Surplus analysis for variable annuities with a GMDB option

In this paper, we analyze the insurance surplus for a Variable Annuity contract with a Guaranteed Minimum Death Benefit (GMDB) option. Initially, we derive the first two moments of the distribution of the surplus; and subsequently, we develop the whole distribution using a stochastic model which involves an integrated analysis of financial and mortality risk for a portfolio of annuities with GMDB embedded options. We offer a model according which the premium can be modified as per the forecasts of mortality probabilities, interest rate and fund evolution. Moreover, the study enables us to determine the premium that leads to a required probability of insolvency, and so it can be used for an evaluation of the adequacy of solvency. Numerical examples illustrate the results

Robust optimization method of emergency resource allocation for risk management in inland waterways

This study proposes a robust optimization method for waterborne emergency resource allocation in inland waterways that addresses the uncertainties and mismatches between supply and demand. To accomplish this, we integrate the risk evaluation of maritime with a robust optimization model and employ the Entropy Weighted Method (EWM)-Technique for Order Preference by Similarity to Ideal Solution (TOPSIS)-Analytic Hierarchy Process (AHP) method to evaluate the risk of various areas. The approach enables exploration of the relationship between maritime risk and emergency resource allocation strategy. The robust optimization method is used to deal with uncertainty and derive the robust counterpart of the proposed model. We establish an emergency resource allocation model that considers both the economy and timeliness of emergency resource allocation. We construct an optimization model and transform it into an easily solvable robust counterpart model. The results demonstrate that the proposed method can adapt to real-world scenarios, and effectively optimize the configuration effect while improving rescue efficiency under reasonable resource allocation. Specifically, the proportion of rescue time saved ranges from 28.52% to 92.60%, and the proportion of total cost saved is 95.82%. Our approach has significant potential to provide a valuable reference for decision-making related to emergency resource allocation in maritime management

Mortality risk and the valuation of annuities with guaranteed minimum death benefit options: application to the Italian population

In this note, we describe the payoff of Guaranteed Minimum Death Benefit options (GMDB) embedded in annuity contracts and discuss their valuation using data for the Italian male population as a case study. These put options have stochastic maturity dates due to the involuntary exercise at the moment of death. We value the GMDB as a weighted average price of a set of deterministic put options with different maturity dates, where the weights are the probability of death at every date. We take into account the mortality risk and investigate the sensitivity of the price of the option to changes in mortality probability using both deterministic and stochastic approaches

Probabilistic expert systems for handling artifacts in complex DNA mixtures

This paper presents a coherent probabilistic framework for taking account of allelic dropout, stutter bands and silent alleles when interpreting STR DNA profiles from a mixture sample using peak size information arising from a PCR analysis. This information can be exploited for evaluating the evidential strength for a hypothesis that DNA from a particular person is present in the mixture. It extends an earlier Bayesian network approach that ignored such artifacts. We illustrate the use of the extended network on a published casework example

Facing the development challenge in Mozambique: an economywide perspective

"Following Mozambique's economic collapse in 1986, the country began a wide-ranging process of reform, with the support of the international community. The diagnosis was of an economy that failed to maintain monetary control, consumed beyond its means, focused production excessively on nontraded goods, and relied on inefficient and inflexible microeconomic structures. Nevertheless, Mozambique was also at war. The pace of stabilization and structural adjustment quickened after 1992, when, concurrent with the demise of apartheid, civil strife finally came to an end. After more than 10 years of adjustment, the reform program has now been essentially implemented. Yet, this does not imply, as shown in this study, that sufficient conditions for sustained economic development are in place. Mozambique remains very poor, and even under highly optimistic assumptions about the future, the development process is set to last for decades. This report attempts to respond to some of the basic development challenges facing Mozambique and to provide both qualitative and quantitative insights for policymaking in the years to come. Throughout, the issues addressed are approached from an economywide perspective ....Finally, this study aims to demonstrate that sophisticated analytical tools can be of significant value, even in “data-poor” situations. The need for a clear perspective and in-depth understanding of the socioeconomic complexities of the country in question stands out. However, while the analyses in this report are Mozambique specific, the basic analytical approach is replicable and could be brought to bear on other countries both within and outside Africa." From Authors' Introduction.Structural adjustment (Economic policy) Mozambique., Mozambique Economic conditions 1975- ., Mozambique Social conditions., Agriculture Economic aspects Africa., Poverty.,

