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保險人發行投資型商品之收費主要來自於基金管理費用。本研究旨在提供一個架構，以作為此基金管理費用定價之依據。在此一架構下，保險人提撥準備金以因應附保證給付所帶來的風險；並可區分因保證給付所衍生之收費以及非因保證給付所衍生之收費。 簡單的說，我們的步驟如下：首先模擬未來的投資報酬率，藉以建構保險人發行投資型商品之現金流量分配。其次，在既定的內部報酬率(Internal Rate of Return)以及規範之準備金提存標準下，計算相對應之費率。 在本研究中，我們提供以滿期保證給付為例之相關數值結果。任何保證形態之投資型商品其基金管理費用皆可依此架構定價。 / This paper proposes a framework to charge for unit-linked contracts when considering guaranteed risk. The charge is determined by two criteria of meeting the target internal rate of return and simultaneously reserving standard. The framework is built on the stochastic cash-flow analysis. Thus, we first model the cash flow for unit-linked contracts by means of simulation, using a stochastic model for future dynamics of the rate of return. In the cash flow model, we consider the reserves for the guaranteed risk. The reserving standard for the guaranteed risk is based on quantile risk measure. In our framework, we work out the charges in reverse. For illustrative purposes, we investigate a unit-linked policy with maturity guarantees. However, our framework would apply to other types of contacts and guarantees. Some sensitivity analyses are also carried out in this research.

<p>The aim of this thesis is to discuss and analyse the influenceof data uncertainties with regard to the reliability of materialflow analysis (MFA) studies. MFA, as a part of environmentalsystems analysis, is a method belonging to the research field ofindustrial ecology and more specifically industrial metabolism.As such, the method strives at giving a holistic view of thecomplex world we live in, in order to reduce negativeenvironmental impact. Among other things, MFA studies have beenproposed to be useful for priority setting and following up inmunicipalities.</p><p>Serving as a starting point is a local case study of flows ofnitrogen in a Swedish municipality, Västerås. The casestudy has been performed using the ComBoxmodel. The years studiedare 1995 and 1998. The main sectors in society emitting nitrogento water were identified as the agricultural and householdsectors. The dominating sectors emitting nitrogen to air wereidentified as the agricultural, transport and infrastructuresectors.</p><p>As a basis for discussing data uncertainties qualitatively andquantitatively a literature survey was performed. 50 articles andbooks were identified as in some way or another dealing with datauncertainties in MFA. The literature survey showed that theuncertainties for results from a MFA study might vary between±30 % and a factor 10 depending on what kind of parameter isinvestigated. Only one method was found that dealt with datauncertainties in MFA in a complete way; a model developed byHedbrant and Sörme (HS model).</p><p>When applying the HS model to the case study of nitrogen flowsin Västerås, it was found that when uncertaintyintervals were calculated the possible conclusions changed. Ofthe two pair of flows compared in relation to priority setting,none of the earlier conclusions remained. Of the three flowsanalysed in relation to following up, only the flow from onepoint source supported the same conclusion when uncertainty wasconsidered.</p><p>In all, it is concluded that data uncertainties in MFAanalysis are an important aspect and that further research isneeded in order to improve input data quality estimations andframeworks for determining, calculating and presenting data, datauncertainties and results from MFA studies. However, theunderlying reality remains, e.g. that management of materialflows are important for understanding and reducing the negativeenvironmental impact. Thus, MFA is one useful tool in thiswork.</p><p><b>Keywords:</b>data uncertainties, sensitivity analysis,Material flow analysis, MFA, method to determine datauncertainties, case study, ComBox model, nitrogenflows.</p>

