Sustainability of participation in collective pension schemes: An option pricing approach

This paper contributes to the discussion about mandatory participation in collective funded pension schemes. It explores under what circumstances individual participants exercise the option to exit such a scheme if participation is voluntary. We begin by showing how the willingness to participate increases if the period over which the option is valid becomes longer. Then, we demonstrate how the pension fund’s set of policy instruments can be deployed to minimize the likelihood that any cohort exits the pension scheme. The instruments consist of contribution and indexation policies. Recovery of the funding ratio, i.e. The ratio of assets over liabilities, to its regulatory target level may be based on uniform contributions or age-dependent contributions. Specifically, while the value of the exit option deters younger workers from exiting the pension fund, a uniform contribution policy encourages older workers to stay in the pension scheme

Effects of food on physical and sleep complaints in children with ADHD: a randomised controlled pilot study

Attention deficit/hyperactivity disorder (ADHD), a common behavioural disorder in children, may be associated with comorbid physical and sleep complaints. Dietary intervention studies have shown convincing evidence of efficacy in reducing ADHD symptoms in children. In this pilot study, we investigated the effects of an elimination diet on physical and sleep complaints in children with ADHD. A group of 27 children (3.8–8.5 years old), who all met the Diagnostic and Statistical Manual of Mental Disorders, Fourth Edition criteria for ADHD, were assigned randomly to either a diet group (15/27) or a control group (12/27). The diet group followed a 5-week elimination diet; the control group adhered to their normal diet. Parents of both groups had to keep an extended diary and had to monitor the behaviour and the physical and sleep complaints of their child conscientiously. The primary endpoint was the clinical response, i.e. a decrease of physical and sleep complaints, at the end of the trial, based on parent ratings on a Physical Complaints Questionnaire. The number of physical and sleep complaints was significantly decreased in the diet group compared to the control group (p < 0.001), with a reduction in the diet group of 77% (p < 0.001, effect size = 2.0) and in the control group of 17% (p = 0.08, effect size = 0.2). Specific complaints that were significantly reduced were in three domains: headaches or bellyaches, unusual thirst or unusual perspiration, and sleep complaints. The reduction of complaints seemed to occur independently of the behavioural changes (p = 0.1). However, the power of this comparison was low. A positive correlation existed between the reduction of physical and behavioural symptoms (p < 0.01). The reduction did not differ between children with or without an atopic constitution (p = 0.7). An elimination diet may be an effective instrument to reduce physical complaints in children with ADHD, but more research is needed to determine the effects of food on (functional) somatic symptoms in children with and without ADHD. This trial was registered as an International Standard Randomised Controlled Trial, ISRCTN47247160

Rapport Technische werkgroep economische scenario’s

Rapport over scenario's op het gebied van pensioenen

Convexity Adjustment for Constant maturity Swaps in a Multi-Curve Framework

In this paper we propose a double curving setup with distinct forward and discount curves to price constant maturity swaps (CMS). Using separate curves for discounting and forwarding, we develop a new convexity adjustment, by departing from the restrictive assumption of a flat term structure, and expand our setting to incorporate the more realistic and even challenging case of term structure tilts. We calibrate CMS spreads to market data and numerically compare our adjustments against the Black and SABR (stochastic alpha beta rho) CMS adjustments widely used in the market. Our analysis suggests that the proposed convexity adjustment is significantly larger compared to the Black and SABR adjustments and offers a consistent and robust valuation of CMS spreads across different market conditions

Market consistent valuations with financial imperfection

In this paper, we study market consistent valuations in imperfect markets. In the first part of the paper, we observe that in an imperfect market one needs to distinguish two type of market consistencies, namely types I and II. We show that while market consistency of type I holds without very strong conditions, market consistency of type II (which in the literature is known as the usual definition of market consistency) is only well defined in perfect markets. This is important since the existing literature on market consistency considers perfect markets where the two market consistencies are equivalent. In the second part of the paper, by introducing a best estimator we find strong connections between hedging and market consistency of either type. We show under very general conditions, the type I and the type II market consistent evaluators are best estimators, and establish a two-step representation for the market consistent risk evaluators. In the third part of the paper, we present several families of market consistent evaluators in imperfect markets

Adult attention deficit hyperactivity disorder is associated with asthma

<p>Abstract</p> <p>Background</p> <p>Attention deficit hyperactivity disorder (ADHD) is increasingly recognized as a common disorder not only in children, but also in the adult population. Similarly, asthma also has a substantial prevalence among adults. Previous studies concerning a potential relationship between ADHD and asthma have not presented consistent results.</p> <p>Methods</p> <p>A cross-sectional study of 594 adult patients diagnosed with ADHD, compared with 719 persons from the general population. Information was collected between 1997 and 2005 using auto-questionnaires rating past and present symptoms of ADHD, co-morbid conditions, including asthma, and work status.</p> <p>Results</p> <p>The prevalence of asthma was significantly higher in the ADHD patient group compared to the controls, 24.4% vs. 11.3% respectively (OR = 2.54, 95% CI 1.89-3.44), and controls with asthma scored higher on ratings of both past and present symptoms of ADHD. Female ADHD patients had a significantly higher prevalence of asthma compared to male ADHD patients (30.9% vs. 18.2%, OR = 2.01, CI 1.36-2.95), but in controls a slight female preponderance was not statistically significant. In both ADHD patients and controls, having asthma was associated with an increased prevalence of symptoms of mood- and anxiety disorders.</p> <p>Conclusions</p> <p>The present findings point to a co-morbidity of ADHD and asthma, and these patients may represent a clinical and biological subgroup of adult patients with ADHD.</p