Managing longevity risk for UK pension funds

Mestrado em Actuarial ScienceAtualmente, as entidades gestoras de fundos de pensões têm mostrado alguma preocupação em relação ao risco dos seus participantes viverem mais do que o inicialmente esperado, assim como em relação ao impacto desta situação nas reservas mantidas pelos fundos para pagamento de pensões a partir da reforma. Não é novidade para quem trabalha nesta área de negócios que as taxas de mortalidade têm vindo a decrescer nos últimos anos a um ritmo acelerado. Esta tendência é motivada pelas melhorias na área da saúde, avanços tecnológicos e na capacidade das empresas e consultores financeiros de anteciparem este risco e limitar os seus efeitos, Não existindo um mercado real para monitorizar e calcular o risco atribuído ao fato da população viver até mais tarde, várias pesquisas têm vindo a ser conduzidas de modo a conseguir gerir melhor este risco, ao qual chamamos risco de longevidade. Este trabalho explora o risco de longevidade no mercado de fundo de pensões do Reino Unido, no contexto de um estágio curricular numa grande consultora internacional, e introduz modelos estocásticos estudados no passado, relacionando os mesmos com algumas ferramentas e software relevantes. O principal objetivo deste relatório foi estudar as transações usadas tipicamente para gerir o risco de longevidade. Uma aplicação de um dos modelos estocásticos usando o software R é também usada para o propósito desta análise, assim como para estimar os parâmetros do modelo e usar os resultados como uma possível ilustração.It is no news to anyone in this industry that mortality rates have been decreasing faster year by year. Such a trend is driven by health improvements, technological advances, and the ability of firms and investment advisers to anticipate risk and limit its effects. Since there is no real market per say to monitor or calculate that risk attributed with people living longer, research has been extensively conducted to manage such risk. This risk is called longevity risk and it directly affects the mortality assumptions set by the team of actuaries conducting a valuation. In this paper we explore longevity risk in the UK pension fund market, in the context of an internship at a major consultancy, and introduce stochastic based models that have been studied in the past, relating these to some relevant tools and software. We emphasize the importance of managing this risk and present innovations in recent years that are related to longevity risk. Several investment techniques / financial products are introduced within the research paper. The focus of this paper was on the transactions that are used typically to manage longevity risk. An application of one of the stochastic models is used using R software package for the purpose of our analysis, so as to estimate the parameters for that model and use the results as a possible illustration.info:eu-repo/semantics/publishedVersio

The impact of vitamin D on disease activity in Crohn's disease

Canada has the highest rate of Inflammatory Bowel Disease (IBD) in the world with approximately 0.67%. One of the primary nutritional health issues faced by Crohn’s disease (CD) patients is vitamin D deficiency, which can subsequently lead to more serious health complications. Vitamin D is shown to act as a modulator for the autoimmune system among CD patients. Phase I study aimed to determine vitamin D concentrations and disease activity among CD cases in Canada and Saudi Arabia, and evaluate the impact of higher doses of vitamin D compared to EAR on disease activity among CD patients. This pilot study was a double blind, randomized, control trial involving approximately 60 recent, active CD patients engaged in induction therapy. The sample size includes patients in Saskatoon, Saskatchewan, Canada (n=30) and Riyadh, Saudi Arabia (n=30). The patients have been divided into three groups to receive different oral doses of vitamin D including: 1: 400 IU/day (Control group, EAR level) 2: 2,000 IU/day 3: 10,000 IU/day. Data were collected at baseline (0), end of 9 weeks (end of intervention), and at 2 months follow-up. Along with anthropometric measurements participants undergo laboratory examinations such as, WBC, HGB, Hct, platelets, ferritin, vitamin D, hsCRP and calprotection, undertake the Health related quality of life (HRQOL), and fill out socio-demographic and physical activity questionnaires. We also assessed their dietary intake at the baseline and Week 9 using two sets of three 24-hour dietary recalls. Due to a small sample size (n=9 cases) we have recruited, we presented Phase I as a case series. Phase II study determined the association between vitamin D concentrations and disease activity among CD cohort in Saskatoon, Canada. In a retrospective cohort design, we studied 201 CD patients; 116 participants had vitamin D data. We extracted data from medical records over three years at IBD clinic, Royal University Hospital, Saskatoon, Canada. I evaluated the association between vitamin D status (serum 25OHD) and indicator of disease activity (hsCRP) as well as Harvey-Bradshaw index (HBI) in CD patients. The analyses conducted in the presence of other potential factors in three-time points (baseline, midpoint, last visit) using generalized estimating equation (GEE). Vitamin D concentrations was improved significantly from baseline to the last visit (p=0.005). At the baseline, mean 25OHD was 58.2±30.0 nmol/L; 26% of patients had optimal, 30% had adequate, 26% had insufficient, and 18% patients had deficient vitamin D levels. At the midpoint, mean serum vitamin D concentrations was 60.1±31.2 nmol/L; 31.3% had optimal level, 31,3% patients had insufficient level, 22.1% patients had adequate level, and 15.2% patients were vitamin D deficient. At final visit, mean vitamin D was 74.5±42.6 nmol/L; 43.9% patients had optimal and 24.2% patients had adequate levels of vitamin D, while 18.1% patients were vitamin D insufficient and 13.6% patients had vitamin D deficiency. Vitamin D concentrations showed significant inverse association with hsCRP level over 15 months. Compared to vitamin D deficient category, patients in other categories (including insufficient, adequate and optimal levels of vitamin) had significantly lower hsCRP level over time (p <0.05). Vitamin D deficiency was associated with higher disease activity in Crohn’s disease patients. Higher vitamin D (25OHD) concentrations was associated with lower D disease activity levels in Crohn’s patients over 15 months