Following the decline of the UK metal mining industry by the 1920s, over 3,000 abandoned metal mines exist in England and Wales. Contaminated drainage from this historical industry causes approximately 20% of all water quality failures in England and Wales. In this thesis, a holistic geographical approach, incorporating aspects of hydrology, hydrogeochemistry and freshwater ecology, is employed to investigate the hydrological, sedimentological and ecological impacts of the abandoned Dylife lead/zinc mine on the Afon Twymyn (central Wales). Examination of river sediment quality highlights the need for measurements of the quality of this component of the river ecosystem and, in particular, measurement of bioavailable as opposed to total metals. The majority of heavy metals in bed sediments of the Afon Twymyn exist in highly mobile geochemical phases, potentially posing serious threats to ecological integrity. Significant metal flushing occurred during flood events at Dylife mine and a distinct seasonal pattern was observed with greater levels of flushing occurring during flood events in the summer months. It is suggested that investigations of contaminant/ecosystem relations and potential remediation strategies should include high-resolution temporal sampling of river water chemistry under conditions of flood flow. Paradoxically, a range of biological indices failed to identify significant negative impacts of metal mine contaminants on macroinvertebrate communities, suggesting there is little contamination of the river ecosystem. However, Canonical Correspondence Analysis did identify significant differences in community structure between polluted and unpolluted river stretches, suggesting that standard unimetric biological indices might only be successful in identifying impacts at the most severely polluted mine sites. It is suggested that the ecological approach of the European Union Water Framework Directive to the assessment of river ecosystem status may not yield an accurate representation of contamination in rivers such as the Afon Twymyn where contamination by mining is moderate, circum-neutral and the mining operation is long abandoned.

This dissertation comprises three essays on macroeconomic impacts of foreign direct investment (FDI). The first essay analyses the impact of FDI on the growth rate of total factor productivity of host countries. The essay focuses on 77 low- and middle-income countries and is based on balanced panel data for the period 1980-2008. The system GMM and common correlated effects (CCE) panel data methods are applied to estimate the models. Estimated coefficients show that FDI does not have any significant impact on the growth rate and the levels of TFP. The second essay investigates the relationship between FDI and domestic investment focusing on low- and middle-income countries, and using panel data for the period 1980-2012. It applies common parameter and heterogeneous parameter, static and dynamic, single equation and simultaneous equation panel data econometric techniques to study the relationship. Empirical findings suggest that FDI crowds our domestic investment. Our estimated coefficients also suggest that countries that have weak institutions, less developed financial systems, less human capital, less developed infrastructure, or economies that are more open, are more exposed to foreign competition and experience stronger crowding out from inward FDI. In the third essay, the influence of capital flows on the real exchange rate of recipient countries is analysed. The influence of three important capital flows, viz. foreign direct investment (FDI), foreign aid, and remittances, are assessed on the real exchange rate, using data for 45 middle- and low-income countries for the period 1980–2013. Both heterogeneous and homogeneous panel data methods are applied to estimate the real exchange rate models. The estimated coefficients of these models imply that foreign direct investment (FDI) and remittances do not influence the real exchange rate. Aid tends to depreciate the real exchange rate. Findings also suggest that financial development does not influence the exchange rate impact of aid in our sample countries. The study further finds that while aid tends to increase real exchange rate volatility, FDI and remittances do not have any robust influence on volatility. / February 2017

Bubbly flows can be found in many applications in chemical, biological and power engineering. Reliable simulation tools of such flows that allow the design of new processes and optimization of existing one are therefore highly desirable. CFD-simulations applying the multi-fluid approach are very promising to provide such a design tool for complete facilities. In the multi-fluid approach, however, closure models have to be formulated to model the interaction between the continuous and dispersed phase. Due to the complex nature of bubbly flows, different phenomena have to be taken into account and for every phenomenon different closure models exist. Therefore, reliable predictions of unknown bubbly flows are not yet possible with the multi-fluid approach. A strategy to overcome this problem is to define a baseline model in which the closure models including the model constants are fixed so that the limitations of the modeling can be evaluated by validating it on different experiments. Afterwards, the shortcomings are identified so that the baseline model can be stepwise improved without losing the validity for the already validated cases. This development of a baseline model is done in the present work by validating the baseline model developed at the Helmholtz-Zentrum Dresden-Rossendorf mainly basing on experimental data for bubbly pipe flows to bubble columns, bubble plumes and airlift reactors that are relevant in chemical and biological engineering applications. In the present work, a large variety of such setups is used for validation. The buoyancy driven bubbly flows showed thereby a transient behavior on the scale of the facility. Since such large scales are characterized by the geometry of the facility, turbulence models cannot describe them. Therefore, the transient simulation of bubbly flows with two equation models based on the unsteady Reynolds-averaged Navier–Stokes equations is investigated. In combination with the before mentioned baseline model these transient simulations can reproduce many experimental setups without fitting any model. Nevertheless, shortcomings are identified that need to be further investigated to improve the baseline model. For a validation of models, experiments that describe as far as possible all relevant phenomena of bubbly flows are needed. Since such data are rare in the literature, CFD-grade experiments in an airlift reactor were conducted in the present work. Concepts to measure the bubble size distribution and liquid velocities are developed for this purpose. In particular, the liquid velocity measurements are difficult; a sampling bias that was not yet described in the literature is identified. To overcome this error, a hold processor is developed. The closure models are usually formulated based on single bubble experiments in simplified conditions. In particular, the lift force was not yet measured in low Morton number systems under turbulent conditions. A new experimental method is developed in the present work to determine the lift force coefficient in such flow conditions without the aid of moving parts so that the lift force can be measured in any chemical system easily.

