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This thesis introduces company ABB Brno and its products. It describes the manufacturing process of a switchgear and it is focused at working procedures at particular points of the assembly line. The main part analyzes the root causes of the incompleteness of switchgears in the relation to the components availability. Time footprint was worked out. As a conclusion the proposal of changes in manufacturing process to improve the level of completeness are stated.

No description available.

投資型商品連動於特定資產，保險人除了面臨原有的核保風險，更需承擔部分的財務風險。傳統保險商品的純保費價格等於其預期損失，而投資型商品的保險給付依據投資標的波動，保險人的預期損失不易估算，傳統精算的評價方法不完全適用於投資型商品。保證最低給付的給付結構使得投資型商品其有選擇權的特質，Brennan與Schwartz(1976)首先利用選擇權定價理論探討附有保證最低給付投資型商品之價值與避險策略，爾後亦有許多文獻以此方向加以著墨，但選擇權定價理論是基於市場為完全市場的假設，保險市場為不完全市場，以完全市場假設之理論評定保險商品之價值實不合理。本為假設保險人面臨的風險為核保風險及財務風險，財務市場為完全市場，保險人可以藉由市場上的各種金融商品建構避險組合規避財務風險；而預期死亡人數與實際死亡人數所產生的核保誤差，保險人無法利用避險組合完全地規避，因此保險市場為不完全市場。 在不完全市場中請求權的價值牽涉投資者主觀的風險偏好，不存在唯一的平賭測度，請求權的價格也不唯一，最適避險策略依請求權的價格調整，所以投資型保險商品的價格不再等於其公平價值，真正的成交價格應落於買賣價差之中。本文引用Mercurio(1996)的結果，利用二次效用函數，以極大化保險人期末財富之效用為目標，建構生存險的合理價格範圍。以二元樹模型描述股票的波動，分別模擬五年、十年及十五年投資型生存險之價差範圍，保險人的風險規避程度、保單期限以及保證金額的高低將影響商品價差範圍的大小。 關鍵字：不完全市場、效用函數，買賣價差、最適避險策略 / Investment-linked life (LIL) insurance policies integrate the attributes from the mutual fund by introducing the investment options to the policyholders and life insurance through the benefit payments shielding the unexpected events of the insured. Since the execution of the implied options depends on the policyholder's health status. Actuarial equivalent principal and non-arbitrage pricing theory are used in evaluating the prices for LIL insurance policies. Brennan and Schwartz (1976) initially employ the option pricing theory in examining the pricing and hedging strategy for LIL insurance policies with minimum guarantees. Most published literatures are focusing on this issue adopting the B-S methodology. Since the values of the LIL policies cannot be replicated uniquely through the self-financing strategies due to underwriting risks of the insurance market. Insurance market does not satisfy the completeness assumptions, Due to lack of a unique martingale measure under market incompleteness, the utility assumption of the policyholder is involved in the pricing issue. Insurance pricing must consider the risk attitude of the investors in the market. Hence the cost the LIL insurance policies are not necessarily equal to the fair market prices. The market value should fall within the range of the bid and ask prices. In this study, we follow the approach in Mercurio (1996) by adopting the quadratic utility function and compute the reasonable range of the prices based on maximizing the terminal health utility function. Binary tree method is used in modeling the asset dynamics. Then the numerical computations are performed using endowment LIL insurance policies with 5, 10 and 15 years of duration. Based on the results, we find that the risk attitude of the policyholder, the policy duration and minimum amounts of the guarantees significantly affect the bid-ask price spread of LIL insurance policies. Keywords: market incompleteness; utility function; bid-ask spread; optimal hedging strategy.

Cette thèse porte sur les questions d'évaluation et de couverture des options dans un modèle exponentiel-Lévy avec changements de régime. Un tel modèle est construit sur un processus additif markovien un peu comme le modèle de Black- Scholes est basé sur un mouvement Brownien. Du fait de l'existence de plusieurs sources d'aléa, nous sommes en présence d'un marché incomplet et ce fait rend inopérant les développements théoriques initiés par Black et Scholes et Merton dans le cadre d'un marché complet. Nous montrons dans cette thèse que l'utilisation de certains résultats de la théorie des processus additifs markoviens permet d'apporter des solutions aux problèmes d'évaluation et de couverture des options. Notamment, nous arrivons à caracté- riser la mesure martingale qui minimise l'entropie relative à la mesure de probabilit é historique ; aussi nous dérivons explicitement sous certaines conditions, le portefeuille optimal qui permet à un agent de minimiser localement le risque quadratique associé. Par ailleurs, dans une perspective plus pratique nous caract érisons le prix d'une option Européenne comme l'unique solution de viscosité d'un système d'équations intégro-di érentielles non-linéaires. Il s'agit là d'un premier pas pour la construction des schémas numériques pour approcher ledit prix. / This thesis focuses on the pricing and hedging problems of financial derivatives in a Markov-modulated exponential-Lévy model. Such model is built on a Markov additive process as much as the Black-Scholes model is based on Brownian motion. Since there exist many sources of randomness, we are dealing with an incomplete market and this makes inoperative techniques initiated by Black, Scholes and Merton in the context of a complete market. We show that, by using some results of the theory of Markov additive processes it is possible to provide solutions to the previous problems. In particular, we characterize the martingale measure which minimizes the relative entropy with respect to the physical probability measure. Also under some conditions, we derive explicitly the optimal portfolio which allows an agent to minimize the local quadratic risk associated. Furthermore, in a more practical perspective we characterize the price of a European type option as the unique viscosity solution of a system of nonlinear integro-di erential equations. This is a rst step towards the construction of e ective numerical schemes to approximate options price.

