POT Model Research Articles

A Research Based On POT-CAViaR Model of Extreme Risk Measure

Abstract In this paper, the CAViaR model was used to measure the HS300, HSI and N225 risk levels and result showed that CAViaR model was able to measure the sample risk value at the 5% confidence level. However, at the 1% confidence level, the CAViaR model severely underestimated the sample risk value. In order to solve this question, this paper introduces the POT model and CAViaR model to construct the extreme risk measure model based on POT-CAViaR model and the test shows that the improved model can effectively improve the accuracy of extreme risk prediction and the model validity is strengthened.

Research on the Pricing of Global Drought Catastrophe Bonds

The rapid development of catastrophe bonds provides a new idea for catastrophe risk dispersion, since its traditional means fail to afford the economic losses caused by the global drought catastrophe. With the deepening of the concept of the community with a shared future for mankind, there is an opportunity to issue global drought catastrophe bonds through international cooperation. Based on the data of global drought catastrophe losses from 1900 to 2018, this paper selects 21 countries as the primary participants of international cooperation and studies the pricing of drought catastrophe bonds by the POT model and high quantile estimation. The results show that the first-class bond has a 10% occurrence probability with the trigger point of $252.54 million, and the second-class one has a 35% occurrence probability with the trigger point being $117.13 million. In line with high quartile estimates, the one-year principal-protected catastrophe bonds with a face value of $1,000 are valued at $957.14 and $939.29, respectively. Besides, the principal portion of the lost bonds is $912.50 and $783.04, while the total of it is $867.86 and $626.79, respectively.

17: Vaginal hysterectomy model with vesicovaginal dissection - modifications to flower pot model

17: Vaginal hysterectomy model with vesicovaginal dissection - modifications to flower pot model

Influence on CO and PM Emissions of an Innovative Burner Pot for Pellet Stoves: An Experimental Study

In this study, an extensive set of experiments has been performed to investigate how the emissions of carbon monoxide (CO) and particulate matter (PM) from wood pellet combustion are correlated with the different layout of air inlets in the two burner pots of pellet stoves. In particular, emissions generated using a “traditional” burner pot are compared with those produced with an innovative one. Tests were carried out on four pellet stoves (8–11 kW burning power). Tests show that CO emissions can be reduced close to zero using the innovative burner pot. PM emissions are also reduced, but not as much as those of CO. This phenomenon is explained assuming that CO reduction implies a reduction of the organic part of PM, but not of the inorganic matter. Experiments also show an apparent dependence of PM release on the time from ignition for both burner pot models: PM emissions increase and the color of PM deposited on filters varies over a wide range. It is argued that this effect is due to ash accumulation on the bottom of the burner pot and to its interaction with the primary air stream that flows over it.

Risk Measurement of Chinese Stock Market Based on GARCH Model and Extreme Value Theory

The risk of the stock market has always been a hot issue for investors. This paper selects the daily closing price data of the Shanghai and Shenzhen 300 Index of the Shanghai stock exchange, the Shenzhen 300 Index of Shenzhen stock exchange, the Hang Seng Index of the Hong Kong stock exchange market and Taiwan Weighted Index of the Taiwan stock market and calculates logarithm and difference. The GARCH model is combined with the POT model of extreme value theory to measure the risk. Comparing the failure rates at the three significance levels of 0.05, 0.025 and 0.01, the failure rates are close to the level of significance, which conduct that the GARCH-POT model can measure the risk of Chinese stock market well.

气候变化背景下中国潜在颠覆性低碳技术识别及其分布特征研究——基于专利被引次数的POT模型

气候变化背景下中国潜在颠覆性低碳技术识别及其分布特征研究——基于专利被引次数的POT模型

Research on vehicle distribution model based on POT theory

The vehicle overload phenomenon in expressway has become increasingly serious in China. Research on the extreme value of the vehicle load with its development trend is an urgent problem in the toll-by-weight mode. On the basis of statistical analysis of WIM data in Beijing-Zhuhai Expressway, by the extreme value theory and POT theory, a POT model had been developed. Vehicle weight distribution in the tail of the distribution function was obtained, which can predict the extreme value of vehicle load in any return period. Results showed that more heavy vehicles will appear in the future. It provided a useful reference for effective forecast of overweight vehicles.

