Cheng Man. / "August 2004." / Thesis (Ph.D.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (p. 236-256) / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Mode of access: World Wide Web. / Abstracts in English and Chinese.

本研究主要探討附保證最低提 (Guaranteed Minimum Withdrawal Benefits, GMWB)的變額(Variable Annuity, VA) 在隨機模型下之定價。保證最低提是變額的一種附加約 (rider) 並在市場下跌的情況下為變額持有人提供保障。它保證持有人在合約期內的總提少於一個預先訂的額，而變額的投資表現。一般，這個保證額相等於變額的初始投資額。本研究的融模型假設投資標的基價格符合對維過程 (exponential Lévy process)，而隨機則符合由維過程驅動的瓦西克模型 (Vasiček model)。融模型中的個維過程的相依結構 (dependence structure) 會由維關結構 (Lévy Copula) 描述。這個方法的好處是可描述同型的相依結構。用一個配合維關結構而有效的蒙地卡模擬方法，我們研究在同相依結構及模型下保證最低提的價值變化。在固定的特別情況下，保證最低提的價值能夠透過卷積方法 (convolution method) 而得到半解析解 (semi-analytical solution) 。最後，我們將本研究中的學模型擴展以研究近期出現由保證最低提演化而成的一種保證產品。這個產品名稱為保證終身提 (Guaranteed Lifelong Withdrawal Benefit, GLWB)，而此產品的到期日則與持有人的壽命相關。 / In this thesis, we study the problem of pricing the variable annuity(VA) with the Guaranteed Minimum Withdrawal Benefits (GMWB) under the stochastic interest rate framework. The GMWB is a rider that can be elected to supplement a VA. It provides downside protection to policyholders by guaranteeing the total withdrawals throughout the life of the contract to be not less than a pre-specied amount, usually the initial lump sum investment, regardless of the investment performance of the VA. In our nancial model, we employ an exponential L´evy model for the underlying fund process and a Vasiček type model driven by a L´evy process for the interest rate dynamic. The dependence structure between the two driving L´evy processes is modeledby the L´evy copula approach whichis exible to model a wide range of dependence structure. An effcient simulation algorithm on L´evy copula is then used to study the behavior of the value of the GMWB when the dependence structure of the two L´evy processes and model parameters Vry. When the interest rate is deterministic, the value of the GMWB can be solved semi-analytically by the convolution method. Finally, we extend our model to study a recent variation of GMWB called Guaranteed Life long Withdrawal Benefits (GLWB) in which the maturity of the GLWB depends on the life of the policyhodler. / Detailed summary in vernacular field only. / Chan, Wang Ngai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2012. / Includes bibliographical references (leaves 115-121). / Abstracts also in Chinese. / Abstract --- p.i / Acknowledgement --- p.iv / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Variable Annuity & Guaranteed Minimum Withdrawal Benefit --- p.1 / Chapter 1.2 --- Literature Review --- p.4 / Chapter 1.3 --- Financial Model for GMWB --- p.7 / Chapter 2 --- L´evy Copulas and the Simulation Algorithm --- p.12 / Chapter 2.1 --- Definitions and Theorem --- p.15 / Chapter 2.2 --- Examples of L´evy Copulas --- p.19 / Chapter 2.2.1 --- Independence case --- p.19 / Chapter 2.2.2 --- Complete Dependence --- p.20 / Chapter 2.2.3 --- The Clayton L´evy Copula --- p.21 / Chapter 2.3 --- Simulation algorithm for two-dimensional dependent L´evy process --- p.22 / Chapter 3 --- Model Formulation for GMWB --- p.26 / Chapter 3.1 --- Financial Model for GMWB --- p.27 / Chapter 3.2 --- Underlying Fund of VA and the Interest Rate --- p.30 / Chapter 3.3 --- A Special Case of Deterministic Interest Rate --- p.34 / Chapter 4 --- Numerical Implementation --- p.38 / Chapter 4.1 --- The Clayton L´evy Copula --- p.39 / Chapter 4.2 --- The Underlying Fund and the Interest Rate Processes --- p.42 / Chapter 4.3 --- Kendall’s Tau Coefficient --- p.47 / Chapter 4.4 --- The GMWB Option Value --- p.49 / Chapter 4.4.1 --- Control Variate for Simulation --- p.49 / Chapter 4.4.2 --- Simulation Results --- p.51 / Chapter 4.5 --- Deterministic Interest Rate --- p.52 / Chapter 5 --- GMWB Pricing Behavior --- p.56 / Chapter 5.1 --- L´evy model for the underlying fund --- p.57 / Chapter 5.1.1 --- The Skewness --- p.57 / Chapter 5.1.2 --- The Kurtosis --- p.65 / Chapter 5.2 --- The Vasiček model driven by L´evy process --- p.73 / Chapter 5.2.1 --- The Volatility Parameter ôV --- p.73 / Chapter 5.2.2 --- The Mean Reverting Parameter aV --- p.77 / Chapter 5.3 --- Dependence between the underlying fund and rate processes --- p.81 / Chapter 5.3.1 --- The jump direction dependence parameter n{U+1D9C} --- p.83 / Chapter 5.3.2 --- The jump magnitude dependence parameter θ{U+1D9C} --- p.90 / Chapter 6 --- GMWB for Life --- p.96 / Chapter 6.1 --- Model Formulation --- p.98 / Chapter 6.1.1 --- Mortality model --- p.99 / Chapter 6.1.2 --- Financial Model for GLWB --- p.101 / Chapter 6.2 --- GLWB product from John Hancock --- p.103 / Chapter 6.3 --- GLWB Pricing Behavior --- p.104 / Chapter 6.3.1 --- The correlation effect --- p.106 / Chapter 7 --- Conclusion --- p.108 / A Proofs --- p.113 / Chapter A.1 --- Proof of Equation 3.1 --- p.113 / Chapter A.2 --- Proof of Equation 3.3 --- p.114 / Bibliography --- p.115