Математична модель хаосу, викликаного міжнародною торгівлею

The basic effects and patterns that characterize the Keynesian model of business cycle have been modeled using the system of linear differential equations. The solutions of the system, which describes the interaction of two or three states are found, and stability of this system was investigated. The majority of economic processes proceed in time. Owing to this, corresponding mathematical models are basically dynamic and nonlinear.The similar phenomena were observed in 4 dimentional models for economy of two states. Thus the required combination of parameters has been found, and the hypothesis of chaos as a result of globalization has been proved to be true, even for the elementary models.Основные эффекты и закономерности, которые характеризуют кейнсианские модели делового цикла были смоделированы с помощью системы линейных дифференциальных уравнений. Найдены решения системы, которая описывает взаимодействие двух или трех государств, и исследована стабильность этой системы.Основні ефекти і закономірності, які характеризують кейнсіанські моделі ділового циклу, були змодельовані за допомогою системи лінійних диференціальних рівнянь. Знайдені розв'язки системи, яка описує взаємодію двох або трьох держав, і досліджувана стабільність цієї системи

PRICE ELASTICITY AND DETERMINANTS OF RESIDENTIAL WATER CONSUMPTION IN AL AIN REGION

This thesis is concerned with the effect of water price on residential water consumption in the Al Ain region. Water demand worldwide significantly increased due to high population growth, climate change, and lifestyle changes. Fulfilling the growing water demand by constantly increasing supply has several environmental and economic implications. Water management strategies assist in driving the water industry to develop better solutions to address the increase in water demand. The UAE recently shifted its water management strategies towards demand management to reduce the growing demand in the country. Water pricing is considered one of the important tools to reduce residential water consumption in Abu Dhabi and the Al Ain region. However, the impact of pricing on consumption rates should be investigated. This study includes a detailed review of Abu Dhabi and Al Ain’s policies concerning water demand management. Besides, it includes an intensive review of research studies concern with the price elasticity of demand in the residential sector. The review showed that price, income, and weather characteristics have been considered significant in most of the previous research. An investigation into the determinants of water consumption in Al Ain, UAE was conducted. 400 households in the Al Ain region were selected. Water consumption data and other household characteristics were collected for two years (2016- 2017) to evaluate the effectiveness of the new pricing tariff (implemented at the start of 2017). Data for the pricing structure, consumer characteristics, property characteristics, and weather characteristics have been collected from governmental authorities. Data gaps were identified, and a questionnaire was designed to collect missing data for the different determinants. Results of the questionnaire show that there are 2 to 3 males and females per household in the majority number of the sample. Further, 68.1% of the household sample have an income range from 11 to 30 thousand AED. Data collected was transformed and used to construct a representative balanced panel data. Using econometric techniques, a semi-log model was developed to identify the effect of different significant determinants on residential water consumption. The study results show that the significant determinants include water price, income level, average temperature, number of adults, children, and elderly, and the existence of a swimming pool, garden, and water-saving device. The coefficients of time-invariant variables were estimated using OLS and RE estimation techniques. The price elasticity of demand was found to be inelastic at values ranging between 0.231 to 0.364 using different estimation techniques This study is envisioned to help in evaluating the effects of a price change on water consumption. The results of this study could help in incorporating the impact of pricing strategies on existing water demand forecasting models. The outcomes of this study can be of benefit to decision-makers and stakeholders in the UAE and other similar nation

