A practical problem often encountered with observed count data is the presence of excess zeros. Zero-inflation in count data can easily be handled by zero-inflated models, which is a two-component mixture of a point mass at zero and a discrete distribution for the count data. In the presence of predictors, zero-inflated Poisson (ZIP) regression models are, perhaps, the most commonly used. However, the fully parametric ZIP regression model could sometimes be restrictive, especially with respect to the mixing proportions. Taking inspiration from some of the recent literature on semiparametric mixtures of regressions models for flexible mixture modeling, we propose a semiparametric ZIP regression model. We present an "EM-like" algorithm for estimation and a summary of asymptotic properties of the estimators. The proposed semiparametric models are then applied to a data set involving clandestine methamphetamine laboratories and Alzheimer's disease.

Rupture of abdominal aortic aneurysm (AAA) is a catastrophic event that leads to high mortality and morbidity in patients. The primary causes associated with aneurysm rupture remain poorly understood despite rigorous investigations. Reports have shown that AAA that went on to rupture or present ruptured had higher peak wall tension (stress resultant) than those that did not go on to rupture or present ruptured. Studies investigating the material strength of ruptured AAA and unruptured AAA revealed that the uniaxial failure strength in ruptured AAA is no different on average than unruptured AAA. However, it is poorly understood whether uniaxial failure properties are reliable as they are not indicative of the manner in which failure occurs in biological soft tissues. Multi-axial failure properties using a bubble inflation test (BIT) have been implemented by various groups but have not been directly compared against uniaxial failure properties. The current study seeks to develop a BIT apparatus, to compare multi-axial and uniaxial failure properties of fibrous anisotropic biological soft tissues (bovine aorta) and non-fibrous isotropic molded silicon, and to perform a survey of computational indices at the rupture sites of four ruptured AAA. Two versions of the BIT apparatus were developed: a manual that was developed allows for a large amount of failure properties to be extracted that can identify localized weaknesses. It was found that circumferentially oriented multi-axial failure was correlated with longitudinally oriented uniaxial failure properties, however, for oblique oriented multi-axial failure the correlation decreased. Utilizing the insights gained from the multi-axial experiments it was determined that the failure properties used in the computational study with the data from Raghavan et al. were appropriate for use in retrospective assessment of the rupture site in four ruptured AAA computational models. Although the study was inconclusive in finding causation, the rupture line of each aneurysm had indices ranging between the third quartile and peak values for tension to failure tension ratio, nodal displacement magnitude, strain energy per unit volume and strain energy per unit surface area. This study provides a framework for interrogating failure properties at a higher density of measurement and a heterogeneous computational model that has the potential to predict AAA rupture in the future.

The thesis documents the changes in Italian public opinion towards the Euro. Its aim is to assess the relevance of economic factors for the decline in Italian support for the common currency. The thesis begins by assessing the extent to which support for the Euro has declined in Italy. While there has been popular, media and political comment on this issue, the thesis investigates the changes in attitude through the use of survey material and concludes that there is compelling evidence that public support for the Euro has declined in Italy. The thesis adopts a utilitarian/rational choice approach in order to investigate the reasoning behind the Italian public's developing relationship with the single currency from 1998 to the present. Its central question is: How have economic factors impacted on the Italian public's support for the Euro? The analysis focuses on Italians' perceptions - not their actual knowledge - of national and individual level economic changes brought about by the single currency. The thesis investigates how such perceptions have impacted Italian popular support for the Euro over the period 1998-2007. The method employed in this thesis is primarily based around analysing quantitative data gathered from Standard and Flash Eurobarometers. Other sources considered are academic literature and newspaper articles. The analysis clearly suggests that Italians' optimism towards their national and personal economic situations have all decreased since the Euro was introduced, concurrently with their diminishing support for the Euro. This work suggests that the main reason for decreased support lies in Italian perceptions that the Euro has contributed to worsening economic situations at both the national and individual levels. In particular, Italians believe the Euro has spurred inflation and diminished their purchasing power, and accuse it of failing to promote economic growth and jobs. However, Eurobarometer data combined with newspaper articles indicate that it is the perceived economic consequences at the individual level - loss of purchasing power due to Euro-related price increases, and pessimism towards their household financial situation - that more strongly determine Italians' decreasing support for the Euro.