Communication trough documents have become a key element in every company?s life, communication channels expanded to include not just print but fax, web and email. Marketing and market studies repeatedly show that personalized documents (delivered through these channels) can positively influence customer relationship hereby help to achieve business success. For IT companies these changes created an exciting new opportunity to develop new solutions and offer new services. There are several companies on the market of personalized document creation which offering high quality product and services. Therefore it might not be easy to make the right choice, to find the most fitting solution and the best vendor. The main objective of this thesis is to provide detailed information about personalized document creation in general and to introduce the market leading vendors and their technology.

A variable screening method is introduced to reduce the computational cost caused by the curse of dimension of high dimensional problem in RBDO. The screening method considers the output variance of the constraint functions and uses test-of-hypothesis to filter necessary variables. Also, the method is applicable to implicit functions as well as explicit functions. Suitable number of samples to obtain consistent test result is calculated. 3 examples are demonstrated with detailed variable screening procedure and RBDO result.

Hops are one of the four main ingredients used to produce beer. Many studies have been done to analyze the science behind growing and harvesting hops, creating hop hybrids, and how to brew beer with hops. However, there has been little research done revolving around the economic demand and supply model of the hop market. The objectives of this study are to create an econometric model of supply and demand of hops in the United States from 1981 to 2012, and to identify important exogenous variables that explain the supply and demand of hops using the two-stage least squares (2SLS) method of analysis. Using the 2SLS method, the demand model yielded that the US beer production variable is significant at the 10 percent level. For every 1 percent change in US beer production, there will be a 6.25 percent change in quantity of hops demanded in the same direction. The supply model showed that US acreage is significant at the 1 percent level. For every 1 percent change in US acreage, there will be a 0.889 percent change in quantity of hops supplied in the same direction. The implications of this study are viewed in relation to both producers and consumers.

Aujourd’hui, l’amélioration des fréquences de coupure des transistors sur silicium en technologie CMOS et BiCMOS permet la conception d’applications au-delà de 110 GHz. Des recherches antérieures dans le cadre du laboratoire commun entre STMicroelectronics et l’IEMN ont permis le développement de méthodologies et d’outils de caractérisation en régime petit signal jusque 325 GHz et en bruit jusque 110 GHz. L’objectif de cette thèse est la conception d’un outil de caractérisation en bruit au-delà de 110 GHz pour permettre l’extraction des quatre paramètres de bruit des transistors. Après une présentation des difficultés liées à la caractérisation millimétrique sur silicium, la deuxième première partie de ce travail se consacre au développement d’un banc de mesure de bruit dans la bande 130 – 170 GHz. Son optimisation a permis d’obtenir un facteur de bruit du récepteur inférieur à 7 dB sur toute la bande de fréquences. La conception de tuners intégrés sur silicium en technologie BiCMOS9MW est ensuite détaillée. Leur réalisation a permis l’extraction des quatre paramètres de bruit d’un transistor bipolaire en technologie BiCMOS9MW dans la bande 130 – 170 GHz. La dernière partie de ce travail présente la mesure et l’extraction des modèles petit signal et de bruit jusque 110 GHz des transistors MOSFET et TBH avancés de STMicroelectronics permettant l’établissement d’une base de données pour des caractérisations au-delà de 110 GHz. Enfin, une ouverture vers un système de mesure de bruit totalement intégré sur silicium est évoquée pouvant permettre des caractérisations en bruit au-delà de 170 GHz. / Today, cut-off frequencies improvement of silicon transistors in CMOS and BiCMOS technologies allow the design of applications over 110 GHz. Prior research in common lab between STMicroelectronics and IEMN allowed methodologies and characterization studies in small signal up to 325 GHz and noise up to 110 GHz. This thesis objective is the development of noise characterization setup over 110 GHz to allow silicon transistor four noise parameters extraction. After a presentation of characterization difficulties on silicon, the second part of this work is devoted to noise setup development in 130 – 170 GHz frequency range. The optimization of the setup allowed us to obtain a receiver noise factor below 7 dB. Silicon in-situ tuner design is then detailed. Achievement of these tuners gave us the possibility to extract the four noise parameters of a bipolar transistor in BiCMOS9MW technology in 130 – 170 GHz frequency range. The last part of this work presents small signal and noise model extraction up to 110 GHz of STMicroelectronics advanced MOSFET and HBT transistors to allow database building which will be useful to permit noise characterizations of these transistors over 110 GHz. Finally, the possibility to develop complete on wafer noise system on silicon is mentioned to provide noise characterization over 170 GHz.