Submitted by ROSEMEIRE DE FATIMA BATISTELA null (rosebatistela@hotmail.com) on 2017-02-11T02:22:43Z No. of bitstreams: 1 tese finalizada 10 fevereiro 2017 com a capa.pdf: 2263896 bytes, checksum: 413948c6a47fb47a21e1587275d29c03 (MD5) / Approved for entry into archive by Juliano Benedito Ferreira (julianoferreira@reitoria.unesp.br) on 2017-02-15T16:56:58Z (GMT) No. of bitstreams: 1 batistela_rf_dr_rcla.pdf: 2263896 bytes, checksum: 413948c6a47fb47a21e1587275d29c03 (MD5) / Made available in DSpace on 2017-02-15T16:56:58Z (GMT). No. of bitstreams: 1 batistela_rf_dr_rcla.pdf: 2263896 bytes, checksum: 413948c6a47fb47a21e1587275d29c03 (MD5) Previous issue date: 2017-02-02 / Apresentamos nesta tese uma proposta de inserção do tema teorema da incompletude de Gödel em cursos de Licenciatura em Matemática. A interrogação norteadora foi: como sentidos e significados do teorema da incompletude de Gödel podem ser atualizados em cursos de Licenciatura em Matemática? Na busca de elaborarmos uma resposta para essa questão, apresentamos o cenário matemático presente à época do surgimento deste teorema, expondo-o como a resposta negativa para o projeto do Formalismo que objetivava formalizar toda a Matemática a partir da aritmética de Peano. Além disso, trazemos no contexto, as outras duas correntes filosóficas, Logicismo e Intuicionismo, e os motivos que impossibilitaram o completamento de seus projetos, que semelhantemente ao Formalismo buscaram fundamentar a Matemática sob outras bases, a saber, a Lógica e os constructos finitistas, respectivamente. Assim, explicitamos que teorema da incompletude de Gödel aparece oferecendo resposta negativa à questão da consistência da aritmética, que era um problema para a Matemática na época, estabelecendo uma barreira intransponível para a demonstração dessa consistência, da qual dependia o sucesso do Formalismo e, consequentemente, a fundamentação completa da Matemática no ideal dos formalistas. Num segundo momento, focamos na demonstração deste teorema expondo-a em duas versões distintas, que para nós se nos mostraram apropriadas para serem trabalhadas em cursos de Licenciatura em Matemática. Uma, como possibilidade de conduzir o leitor pelos meandros da prova desenvolvida por Gödel em 1931, ilustrando-a, bem como, as ideias utilizadas nela, aclarando a sua compreensão. Outra, como opção que valida o teorema da incompletude apresentando-o de maneira formal, portanto, com endereçamentos e objetivos distintos, por um lado, a experiência com a numeração de Gödel e a construção da sentença indecidível, por outro, com a construção formal do conceito de método de decisão de uma teoria. Na sequência, apresentamos uma discussão focada na proposta de Bourbaki para a Matemática, por compreendermos que a atitude desse grupo revela a forma como o teorema da incompletude de Gödel foi acolhido nessa ciência e como ela continuou após este resultado. Nessa exposição aparece que o grupo Bourbaki assume que o teorema da incompletude não impossibilita que a Matemática prossiga em sua atividade, ele apenas sinaliza que o aparecimento de proposições indecidíveis, até mesmo na teoria dos números naturais, é inevitável. Finalmente, trazemos a proposta de como atualizar sentidos e significados do teorema da incompletude de Gödel em cursos de Licenciatura em Matemática, aproximando o tema de conteúdos agendados nas ementas, propondo discussão de aspectos desse teorema em diversos momentos, em disciplinas que julgamos apropriadas, culminando no trabalho com as duas demonstrações em disciplinas do último semestre do curso. A apresentação é feita tomando como exemplar um curso de Licenciatura em Matemática. Consideramos por fim, a importância do trabalho com um resultado tão significativo da Lógica Matemática que requer atenção da comunidade da Educação Matemática, dado que as consequências deste teorema se relacionam com a concepção de Matemática ensinada em todos os níveis escolares, que, muito embora não tenham relação com conteúdos específicos, expõem o alcance do método de produção da Matemática. / In this thesis we present a proposal to insert Gödel's incompleteness theorem in Mathematics Education undergraduate courses. The main research question guiding this investigation is: How can the senses and meanings of Gödel's incompleteness theorem be updated in Mathematics Education undergraduate courses? In answering the research question, we start by presenting the mathematical scenario from the time when the theorem emerged; this scenario proposed a negative response to the project of Formalism, which aimed to formalize all Mathematics based upon Peano’s arithmetic. We also describe Logicism and Intuitionism, focusing on reasons that prevented the completion of these two projects which, in similarly to Formalism, were sought to support mathematics under other bases of Logic and finitists constructs. Gödel's incompleteness theorem, which offers a negative answer to the issue of arithmetic consistency, was a problem for Mathematics at that time, as the Mathematical field was passing though the challenge of demonstrating its consistency by depending upon the success of Formalism and upon the Mathematics’ rationale grounded in formalists’ ideal. We present the proof of Gödel's theorem by focusing on its two different versions, both being accessible and appropriate to be explored in Mathematics Education undergraduate courses. In the first one, the reader will have a chance to follow the details of the proof as developed by Gödel in 1931. The intention here is to expose Gödel’ ideas used at the time, as well as to clarify understanding of the proof. In the second one, the reader will be familiarized with another proof that validates the incompleteness theorem, presenting it in its formal version. The intention here is to highlight Gödel’s numbering experience and the construction of undecidable sentence, and to present the formal construction of the decision method concept from a theory. We also present a brief discussion of Bourbaki’s proposal for Mathematics, highlighting Bourbaki’s group perspective which reveals how Gödel’s incompleteness theorem was important and welcome in science, and how the field has developed since its result. It seems to us that Bourbaki’s group assumes that the incompleteness theorem does not preclude Mathematics from continuing its activity. Thus, from Bourbaki’s perspective, Gödel’s incompleteness theorem only indicates the arising of undecidable propositions, which are inevitable, occurring even in the theory of natural numbers. We suggest updating the senses and the meanings of Gödel's incompleteness theorem in Mathematics Education undergraduate courses by aligning Gödel's theorem with secondary mathematics school curriculum. We also suggest including discussion of this theorem in different moments of the secondary mathematics school curriculum, in which students will have elements to build understanding of the two proofs as a final comprehensive project. This study contributes to the literature by setting light on the importance of working with results of Mathematical Logic such as Gödel's incompleteness theorem in secondary mathematics courses and teaching preparation. It calls the attention of the Mathematical Education community, since its consequences are directly related to the design of mathematics and how it is being taught at all grade levels. Although some of these mathematics contents may not be related specifically to the theorem, the understanding of the theorem shows the broad relevance of the method in making sense of Mathematics.