Since the founding of the People’s Republic of China in 1949, China has experienced ten business cyclical fluctuations. The economic growth was characterized by erratic ups and downs which lasted for several decades. With the economic reform and opening up to the outside world in 1978 as part of Deng Xiaoping’s market-oriented policy, the Chinese economy grew exponentially and the volatility of the GDP growth rate declined significantly. The macroeconomic control policies in the 1980s prevented large fluctuations in the country’s economic development, and smoothed the output volatility further. This study examines the output volatility in China and our result reveals the standard deviation of quarterly output growth rate has declined dramatically. Using the CUSUM squares test and the Quandt-Andrews breakpoint test to identify unknown structure breaks, we identified two structural breaks: 1994:1 towards destabilization and 1998:1 towards stabilization. We then examine the stochastic process for GDP and the result shows that the decrease in volatility can be traced primarily to a decrease in the standard deviation of output shocks. Following this, we reached two other conclusions. First, there is a strong relationship between movements in output volatility and the movements in inflation volatility. Both output and inflation volatilities increased significantly during the third and fourth quarter of 1994 and both dropped sharply after 1996, which followed a similar path over the period. Second, using the standard decomposition of GDP, the decrease in output volatility can be traced to a decrease in the volatility of consumption, investment, and net export, especially rural consumption expenditure and residential investment.

La grande précision des mesures du fond diffus cosmologique nécessitent de comprendre avec finesse la physique sous-jacente afin d'en tirer des conclusions pertinentes sur la phase primordiale de l'univers. Dans cette thèse nous étudions la théorie des perturbations non-linéaires dans le cadre de la relativité générale. Notre but est de déterminer le transfert des perturbations de la métrique ainsi que des perturbations du contenu matériel,<br />entre la phase primordiale de l'univers et les observations réalisées<br />aujourd'hui. Nous nous plaçons tout d'abord dans l'approximation fluide afin d'appréhender les comportements généraux attendus. Ensuite nous étudions la théorie cinétique au second ordre, nécessaire pour obtenir le transfert radiatif non-linéaire, dans le but de déterminer la non-gaussianité dans le<br />fond diffus cosmologique. <br />Nous étudions également la théorie des perturbations linéaires<br />autour d'espaces anisotropes. Nous élaborons la théorie des perturbations invariantes de jauge autour d'un espace de Bianchi I, puis nous étudions les signatures observationnelles d'une phase primordiale d'inflation possédant cette symétrie.

Cette thèse porte sur l'étude de divers modèles d'univers primordial et leur observabilité dans les anisotropies du rayonnement fossile. Dans la première partie sont exposées les équations d'évolution des perturbations cosmologiques. On y fait un rappel de la physique du rayonnement fossile, et l'influence des différents paramètres cosmologiques y est présentée. Les trois parties suivantes s'intéressent à différents scénarios d'univers primordial. La deuxième partie porte sur les scénarios à base de sources actives, dont font partie les défauts topologiques. Les différences majeures avec les scénarios inflationnaires y sont exposées. On y détaille notamment l'importance des effets non linéaires dans l'évolution des sources et de leurs interactions non gravitationnelles avec le reste de l'univers. La troisième partie porte sur les scénarios inflationnaires, et discute les hypothèses habituellement faites à propos de l'état des perturbations en fin d'inflation. L'accent est mis sur l'importance de la modélisation de ces conditions initiales pour pouvoir extraire des informations précises sur les paramètres cosmologiques à partir des observations des anisotropies du rayonnement fossile. Enfin, la quatrième partie traite des scénarios de quintessence, et notamment de l'influence de ce champ scalaire sur la dynamique des perturbations cosmologiques. Il est montré que ces modèles font des prédictions assez différentes des scénarios avec constante cosmologique.