A Internet Supply Chain Operational Risk Integrated Model Based on Copula-POT

This paper will use risk management theory, select risk identification and risk measurement methods, to deeply analyse the Internet supply chain financial operational risk. Based on the classification of operational risk using FTA method, this paper selects the POT model which is used to measure the operational risk of the Internet supply chain finance. Considering the correlation between different loss types of operational risk, Copula function is introduced to better integrate the measurement Internet Supply Chain Financial Operational Risk. Finally, through empirical research, we will analyse the results.

Modeling of viscoelastic properties of nonpermeable porous rocks saturated with highly viscous fluid at seismic frequencies at the core scale

AbstractA core scale modeling method for viscoelastic properties of rocks saturated with viscous fluid at low frequencies is developed based on the stress‐strain method. The elastic moduli dispersion of viscous fluid is described by the Maxwell's spring‐dash pot model. Based on this modeling method, we numerically test the effects of frequency, fluid viscosity, porosity, pore size, and pore aspect ratio on the storage moduli and the stress‐strain phase lag of saturated rocks. And we also compared the modeling results to the Hashin‐Shtrikman bounds and the coherent potential approximation (CPA). The dynamic moduli calculated from the modeling are lower than the predictions of CPA, and both of these fall between the Hashin‐Shtrikman bounds. The modeling results indicate that the frequency and the fluid viscosity have similar effects on the dynamic moduli dispersion of fully saturated rocks. We observed the Debye peak in the phase lag variation with the change of frequency and viscosity. The pore structure parameters, such as porosity, pore size, and aspect ratio affect the rock frame stiffness and result in different viscoelastic behaviors of the saturated rocks. The stress‐strain phase lags are larger with smaller stiffness contrasts between the rock frame and the pore fluid. The viscoelastic properties of saturated rocks are more sensitive to aspect ratio compared to other pore structure parameters. The results suggest that significant seismic dispersion (at about 50–200 Hz) might be expected for both compressional and shear waves passing through rocks saturated with highly viscous fluids.

Experimental Investigations on the Stress State in the Bearing Structure of a Special Wagon to Transport Liquid Iron

Abstract In order to increase productivity, to reduce energy consumption and for environmental protection, a special wagon intended for the transport of liquid pig iron, in steel mills, it was designed and manufactured. This wagon consists of an especial chamotted torpedo, with a capacity of 300 tons, rested, at each end, by means of a box beam, on two buggies, with four axles each one. To evaluate the mechanical behavior of this wagon during service, its prototype was investigated experimentally in terms of the stress and strain state. Due to difficulties encountered related to the long duration of loading and unloading time of the torpedo pot with liquid cast iron and due to very large dimensions of the carriage gauge, experimental investigations were performed on the torpedo pot and box beam models, manufactured at scale. The buggy structure was investigated on a special stand, set up in the laboratory of Strength of Materials Department of the Polytechnic University of Bucharest. The torpedo pot and box beam were investigated using two combined experimental techniques (brittle coatings technique and resistive strain gauge technique). Brittle coatings technique was used to identify the principal stresses directions, which then were applied electro-resistive transducers. Using strain gauge amplifiers the principal strains were measured, and principal stresses in measurement points were calculated. The results of these studies have led to changes of constructive solutions in the case of some substructures, contributing to increase the operational safety of the wagon.

Study on POT model of vehicle load under toll-by-weight mode

The overload and overweight operations of vehicles in expressway are particularly serious in China recently. Research on the extreme maximum value of the vehicle loads is an urgent problem in the bridge design. On the basis of statistical analysis of the WIM data from Yu-Zhan Expressway under toll-by-weight mode in Guangdong Province, the POT probability model of gross weight of the vehicle was established by the extreme value theory. It can predict the probability distribution of operating vehicle loads in any recurrence period. Results showed that the overweight vehicles were not accidental, and there may be heavier vehicles in the future. It is necessary to improve and modify the current toll-by-weight charging policy.