A novel on-line capillary rheometer (OLR) was used to examine the shear and extensional characteristics of polyolefin melts during twin screw extrusion (TSE). Comparisons with off-line rheometry were made using a twin-bore capillary rheometer and a modular in-line slit die rheometer (ILR) provided in-line rheometry comparisons. Both capillary rheometers were controlled via PCs running dedicated software, and the extrusion line and ELR were fully instrumented allowing real-time process monitoring to be carried out by IBM compatible PCs via data acquisition hardware and software. The prototype OLR was developed by the re-design of several key features including an instrumented transfer section and capillary die block which facilitated the use of various die geometries. Shear and extensional on-line rheometry of three polyethylenes (linear and branched), and four molecular weight grades of polypropylene were examined, and a direct comparison with off-line capillary rheometry showed a good correlation. The effect of a high loading of filler on two of the polyethylenes was investigated. In-line shear stress and entry pressure measurements showed a reasonable correlation with on-line rheometry. A study of entry flows in the OLR using capillary dies approaching orifice showed non-linearities occurred at very low capillary length to diameter(L:D) ratios, and this was repeatable using off-line rheometry. Predicted zero length entry pressures (Po) were used to estimate apparent extensional viscosity using a number of standard models. Melt instability and capillary wall slip were also investigated using on-line rheometry. Melt pressure and temperature in the twin screw extruder and OLR were monitored at various process conditions to examine the ability of the OLR to condition melt during testing, and the effect of OLR testing on extrusion conditions. Pressure variation in the extruder, OLR and off-line rheometer were compared in order to quantify process noise. The effect of OLR testing on melt rheology and polymer molecular weight were examined using off-line rheometry and gel permeation chromatography(GPC).

Ces travaux portent sur la modélisation et la simulation numérique de la dispersion de matériaux nocifs (pulvérisations liquides ou gazeuses) en milieu urbain ou naturel (attentat ou explosion accidentelle survenant en zone peuplée, fuites de produits toxiques gazeux ou liquides, éclatement de réservoir..). Afin de prédire ces risques un outils de simulation tridimensionnel a été développé. Celui-ci est basé sur un modèle de milieu hétérogène afin de traiter des phénomènes dont la durée et les distances associées peuvent être très grandes. La topographie des milieux étudiées est prise en compte grâce à des données numériques d'´elévation ainsi que les conditions météo permettant l'utilisation de profils de température et de vent complexes. Les transferts de chaleur et de masse sont considérés, notamment au niveau des obstacles. Un schéma numérique d'ordre élevé en temps et en espace est utilisé pour calculer les concentrations massiques de polluants. Par ailleurs, un modèle d'écoulement gaz-particule a été développé et implémenté dans le code de calcul. L'instabilité d'une couche de fluide soumise à un important gradient de pression est également étudiée, ceci afin de mieux comprendre et de caractériser les conditions initiales à utiliser pour ce type d'écoulement, impliquant des couches de particules. / This work deals with the modeling and the numerical simulation of the dispersion of toxic cloud of dropplets or gas in uneven geometry such as urban environment, industrial plants and hilly environment. Examples of phenomena under study are the dispersion of chemical products from damaged vessels, gas diffusion in an urban environment under explosion conditions, shock wave propagation in urban environment etc. A 3D simulation code has been developed in this aim. To simplify the consideration of complex geometries, a heterogeneous discrete formulation has been developed. When dealing with large scale domains, such as hilly natural environment, the topography is reconstructed with the help of numerical elevation data. Meteorological conditions are also considered, concerning temperature and wind velocity profiles. Heat and mass transfers on subscale objects, such as buildings are studied. A high order numerical scheme in space and time is used to compute mass concentration of pollutant. A two-phase model for dilute gas-particles flow has been developed and implemented in the 3D simulation code. The instability of a fluid layer appearing under high pressure gradient is also studied. This analysis allows us a better understanding of initial conditions for similar problems involving particles layer.

