Variable Annuity with GMWB: surrender or not, that is the question

Under the optimal withdrawal strategy of a policyholder, the pricing of variable annuities with Guaranteed Minimum Withdrawal Benefit (GMWB) is an optimal stochastic control problem. The surrender feature available in marketed products allows termination of the contract before maturity, making it also an optimal stopping problem. Although the surrender feature is quite common in variable annuity contracts, there appears to be no published analysis and results for this feature in GMWB under optimal policyholder behaviour - results found in the literature so far are consistent with the absence of such a feature. Also, it is of practical interest to see how the much simpler bang-bang strategy, although not optimal for GMWB, compares with optimal GMWB strategy with surrender option. In this paper we extend our recently developed algorithm (Luo and Shevchenko 2015a) to include surrender option in GMWB and compare prices under different policyholder strategies: optimal, static and bang-bang. Results indicate that following a simple but sub-optimal bang-bang strategy does not lead to significant reduction in the price or equivalently in the fee, in comparison with the optimal strategy. We observed that the extra value added by the surrender option could add very significant value to the GMWB contract. We also performed calculations for static withdrawal with surrender option, which is the same as bang-bang minus the "no-withdrawal" choice. We find that the fee for such contract is only less than 1% smaller when compared to the case of bang-bang strategy, meaning that th "no-withdrawal" option adds little value to the contract.Comment: arXiv admin note: substantial text overlap with arXiv:1410.860

To Share or not to Share (Others' Data) - That is the Question

In her inaugural lecture of 9 June 2023 Prof. Dr. Franziska Weber delved into the conundrum of sharing others’ data: By sharing our personal data we also share – directly and indirectly – information about others. In some situations we are aware of this, in others less so. Weber outlines the social problems this entails with a special focus on negative data externalities. She then illustrates data valuation challenges and presents experimental insights which counter the claim that the sharing individuals are oblivious to the externality they create. She ends with some recommendations on how some fine-tuning of the current legal regime can improve incentives and outcomes on data markets by bringing them more in line with citizens’ preferences. It is striking that the General Data Protection Regulation (GDPR) is tailored to individual data subjects and largely neglects the interdependent notion of data. To improve the GDPR a stronger consideration of the other needs to implemented, be it when consenting, in the context of legitimate interests or other data processing grounds. It is, furthermore, desirable to reduce the processing of allegedly anonymous data which falls outside the scope of the GDPR

Ethnicity in management studies: to ask or not to ask, that is the question

Many global changes in the past three decades pose new challenges for contemporary management, including the perception of ethnicity by individuals in different geographic entities. In the European Union (E.U.), Central and Eastern Europe, and Lithuania in particular, ethnicity and social identity are challenged by contemporary political, business, and social life, especially after the dissolution of the USSR and the restoration of independence of nations. The purpose of this study is twofold. First, to provide empirical evidence that issues of ethnicity matter at different levels in an organizational context in this six-country study. Second, we contribute to the body of knowledge in management and social science research on demographic survey items such as ethnicity. We contribute to changing approaches to the logic of specific survey items and shed new light on the response rate challenges and fatigue that can weaken empirical studies and stagnate the implementation of new knowledge. Findings suggest that in more homogeneous societies or societies facing domestic unrest, the ethnicity question may be perceived as unexpected, taboo, discriminatory, or confusing. This uncertainty among respondents can lead to a high dropout rate in research. We provide six specific recommendations for future research designs to address this challenge

To recognise or not to recognise, that is NOT the question : family law and the Muslim community in Australia

The majority of young people experiment with alcohol use, smoking, drug use, and delinquency. In order to understand why adolescents are engaged in potential risk behaviors, it is important to look at the functions of these behaviors for adolescents' social and personal functioning. In this study, we examined whether substance use, transgressive behavior, and delinquency are related to the quality of peer relations. Univariate analyses of data of a study on five hundred eight 12–18-year-olds showed that substance use and transgressive behavior are positively related to both the quantity (chumship, size of network, and time spent with peers) and the quality (attachment, support, acceptance, and competence) of peer relations. The association with peer relations were less straightforward for adolescent delinquency. Hierarchical regression analyses, however, showed that when the associations of quantitative aspects of peer relations are controlled for, no additional effects of substance use and transgressive behavior emerged. This suggests that social functions of risk behaviors may be understood as providing the opportunity to intensify contacts with peers or initiate new relations that, in turn, may be related to peer relations in a positive sense

Alternative Methods of Calculating Optimal Timber Rotations: A Critique of the Stokey/Lucas/Prescott Tree-Cutting Problem

The traditional question of optimally deciding when to cut down a tree is among the most commonly posed questions asked of students learning the technique of dynamic programming. This paper shows that the traditional tree-cutting example is improperly formulated when the question of replanting is addressed, derives the proper method of finding optimal harvest length, and applies this method to an empirical forest growth function.forestry, dynamic programing, tree cutting problem

What to do when the world doesn't play along: life after moral error theory

This work addresses the ‘what next?’ question for moral discourse, which concerns the best choice of action given the truth of the moral error theory. The moral error theory comprises two claims: (i) that moral discourse is used assertorically, and (ii) that moral assertions systematically fail to state truths. The upshot of the moral error theory is that nothing is really right or wrong—indeed, that the very idea of things being right or wrong is fundamentally mistaken. And yet, I argue, there are strong ar-guments in favour of moral error theory. With such far-reaching implications, we’d do well to have some guidance regarding what we ought to do upon coming to be-lieve that the moral error theory is true. In the first part of this work, I evaluate the answers to the ‘what next?’ question that have been proposed in the current literature. These include a systematic revision of our moral concepts (revisionism), preserving moral language in the spirit of a use-ful fiction (fictionalism), ridding ourselves of moral discourse entirely (abolitionism), and making do with our current erroneous moral discourse (conservationism). I ar-gue that none of the first three proposals offer us an entirely satisfactory answer to the ‘what next?’ question. Conservationism is the most promising solution still on the table. However, conservationism is yet to be fully developed. In the second part of this work, I develop and motivate my own version of conservationism, and show that it is the most attractive response to the ‘what next?’ question; one that is capable of se-curing the many desirable practical goods that our moral practices provide