POT Model of Operation Vehicle Load under Toll-by-weight Mode

The phenomenon of overload operation of Expressway vehicles is particularly serious in China recently. Research on the extreme value of the vehicle load and its development trend is an urgent problem in the design of toll-by-weight mode. On the basis of statistical analysis of a highway WIM data under toll-by-weight mode in Guangdong Province, the vehicle load according to the models of the gross vehicle weight of the statistical analysis by the extreme value analysis theory to establish the pot model, gross vehicle weight distribution in the tail of the distribution function is obtained, and scientifically predict future arbitrary reproduce that may arise during the period of vehicle load value. Results show that the high speed sections of large tonnage vehicles is not accidental, in the future may also appear more large tonnage vehicle load and to pose a serious threat to the safe operation of the bridges and roads. Finally, based on the research results, the toll-by-weight standards proposed improvement suggestions and comments. It provided a useful reference for effectively control ling overloading vehicle loads.

基于POT模型的地震再保险定价研究

中国是世界上自然灾害最为严重的国家之一，而再保险作为巨灾风险管理的有效手段，在我国的发展极不成熟。本文以地震巨灾为例，基于中国大陆地区1996年至2015年4.5级以上地震造成的直接经济损失数据，运用POT模型和广义帕累托分布(Generalized Pareto Distribution, GDP)对地震巨灾风险进行测算，并给出不同的置信度水平下VaR。最后，利用复合泊松分布的定义和性质给出再保险公司在不同免赔额下净保费的计算方法。为我国巨灾再保险定价研究提供了理论参考和数据支持。 China is one of the countries with serious natural disasters in the world. But as an effective means to manage catastrophe risk, reinsurance develops immaturely in our country. In this paper, we take earthquake catastrophe for example. Basing on the direct economic loss data of the earthquake which exceed the M4.5 class from 1996 to 2015, we use POT model and the distribution of GPD to calculate earthquake catastrophe risk and give the VAR under different levels of confidence. In the end, by using the definition and properties of compound Poisson distribution, we put forward a method to calculate the net premium under different deductible undertaken by the reinsurance company. The paper provides theory reference and data support for the study of catastrophe reinsurance pricing question in our country.

The American Reception and Settlement of Hungarian Refugees in 1956–1957

In the wake of the Hungarian Revolution of 1956, close to two hundred thousand Hungarians crossed into Austria. About thirty thousand of these refugees were allowed to enter the United States. Their common experience of living under totalitarian communism and participating or being a witness to the exhilarating thirteen days of the revolution and their sudden, previously unplanned, departure from the homeland gave them a collective identity that was different from the one shared by the people of previous waves of Hungarian influx to the United States. The high educational level of the refugees attained before and after their arrival made their absorption into the mainstream relatively easy. The integration process was facilitated by the shaping of a positive image of the 1956 refugees by the US government and the media. The reestablishment of the communist system in post-1956 Hungary contributed to the perception that, for the refugees in the United States, there was no hope for return to the homeland. This assumption strengthened the attitudes of those who wished to embrace the American melting pot model. Many of the 1956-ers in the United Sates, however, were also comfortable with the notion of ethnic pride and believed in the shaping of a dual national identity.

Effects of Temperature on the Wave Soldering of Printed Circuit Boards: CFD Modeling Approach

This study investigated the effects of temperature on the wave soldering of printed circuit boards (PCBs) using three-dimensional finite volume analysis. A computational solder pot model consisting of a six-blade rotational propeller was developed and meshed using tetrahedral elements. The leaded molten solder (Sn63Pb37) distribution and PCB wetting profile were determined using the volume of fluid technique in the fluid flow solver, FLUENT. In this study, the effects of five different molten solder temperatures (456 K, 473 K, 523 K, 583 K, and 643 K) on the wave soldering of a 70 mm × 146 mm PCB were considered. The effects of temperature on wetting area, wetting profile, velocity vector, and full wetting time were likewise investigated. Molten solder temperature significantly affected the wetting time and distribution of PCBs. The molten solder temperature at 523 K demonstrated desirable wetting distribution and yielded a stable fountain profile and was therefore considered the best temperature in this study. The simulation results were substantiated by the experimental results.

EVT and Its Application to Pricing of Catastrophe (Typhoon) Reinsurance

Extreme value theory is a branch of the theory of order statistics and it is a statistical study of extreme events disciplined approach. There is often extreme values in catastrophe losses, the use of traditional methods of statistical laws describe the amount of catastrophe losses would ignore the existence of extreme data. In this paper, we consider the premium of excess-of-loss reinsurance policies with different attachment points based on the idea of layered pricing using extreme value model, and we fit POT model to the typhoon loss date of Zhejiang Province to determine the pure premium of typhoon in the empirical analysis.