La simulation d'écoulements dans des cavités cylindriques en rotation présente une difficulté particulière en raison de l'apparition de singularités sur l'axe. Le présent travail propose une méthode collocative pseudospectrale suffisamment efficace et précise pour surmonter cette difficulté et résoudre les équations 3D de Navier-Stokes écrites en coordonnées cylindriques. Cette méthode a été développée dans le cadre des différentes études menées au laboratoire M2P2, utilisant une méthode collocative de type Chebychev dans les directions radiale et axiale et Fourier-Galerkin dans la direction azimutale [thêta]. Pour éviter de prescrire des conditions sur l'axe, une nouvelle approche a été développée. Le domaine de calcul est défini par (r,[thêta],z)&#8712;[-1,1]×[0,2π]×[-1,1] avec un nombre N pair de points de collocation dans la direction radiale. Ainsi, r=0 n'est pas un point de collocation. La distribution de points de type Gauss-Lobatto selon r et z densifie le maillage seulement près des parois ce qui rend l'algorithme bien adapté pour simuler les écoulements dans des cavités cylindriques en rotation. Dans la direction azimutale, le chevauchement des points dû à la discrétisation est évitée par l'introduction d'un décalage égal à π/2K à [thêta]>π dans la transformée de Fourier. La méthode conserve la convergence spectrale. Des comparaisons avec des résultats expérimentaux et numériques de la littérature montrent un très bon accord pour des écoulements induits par la rotation d'un disque dans des cavités cylindriques fermées. / When simulating flows in cylindrical rotating cavities, a difficulty arises from the singularities appearing on the axis. In the same time, the flow field itself does not have any singularity on the axis and this singularity is only apparent. The present work proposes an efficient and accurate collocation pseudospectral method for solving the 3D Navier-Stokes equations using cylindrical coordinates. This method has been developed in the framework of different studies of rotor-stator flows, using Chebyshev collocation in the radial and axial directions and Fourier-Galerkin approximation in the azimuthal periodic direction [thêta]. To avoid the difficulty on the axis without prescribing any pole and parity conditions usually required, a new approach has been developed. The calculation domain is defined as (r,[thêta];,z)&#8712;[-1,1]×[0,2π]×[-1,1] using an even number N of collocation points in the radial direction. Thus, r=0 is not a collocation point. The method keeps the spectral convergence. The grid-point distribution densifies the mesh only near the boundaries that makes the algorithm well-suited to simulate rotating cavity flows where thin layers develop along the walls. In the azimuthal direction, the overlap in the discretization is avoided by introducing a shift equal to π/2K for [thêta]>π in the Fourier transform. Comparisons with reliable experimental and numerical results of the literature show good quantitative agreements for flows driven by rotating discs in cylindrical cavities. Associated to a Spectral Vanishing Viscosity, the method provides very promising LES results of turbulent cavity flows with or without heat transfer.

Cette thèse concerne l'étude de la dynamique d'impacts de gouttes, dans des situations de friction réduite entre le substrat solide et la goutte liquide. Cette diminution de friction s'est faite au moyen d'un film d'air inséré entre le liquide et le solide. Il existe plusieurs stratégies permettant l'existence de ce film d'air : la première est d'utiliser le phénomène de caléfaction, ou effet Leidenfrost : un liquide approché d'une surface chauffée au delà d'une température critique s'évapore suffisamment rapidement pour pouvoir léviter sur sa propre vapeur, et ainsi être isolé de la surface solide. Dans certaines conditions, les surfaces super-hydrophobes micro-texturées permettent au liquide de rester dans un état "fakir", c'est à dire de n'être en contact qu'avec le sommet de micro-piliers, le reste du liquide demeurant au dessus d'un coussin d'air. Enfin, il a également été constaté que l'écoulement d'air engendré par le mouvement d'une surface solide peut induire une force de portance sur une goutte, et ainsi lui permettre de léviter au dessus de cette surface / In this thesis we study the dynamic of drop impacts, in situations of low friction between the liquid and the solid surface. This low friction can be obtained thanks to an air cushion trapped between the liquid and the solid, which can be achieved by several ways. The first one is the Leidenfrost effect : when a liquid is moved close to a hot surface, the evaparation rate can be sufficient make liquid levitate on its own vapour. In certain conditions, onto micro-patterned super-hydrophobic surfaces, a drop can be in a "fakir" state, which means that the contact is limited to the top of micro-pillars, the rest of the liquid is at the top of an air cushion. Finally, we also observed that the air flow due to a moving surface can generate a lift force which can permit the levitation of the drop