arXiv subjects

Ting Wang

Publications and source records attributed to Ting Wang.

256 records · Page 15Linked to original sources

arXiv2013

Active Microrheology of Driven Granular Particles

When pulling a particle in a driven granular fluid with constant force $F_{ex}$, the probe particle approaches a steady-state average velocity $v$. This velocity and the corresponding friction coefficient of the probe $ζ=F_{ex}/v$ are obtained within a schematic model of mode-coupling theory and compared to results from event-driven simulations. For small and moderate drag forces, the model describes the simulation results successfully for both the linear as well as the nonlinear region: The linear response regime (constant friction) for small drag forces is followed by shear thinning (decreasing friction) for moderate forces. For large forces, the model demonstrates a subsequent increasing friction in qualitative agreement with the data. The square-root increase of the friction with force found in [Fiege et al., Granular Matter $\boldsymbol{14}$, 247 (2012)] is explained by a simple kinetic theory.

cond-mat.soft↗

arXiv2010

Hedging Pure Endowments with Mortality Derivatives

In recent years, a market for mortality derivatives began developing as a way to handle systematic mortality risk, which is inherent in life insurance and annuity contracts. Systematic mortality risk is due to the uncertain development of future mortality intensities, or {\it hazard rates}. In this paper, we develop a theory for pricing pure endowments when hedging with a mortality forward is allowed. The hazard rate associated with the pure endowment and the reference hazard rate for the mortality forward are correlated and are modeled by diffusion processes. We price the pure endowment by assuming that the issuing company hedges its contract with the mortality forward and requires compensation for the unhedgeable part of the mortality risk in the form of a pre-specified instantaneous Sharpe ratio. The major result of this paper is that the value per contract solves a linear partial differential equation as the number of contracts approaches infinity. One can represent the limiting price as an expectation under an equivalent martingale measure. Another important result is that hedging with the mortality forward may raise or lower the price of this pure endowment comparing to its price without hedging, as determined in Bayraktar et al. [2009]. The market price of the reference mortality risk and the correlation between the two portfolios jointly determine the cost of hedging. We demonstrate our results using numerical examples.

q-fin.PR↗

arXiv2010

Optimal Reversible Annuities to Minimize the Probability of Lifetime Ruin

We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and who can purchase a reversible life annuity. The surrender charge of a life annuity is a proportion of its value. Ruin occurs when the total of the value of the risky and riskless assets and the surrender value of the life annuity reaches zero. We find the optimal investment strategy and optimal annuity purchase and surrender strategies in two situations: (i) the value of the risky and riskless assets is allowed to be negative, with the imputed surrender value of the life annuity keeping the total positive; or (ii) the value of the risky and riskless assets is required to be non-negative. In the first case, although the individual has the flexiblity to buy or sell at any time, we find that the individual will not buy a life annuity unless she can cover all her consumption via the annuity and she will never sell her annuity. In the second case, the individual surrenders just enough annuity income to keep her total assets positive. However, in this second case, the individual's annuity purchasing strategy depends on the size of the proportional surrender charge. When the charge is large enough, the individual will not buy a life annuity unless she can cover all her consumption, the so-called safe level. When the charge is small enough, the individual will buy a life annuity at a wealth lower than this safe level.

q-fin.RM↗

arXiv2006

Entanglement oscillations in open Heisenberg chains

We study pairwise entanglements in spin-half and spin-one Heisenberg chains with an open boundary condition, respectively. We find out that the ground-state and the first-excited-state entanglements are equal for the three-site spin-one chain. When the number of sites L>3, the concurrences and negativities display oscillatory behaviors, and the oscillations of the ground-state and the first-excited-state entanglements are out of phase or in phase.

quant-ph↗