<p>Av flera anledningar har i många länder mål för prisstabilitet ersatt den aktiva stabiliseringspolitiken där mål för nationalprodukt och sysselsättning stått i centrum. Centralbanker bedriver och har bedrivit penningpolitik för att uppnå prisstabilitet på olika sätt och det ärdenna fråga som står i fokus i denna uppsats. Detta aktualiseras ytterligare då den europeiska centralbanken (ECB) är i ett startskede vad det gäller att bedriva penningpolitik med prisstabilitet som primärt mål. I detta perspektiv är det av intresse att studera Bundesbank närmare då denna under relativt lång tid bedrivit penningpolitik inriktad på prisstabilitet. För att belysa frågan om penningpolitik har, efter en teoretisk presentation, en empirisk studie av Bundesbank genomförts. Den studerade perioden sträcker sig från 1975 fram till 1996. Grunden för arbetet är följande frågeställningar: (1)Hur framgångsrik har Bundesbank varit med sin penningpolitik? (2)I vad mån har monetarismens läror satt sina spår i Bundesbanks penningpolitik? (3)Diskussion om ECB:s framtid med beaktande av de kunskaper studiet av Bundesbank ger. Bundesbank kan sägas ha bedrivit penningpolitik med prisstabilitet som primärt mål relativt framgångsrikt. Vissa fakta talar för att det är Bundesbanks styrka som institution, där transparens och trovärdighet spelat en stor roll, som ligger bakom framgången. Monetarismen kan sägas ha lämnat ett avtryck i Bundesbanks penningpolitik i form av en viss överhängande prägel på den penningpolitiska designen. I praktiken är dock spåren från monetarismen vaga. Penningmängdens betydelse vid genomförandet av penningpolitiken kan ifrågasättas. Den kanske viktigaste lärdomen är nog hur Bundesbank fungerat som institution.</p>

<p>In the beginning of 1990s Sweden implemented several measures in order to maintain price stability. These measures have resulted in an environment in which inflation is lower and more stable. The same development could be seen in other OECD countries. At the same time a decrease in exchange rate pass-through was noticed in many countries. This has led researchers to believe that there may be a connection, between these two phenomena. This dissertation analyzes whether there has been any change in exchange rate pass-through for manufacturing products in Sweden between the high inflation period (1977-1993) and the low inflation period (1994-2006). The result shows that there is a difference in the exchange rate pass-through between the two periods. During the low inflation period the degree of pass-through was lower than during the high inflation period.</p>

In this work we contribute to the literature about the optimal asset allocation in continuous-time. In particular, we consider the problem of maximising the expected utility of the investor's final wealth over a finite time horizon. We develop a suitable framework in the dynamic stochastic optimal control theory in order to analyse the optimal asset allocation problem for an institutional investor like a bank, an insurance company, an investment fund, or a pension fund. Such an investor cannot control the contributions to and withdrawals from the managed wealth. In fact, while the classical consumption-portfolio problem considers consumption as a control variable, in our analysis the flows of wealth that are different from the coupons and dividends, are just state variables. We refer to them as "background variables". Furthermore, the analysis explicitly takes into account the inflation risk that is generally neglected by the asset allocation literature. In such a context we present some quasi-explicit solutions for the optimal asset allocation problem without specifying any particular functional form for the drift and diffusion terms of the stochastic differential equations describing the financial market, the background variables, and inflation. The institutional investor's attitude towards risk is supposed to be described by an increasing and concave utility function whose risk aversion is absolutely constant, relatively constant, or hyperbolic according to the problem setting that must be solved. Finally, we explicitly consider the case of a pension fund that must maximise the expected utility of its surplus. Unlike the analyses studying the problem of a non-actuarial institutional investor, the case of a pension fund requires the introduction of two new characteristics: (i) the different behaviour of the fund's wealth during the accumulation and the decumulation phases, and (ii) the mortality risk. We develop a set up aimed at finding out how and how much this mortality risk affects the optimal asset allocation./ Dans ce travail nous donnons une contribution à la litérature de l'allocation optimale du portefeuille en temps continu. En particulier, nous analysons le problème d'un investisseur qui veut maximiser la valeur espérée de l'utilité de sa richesse, avec un horizon temporel fini. En utilisant la théorie du contrôle optimal dynamique, on developpe un modèle dédié à l'analyse de l'allocation optimal de portefeuille pour un investisseur institutionnel tel qu'une banque, une compagnie d'assurance, un fond commun d'investissement ou un fond de pension. Un tel investisseur ne peut pas contrôler les contributions et les prelèvements du fond géré. En effet, même si l'approche classique optimise soit le portefeuille soit la consommation intertemporelle en considérant les prélèvements du fond dûs à la consommation comme une variable de contrôle, dans notre approche les flux de richesse qui diffèrent des coupons et dividends, sont tout simplement des variables d'état. On appellera ces variables "variables de background". De plus, notre analyse rend compte explicitement du risque d'inflation qui est généralement négligé par la literature sur l'allocation des actifs financiers. Dans ce contexte nous présentons une solution quasi-explicite pour l'investissement optimal sans spécifier acune forme fonctionnelle ni pour les dérives, ni pour les diffusions des équations stochastiques qui décrivent le marché financier, les variables de background et l'inflation. Nous supposons que l'attitude envers le risque de l'investisseur institutionnel est décrit par une fonction d'utilité croissante et concave, dont l'aversion au risque est absolument constante, relativement constante ou hyperbolique selons la structure du problème qui doit être resolu. Finalement nous analyson explicitement le cas d'un fond de pension qui veut maximiser la valeur espérée de sons surplus. Contrairement aux modèles qui étudient un investisseur qui est institutionnel mais pas actuarial, le cas d'un fond de pension requiert l'introduction de deux nouvelles characteristiques: (i) le comportement différent de la richesse du fond pendant les phases d'accumulation et de décumulation, et (ii) le risque de mortalité. Nous developpons un modèle afin de déterminer comment et combien le risque de mortalité affecte l'allocation optimale de portefeuille.