Cette thèse porte sur les questions d'évaluation et de couverture des options dans un modèle exponentiel-Lévy avec changements de régime. Un tel modèle est construit sur un processus additif markovien un peu comme le modèle de Black- Scholes est basé sur un mouvement Brownien. Du fait de l'existence de plusieurs sources d'aléa, nous sommes en présence d'un marché incomplet et ce fait rend inopérant les développements théoriques initiés par Black et Scholes et Merton dans le cadre d'un marché complet. Nous montrons dans cette thèse que l'utilisation de certains résultats de la théorie des processus additifs markoviens permet d'apporter des solutions aux problèmes d'évaluation et de couverture des options. Notamment, nous arrivons à caracté- riser la mesure martingale qui minimise l'entropie relative à la mesure de probabilit é historique ; aussi nous dérivons explicitement sous certaines conditions, le portefeuille optimal qui permet à un agent de minimiser localement le risque quadratique associé. Par ailleurs, dans une perspective plus pratique nous caract érisons le prix d'une option Européenne comme l'unique solution de viscosité d'un système d'équations intégro-di érentielles non-linéaires. Il s'agit là d'un premier pas pour la construction des schémas numériques pour approcher ledit prix. / This thesis focuses on the pricing and hedging problems of financial derivatives in a Markov-modulated exponential-Lévy model. Such model is built on a Markov additive process as much as the Black-Scholes model is based on Brownian motion. Since there exist many sources of randomness, we are dealing with an incomplete market and this makes inoperative techniques initiated by Black, Scholes and Merton in the context of a complete market. We show that, by using some results of the theory of Markov additive processes it is possible to provide solutions to the previous problems. In particular, we characterize the martingale measure which minimizes the relative entropy with respect to the physical probability measure. Also under some conditions, we derive explicitly the optimal portfolio which allows an agent to minimize the local quadratic risk associated. Furthermore, in a more practical perspective we characterize the price of a European type option as the unique viscosity solution of a system of nonlinear integro-di erential equations. This is a rst step towards the construction of e ective numerical schemes to approximate options price.