Are the dimensions of private information more multiple than expected? Information asymmetries in the market of supplementary private health insurance in England

Our study reexamines standard econometric approaches for the detection of information asymmetries on insurance markets. We claim that evidence based on a standard framework with 2 equations, which uses potential sources of information asymmetries, should stress the importance of heterogeneity in the parameters. We argue that conclusions derived from this methodology can be misleading if the estimated coefficients in such an `unused characteristics' framework are driven by different parts of the population. We show formally that an individual's expected risk from the perspective of insurance, conditioned on certain characteristics (which are not used for calculating the risk premium), can equal the population's expectation in risk { although such characteristics are both related to risk and insurance probability, which is usually interpreted as an indicator of information asymmetries. We provide empirical evidence on the existence of information asymmetries in the market for supplementary private health insurance in the UK. Overall, we found evidence for advantageous selection into the private risk pool; ie people with lower health risk tend to insure more. The main drivers of this phenomenon seem to be characteristics such as income and wealth. Nevertheless, we also found parameter heterogeneity to be relevant, leading to possible misinterpretation if the standard `unused characteristics' approach is applied

Transient Heat Storage Systems

Phase change materials (PCM) have many applications in transient cooling systems, including those with high transient heat loads and low duty cycles. These materials allow a system to remain within a narrow temperature range with a relatively low weight compared to conventional heat sinks or high-power cooling systems. This senior capstone project includes the design of a PCM based thermal energy storage system to integrate into an existing cooling loop, as well as a determination of viable PCM’s for the application. This report contains the necessary information to build the test apparatus

Detection of denial of service attacks using database queries

In the current intrusion detection world, most intrusion detection systems output data into flat files. This project was conducted in order to improve intrusion detection data and alerts by writing them into a database system and analyzing them with SQL. A database plug-in was developed that helps to transition the data from an intrusion detection system to a database. Storing, analyzing, categorizing, and accessing data are major advantages and reasons for using databases in intrusion detection. Security analysts have to constantly perform the difficult task of sorting through a haystack of attack alerts, many of which turn out to be inaccurate. It is possible to make the job of managing these alerts, analyzing data with high precision, and searching for attacks or intrusions easier by using SQL based analysis. In addition, a statistical analysis was conducted and proved that such a method can be effective in detecting intrusions and increasing the security of the network

Regulating Complexity in Financial Markets

As the financial crisis has tragically illustrated, the complexities of modern financial markets and investment securities can trigger systemic market failures. Addressing these complexities, this Article maintains, is perhaps the greatest financial-market challenge of the future. The Article first examines and explains the nature of these complexities. It then analyzes the regulatory and other steps that should be considered to reduce the potential for failure. Because complex financial markets resemble complex engineering systems, and failures in those markets have characteristics of failures in those systems, the Article‟s analysis draws on chaos theory and other approaches used to analyze complex engineering systems

Sustainable supply chain management towards disruption and organizational ambidexterity:A data driven analysis

Balancing sustainability and disruption of supply chains requires organizational ambidexterity. Sustainable supply chains prioritize efficiency and economies of scale and may not have sufficient redundancy to withstand disruptive events. There is a developing body of literature that attempts to reconcile these two aspects. This study gives a data-driven literature review of sustainable supply chain management trends toward ambidexterity and disruption. The critical review reveals temporal trends and geographic distribution of literature. A hybrid of data-driven analysis approach based on content and bibliometric analyses, fuzzy Delphi method, entropy weight method, and fuzzy decision-making trial and evaluation laboratory is used on 273 keywords and 22 indicators obtained based on the experts’ evaluation. The most important indicators are identified as supply chain agility, supply chain coordination, supply chain finance, supply chain flexibility, supply chain resilience, and sustainability. The regions show different tendencies compared with others. Asia and Oceania, Latin America and the Caribbean, and Africa are the regions needs improvement, while Europe and North America show distinct apprehensions on supply chain network design. The main contribution of this review is the identification of the knowledge frontier, which then leads to a discussion of prospects for future studies and practical industry implementation