain dynamic wetting failure on rough surfaces

Interfacial Stress Transfer in a Graphene Monolayer Nanocomposite

Graphene is one of the stiffest known materials, with a Young's modulus of 1 TPa, making it an ideal candidate for use as a reinforcement in high-performance composites. However, being a one-atom thick crystalline material, graphene poses several fundamental questions: (1) can decades of research on carbon-based composites be applied to such an ultimately-thin crystalline material? (2) is continuum mechanics used traditionally with composites still valid at the atomic level? (3) how does the matrix interact with the graphene crystals and what kind of theoretical description is appropriate? We have demonstrated unambiguously that stress transfer takes place from the polymer matrix to monolayer graphene, showing that the graphene acts as a reinforcing phase. We have also modeled the behavior using shear-lag theory, showing that graphene monolayer nanocomposites can be analyzed using continuum mechanics. Additionally, we have been able to monitor stress transfer efficiency and breakdown of the graphene/polymer interface

Dynamic Wetting and Dewetting: Comparison of Experiment with Theories

The dynamics wetting/dewetting of a metal surface by distilled water drop was studied experimentally. The advancing and receding dynamic contact angles were obtained as a function of a contact line speed. The hydrodynamic and molecular-kinetic models have been applied to the experimental data to interpret the obtained results. The independent variables of the molecular-kinetic and hydrodynamic models, and the determination coefficient were determined by fitting procedure. The receding contact angles are found to be fitted better to the wetting models in comparison with the advancing dynamic contact angles

On the Interface Formation Model for Dynamic Triple Lines

This paper revisits the theory of Y. Shikhmurzaev on forming interfaces as a continuum thermodynamical model for dynamic triple lines. We start with the derivation of the balances for mass, momentum, energy and entropy in a three-phase fluid system with full interfacial physics, including a brief review of the relevant transport theorems on interfaces and triple lines. Employing the entropy principle in the form given in [Bothe & Dreyer, Acta Mechanica, doi:10.1007/s00707-014-1275-1] but extended to this more general case, we arrive at the entropy production and perform a linear closure, except for a nonlinear closure for the sorption processes. Specialized to the isothermal case, we obtain a thermodynamically consistent mathematical model for dynamic triple lines and show that the total available energy is a strict Lyapunov function for this system

Spreading Dynamics of Polymer Nanodroplets

The spreading of polymer droplets is studied using molecular dynamics simulations. To study the dynamics of both the precursor foot and the bulk droplet, large drops of ~200,000 monomers are simulated using a bead-spring model for polymers of chain length 10, 20, and 40 monomers per chain. We compare spreading on flat and atomistic surfaces, chain length effects, and different applications of the Langevin and dissipative particle dynamics thermostats. We find diffusive behavior for the precursor foot and good agreement with the molecular kinetic model of droplet spreading using both flat and atomistic surfaces. Despite the large system size and long simulation time relative to previous simulations, we find no evidence of hydrodynamic behavior in the spreading droplet.Comment: Physical Review E 11 pages 10 figure

Radial Velocity Studies of Close Binary Stars. XV

Radial-velocity measurements and sine-curve fits to the orbital radial velocity variations are presented for the last eight close binary systems analyzed the same way as in the previous papers of this series: QX And, DY Cet, MR Del, HI Dra, DD Mon, V868 Mon, ER Ori, and Y Sex. For another seven systems (TT Cet, AA Cet, CW Lyn, V563 Lyr, CW Sge, LV Vir and MW Vir) phase coverage is insufficient to provide reliable orbits but radial velocities of individual components were measured. Observations of a few complicated systems observed throughout the DDO close-binary program are also presented; among them an especially interesting is the multiple system V857 Her which - in addition to the contact binary - very probably contains one or more sub-dwarf components of much earlier spectral type. All suspected binaries which were found to be most probably pulsating stars are briefly discussed in terms of mean radial velocities and projected rotation velocities (v sin i) as well as spectral type estimates. In two of them, CU CVn and V752 Mon, the broadening functions show a clear presence of non-radial pulsations. The previously missing spectral types for the DDO I paper are given here in addition to such estimates for most of the program stars of this paper.Comment: submitted to A

Modelling longevity bonds: Analysing the Swiss Re Kortis bond

A key contribution to the development of the traded market for longevity risk was the issuance of the Kortis bond, the world's first longevity trend bond, by Swiss Re in 2010. We analyse the design of the Kortis bond, develop suitable mortality models to analyse its payoff and discuss the key risk factors for the bond. We also investigate how the design of the Kortis bond can be adapted and extended to further develop the market for longevity risk