A computational fluid dynamics analysis of the wave soldering process

Purpose – The purpose of this paper is to present a three-dimensional finite volume-based analysis on the effects of propeller blades on fountain flow in a wave soldering process and performs an experimental validation. Design/methodology/approach – Solder pot models with various numbers of propeller blades were developed and meshed by using hybrid elements and simulated by using the FLUENT fluid flow solver. The characteristics of the fountain, such as flow profile, velocity vector, filling time, and fountain advancement, were investigated. Molten solder (Sn63Pb37) material, a temperature of 250°C, and a propeller speed of 830 rpm were applied in the simulation. The predicted results were validated by the experimental fountain profile. Findings – The use of a six-blade propeller in a solder pot increased the fountain thickness profile and reduced the filling time. Moreover, a six-blade propeller design resulted in a stable fountain profile and was considered the best choice for current wave soldering processes. Practical implications – This study provides a better understanding of the effects of propeller blades on the fountain flow in the wave soldering process. Originality/value – The study explores the fountain flow behavior and provides a reference to the engineers and designers in order to improve the fountain flow of the wave soldering.

An investigation of segregation and mixing in dense phase pneumatic conveying

Pneumatic conveying of bulk materials has become an important technology in many industries: from pharmaceuticals to petro-chemicals and power generation. Particulate segregation has been investigated in many solids handling processes. However, little work has been published on the segregation and mixing in pneumatic conveying pipelines, particularly in dense phase pneumatic conveying. Due to the character of dense phase flow, it is difficult to investigate the segregation in a flowing plug. A sampling device was designed and built to take samples from the pneumatic conveying pipeline after “catching a plug”. Several experiments were conducted over a range of gas–solids flow conditions with 3 mm nylon pellets and 3 mm ballotini as a segregating mixture. Experimental data combined with video footage were analysed to describe the segregation and mixing of solids plugs in pipes. This investigation provides initial research on establishing a segregation index in a flowing plug. A gas–solids two-dimensional mathematical model was developed for plug flow of a nylon-glass particulate mixture in a horizontal pipeline in dense phase pneumatic conveying. The model was developed based on the discrete element method (DEM). The model was used to simulate the motion of particles both in a homogeneous flow and as binary mixtures taking into account the various interactions between gas, particles and pipe wall. For the gas phase, the Navier Stokes equations were integrated by the semi-implicit method for pressure-linked equations (SIMPLE) using the scheme of Patankar employing the staggered grid system. For the particle motion the Newtonian equations of motion of individual particles were integrated, where repulsive and damping forces for particle collision, the gravity force, and the drag force were taken into account. For particle contact, a model with a simple non-linear spring and dash pot model for both normal and tangential components was used. This model employed a mixture of 3 mm pellets and ballotini as virtual materials with properties of nylon and glass. The results from the model are discussed and compared with experimental work and show qualitative agreement. Further modelling and experimental work in key areas is proposed.

An Application of EVT, GPD and POT Methods in the Russian Stock Market (RTS Index)

Traditional research methods adopts normal distributions as a pattern of the stock market behavior. This paper utilized POT model of extreme value theory, and GPD distribution which can give more accurate description on tail distribution of financial returns/losses. EVT and POT techniques are applied to a series of daily losses of the RTS index (RTSI) over a 15-year period (1995-2009), RTSI is total index of 50 largest Russian stocks. The focus is on the use of proposed methods to asses tail related risk providing a modeling tool for modern risk management.

Melting pot or multiculturalism? An answer through the Jewish education in the Uruguayan society of the 20th century.

Resumen. A Uruguay llegaron, hasta mediados del siglo pasado, inmigrantes de variadas procedencias. Bien pronto la cuestión de su integración se tornó en tema de interés para los intelectuales y políticos de la época. En un primer momento se pensó que, a través del llamado modelo del melting pot o «crisol de razas», los recién llegados se integrarían totalmente en nuestra sociedad. No obstante la realidad fue muy distinta porque, en la práctica, el modelo de integración que se fue dando en nuestro país fue otro, el multiculturalismo. Los centros de educación étnica que los diversos colectivos de inmigrantes fueron creando son una de las pruebas irrefutables de ello. En el presente trabajo se ahondará en esta última afirmación a través del análisis de la educación judía y su impronta en nuestra sociedad desde la llegada de los primeros judíos hasta la actualidad.