The variable reluctance motor (VRM) is known for its structural simplicity, lower cost and capability of higher specific outputs compared with the AC induction motor. These favourable attributes arise from the way the torque is generated. An asymmetric half bridge would commonly be used as the controller for the VRM. It is also a relatively simple circuit because unlike the requirement with an AC induction motor, the imput current for a VRM would only need to be able to travel in one direction.

A Variable Stability Flight Simulator is being developed in the School of Aerospace, Mechanical and Mechatronic Engineering at the University of Sydney, Australia. The device is being developed both as a teaching tool for use in flight mechanics courses in the department and as a research tool. It is reasonable to state that learning is enhanced through the experience of concepts outside of the classroom environment. It is intended that the device will be integrated into the department�s teaching program in aircraft flight mechanics. Initial studies centred around a PC based flight simulation developed at the Cranfield College of Aeronautics in the United Kingdom. This system utilises a distributed architecture with several computers connected via Ethernet. It also employs a Primary Image three channel visual system. The system has been further enhanced by the addition of a Link flight simulator provided by the Royal Australian Air Force (RAAF). The RAAF had been using the simulator as a training tool for some years until it had become surplus to requirements. Most of the work in the project has centred around re-engineering this simulator into a viable research/education tool. The Cranfield system has been incorporated into the Link simulator�s hardware to provide a fixed base simulation. The majority of the work described in this thesis revolved around the re-engineering of the flight control loading and motion systems. Previously these items were controlled by analogue circuitry with minimal digital interfaces to the main simulation software. The systems have been re-designed to replace much of the single model analogue circuitry with re-configurable digital control software. Doing so allows changes to be made to the systems in real time through a software interface. The software resides on a common computer that extensively interfaces with the rest of the simulation. To support the hardware involved and to provide for system operation and safety, an extensive Supervisory system has also been implemented. This system along with the motion and control loading software has been implemented in the Matlab / Real-Time Workshop environment. This gives the capability of making real-time changes to any part of the overall simulation. A variable stability module (vsm) is under development. The addition of this module will allow changes to be made to the simulation itself in real-time. The simulator is now functional with the motion and control loading systems operating as designed. Tuning of both systems has been done subjectively by the author. An initial objective analysis of the motion system has been undertaken in an attempt to verify the fidelity of the motion cues generated. A significant outcome of this project has been to create a safe, easily maintainable, re-configurable flight simulator from a large, complex, legacy system. The facility now forms a significant research and teaching tool in areas such as flight mechanics, propulsion, aircraft handling qualities and human factors.

This thesis addresses modeling transport phenomena in porous media with special attention being paid to convective characteristics of variable viscosity fluids in a homogeneous and isotropic medium. Two different categories of flows, with totally different driving forces, are considered being forced and free convection (both side and bottom heating, for a square enclosure, are studied). To account for property variation, the density is modeled by an Oberbeck–Boussinesq approximation while the viscosity is modeled by an exponential function. The limitations of the previous work, addressing the issue, are discussed in detail and improvements, in terms of thermo-hydraulic performance of the system are suggested. Dealing with the global aspects of the problem, the two major methods being the reference temperature and the property ratio approach are implemented. For natural convection problems, the former method is used; while for forced convection the latter is undertaken. New correlations, which are proved to be more accurate, are proposed for both forced and free convection problems. Besides, closed form solutions are reported for some cases of constant and variable viscosity. Convection visualization is also studied in detail where the concept of Energy Flux Vectors is put forward along with the application of heatlines and energy streamlines. It was mathematically shown that in two-dimensional space heatlines and energy streamlines, which were invented independently, are the same as each other. Moreover, the newly developed concept, energy flux vectors serve as a new tool for convection visualization with the main advantage that this new technique, unlike heatlines and energy streamlines, does not require further (and sometimes complicated) numerical analysis in addition to solving momentum and thermal energy equations. This, in its turn, reduces the time and computer resources required to see the flow of energy. Finally, in Chapter 7, the summary of the work along with the conclusions are presented. Finally, recommendations for future studies are put forward.

L'accroissement des fréquences d'alimentation des machines électriques à commutation électronique, en particulier les machines à réluctance variable à double saillance, et les formes non sinusoïdales de tension ou de courant nécessite la prise en compte des pertes magnétiques qui ne peuvent plus être négligées devant les pertes Joule.