This thesis presents the main results of my research in the field of computational finance and portfolios optimization. We focus on pricing Asian basket options and portfolio problems in the presence of inflation with stochastic interest rates. In Chapter 2, we concentrate upon the derivation of bounds for European-style discrete arithmetic Asian basket options in a Black and Scholes framework.We start from methods used for basket options and Asian options. First, we use the general approach for deriving upper and lower bounds for stop-loss premia of sums of non-independent random variables as in Kaas et al. [Upper and lower bounds for sums of random variables, Insurance Math. Econom. 27 (2000) 151–168] or Dhaene et al. [The concept of comonotonicity in actuarial science and finance: theory, Insurance Math. Econom. 31(1) (2002) 3–33]. We generalize the methods in Deelstra et al. [Pricing of arithmetic basket options by conditioning, Insurance Math. Econom. 34 (2004) 55–57] and Vanmaele et al. [Bounds for the price of discrete sampled arithmetic Asian options, J. Comput. Appl. Math. 185(1) (2006) 51–90]. Afterwards we show how to derive an analytical closed-form expression for a lower bound in the non-comonotonic case. Finally, we derive upper bounds for Asian basket options by applying techniques as in Thompson [Fast narrow bounds on the value of Asian options, Working Paper, University of Cambridge, 1999] and Lord [Partially exact and bounded approximations for arithmetic Asian options, J. Comput. Finance 10 (2) (2006) 1–52]. Numerical results are included and on the basis of our numerical tests, we explain which method we recommend depending on moneyness and time-to-maturity In Chapter 3, we propose some moment matching pricing methods for European-style discrete arithmetic Asian basket options in a Black & Scholes framework. We generalize the approach of Curran M. (1994) [Valuing Asian and portfolio by conditioning on the geometric mean price”, Management science, 40, 1705-1711] and of Deelstra G., Liinev J. and Vanmaele M. (2004) [Pricing of arithmetic basket options by conditioning”, Insurance: Mathematics & Economics] in several ways. We create a framework that allows for a whole class of conditioning random variables which are normally distributed. We moment match not only with a lognormal random variable but also with a log-extended-skew-normal random variable. We also improve the bounds of Deelstra G., Diallo I. and Vanmaele M. (2008). [Bounds for Asian basket options”, Journal of Computational and Applied Mathematics, 218, 215-228]. Numerical results are included and on the basis of our numerical tests, we explain which method we recommend depending on moneyness and time-to-maturity. In Chapter 4, we use the stochastic dynamic programming approach in order to extend Brennan and Xia’s unconstrained optimal portfolio strategies by investigating the case in which interest rates and inflation rates follow affine dynamics which combine the model of Cox et al. (1985) [A Theory of the Term Structure of Interest Rates, Econometrica, 53(2), 385-408] and the model of Vasicek (1977) [An equilibrium characterization of the term structure, Journal of Financial Economics, 5, 177-188]. We first derive the nominal price of a zero coupon bond by using the evolution PDE which can be solved by reducing the problem to the solution of three ordinary differential equations (ODE). To solve the corresponding control problems we apply a verification theorem without the usual Lipschitz assumption given in Korn R. and Kraft H.(2001)[A Stochastic control approach to portfolio problems with stochastic interest rates, SIAM Journal on Control and Optimization, 40(4), 1250-1269] or [45].