傳統人壽保險契約之分析利用等價原則(principal of equivalience) 來對商品評價。即保險人所收保費之現值等於保險人未來責任(保險金額給付)之現值。然而對於權益連結壽險商品而言，其結合傳統商品之風險(如利率風險、死亡率風險等)與財務風險，故更增加其評價困難性。過去研究中在假設預定利率為常數與死亡率為給定的情況下，利用Black-Scholes (1973)評價公式推導出公式解。然而Black-Scholes評價公式是建構在完全市場上，對於權益連結壽險商品而言其已不符合完全市場之假設，因此本文放寬完全市場之假設來對此商品重新評價與避險。 在財務市場上，對於不完全市場(incomplete markets)下請求權(contingent claims)之評價與避險，已發展出數個不同評價方法。本文利用均數變異避險(mean-variance hedging)方法(Follmer&Sondermann ，1986)所衍生之風險極小化(risk-minimization)觀念來對此保險衍生性金融商品評價與避險，並找到一風險衡量測度(Moller , 1996、1998a、2000)來評估發行此商品保險人需承受多少風險。 / In this study, actuarial equivalent principle and no-arbitrage pricing theory are used in pricing and valuation for unit-linked life insurance policies.　Since their market values cannot be replicated through the self-finance strategies due to market incompleteness, the theoretical setup in Black and Scholes (1973) and Follmer and Sondermann (1986) are adopted to develop the pricing and hedging strategies. Counting process is employed to characterize the transition pattern of the policyholder and the linked assets are modeled through the geometric Brownian motions. Equivalent martingale measures are adapted to derive the pricing formulas. Since the benefit payments depend on the performance of the underlying portfolios and the health status of the policyholder, mean-variance minimization criterion is employed to evaluate the financial risk. Finally pricing and hedging issues are examined through the numerical illustrations. Monte Carlo method is implemented to approximate the market premiums according to the payoff structures of the policies. In this paper, we show that the risk-minimization criterion can be used to determine the hedging strategies and access the minimal intrinsic risks for the insurers.

C’est au cours de l’étude de la distinction entre la formation et l'exécution du contrat que s’est imposée une réflexion sur une autre alternative au modèle du contrat à exécution instantanée : le contrat de durée. En consacrant un modèle de contrat hors du temps le droit contractuel s’est construit sur une chimère. En effet, en niant l’infiltration du temps dans le contrat, les frontières entre la formation et l’exécution se sont fissurées. Devant cet état de fait, les attentes de clarification de la réforme furent nombreuses. Cependant, la réforme du droit des contrats bien que codifiant les apports épars de la jurisprudence n’en a pas tiré les conséquences de fond en consacrant une possible incomplétude du contrat à sa formation. En continuant à ignorer l’impact de la durée sur les contrats qui s’exécutent dans le temps, la réforme a aggravé l’éclatement des concepts et a empêché le droit commun d’évoluer.L’auteur s’est attaché donc à vouloir englober l’ensemble de la réalité contractuelle en faisant émerger à côté du modèle du contrat échange, le modèle du contrat de durée. La proposition d’un contrat de durée serait donc de nature à réconcilier le droit contractuel entre la culture contractuelle de l’échange et la culture contractuelle de la coopération qui prend naissance dans la durée. La durée du contrat transforme le contrat et émancipe son exécution en permettant au moment de la formation une certaine incomplétude. / While studying the distinction between the preparation and the execution of a contract, a reflection on a new alternative to the contract of instantaneous performance imposed itself: an adjustable circumstance-based contract. Devoted to a timeless model of contract, contract law has built itself on a pipe dream. Indeed, the negation of time’s infiltration in a contract led the boundaries between preparation and execution to crack apart. In front of this situation the expectations for clarification with the reform were numerous. However, the 2016 reform of contract law, although systematising the scattered provisions of case law, did not drew the needed conclusions by sanctioning the possible incompleteness of a contract in its preparation. Still ignoring time’s impact in time-based contracts, the 2016 reform has worsened the splitting of concepts and prevented the evolution of common right. Thus the author focused on embracing the whole of contractual reality and developing alongside the swap contract: the adjustable circumstance-based contract. Contract law has indeed been confronted to types of contract that struggled to integrate duration but which, in the need to happen alongside a unique swap model, distorted its concepts. This is why the offer of an adjustable circumstance-based contract would be able to reconcile, in contract law, the contract culture of swap and the contract culture of cooperation which arise in duration.