Математична модель хаосу, викликаного міжнародною торгівлею

The basic effects and patterns that characterize the Keynesian model of business cycle have been modeled using the system of linear differential equations. The solutions of the system, which describes the interaction of two or three states are found, and stability of this system was investigated. The majority of economic processes proceed in time. Owing to this, corresponding mathematical models are basically dynamic and nonlinear.The similar phenomena were observed in 4 dimentional models for economy of two states. Thus the required combination of parameters has been found, and the hypothesis of chaos as a result of globalization has been proved to be true, even for the elementary models.Основные эффекты и закономерности, которые характеризуют кейнсианские модели делового цикла были смоделированы с помощью системы линейных дифференциальных уравнений. Найдены решения системы, которая описывает взаимодействие двух или трех государств, и исследована стабильность этой системы.Основні ефекти і закономірності, які характеризують кейнсіанські моделі ділового циклу, були змодельовані за допомогою системи лінійних диференціальних рівнянь. Знайдені розв'язки системи, яка описує взаємодію двох або трьох держав, і досліджувана стабільність цієї системи

Management of container-based genetic algorithm workloads over cloud infrastructure

This paper proposes two approaches to managing the workload of multiple instances of genetic algorithms (GAs) running as containers over a cloud environment. The aim of both approaches is to obtain, for as many instances as possible, a GA output which achieves a user-defined fitness level by a user-defined deadline. To reach such a goal, the proposed approaches allocate the GA containers to cloud nodes and carefully control the execution of every GA instance by forcing them to run in stages. The paper proposes two approaches, fitness tracking (FT) and fitness prediction (FP), with both approaches compared against state-of-the-art container-based orchestration approaches

Potential Effectiveness of TED talks in developing listening Reflections of Jordanian Participants in United Nations Police Monitors Courses

This study examinesthe perceptions of participants in UN police monitors courses about the effectiveness of TED (technology, entertainment and design)talksin developing their listening. The researchersused a qualitative research design on25 purposefully-selected participants in the police monitor course held at the Jordanian police peacekeeping institute. The TED talks-based program aimed at offering the participants opportunities for practicing listening and raising their awareness of the benefits of using TED talks for academic purposes. The training lasted for four weeks during the first police monitor course of 2018. The findings show that TED talks were reported to positively affect the participants\u27 perceptions of the effectiveness of these talks in improving their listening. The participants were reportedly highly satisfied with the content, method and time of training as well as their interaction, motivation and benefit from it. The study concludes with several recommendations and implications for EFL teachers, educational policy makers, and textbook designers

Deep learning for COVID-19 diagnosis based on chest X-ray images

Coronavirus disease 2019 (COVID-19) is a recent global pandemic that has affected many countries around the world, causing serious health problems, especially in the lungs. Although temperature testing is suggested as a firstline test for COVID-19, it was not reliable because many diseases have the same symptoms. Thus, we propose a deep learning method based on X-ray images that used a convolutional neural network (CNN) and transfer learning (TL) for COVID-19 diagnosis, and using gradient-weighted class activation mapping (Grad-CAM) technique for producing visual explanations for the COVID-19 infection area in the lung. The low sample size of coronavirus samples was considered a challenge, thus, this issue was overridden using data augmentation techniques. The study found that the proposed (CNN) and the modified pre-trained networks VGG16 and InceptionV3 achieved a promising result for COVID-19 diagnosis by using chest X-ray images. The proposed CNN was able to differentiate 284 patients with COVID-19 or normal with 98.2 percent for training accuracy and 96.66 percent for test accuracy and 100.0 percent sensitivity. The modified VGG16 achieved the best classification result between all with 100.0 percent for training accuracy and 98.33 percent for test accuracy and 100.0 percent sensitivity, but the proposed CNN overcame the others in the side of reducing the computational complexity and training time significantly

Investigating the production of multiple bio-products from cassava peel and date seed through an Integrated biorefinery approach

The environmental damage from fossil fuels due to harmful emissions and the desire to find alternative sustainable energy sources led to this investigation of utilising biomass energy. Food wastes are considered one of the important sustainable sources of energy. Exploiting them in the production of energy may lead to avoiding the damage resulting from their accumulation. In this study, the possibility of exploiting the waste/unused product from cassava and date were explored as they are an important food used by many nations. Globally about 550 million metric tons of cassava and 9 million tons of dates are produced annually. Several bio-products can be produced from cassava peel starch and date seed oil, in addition, biogas can be produced through the anaerobic digestion process. The cassava peels have a considerable amount of starch and date seeds contain oil, so this study aims to explore the effect of starch and oil extracted from them on the quantity and quality of the resulting biogas. It also contributes to demonstrating the possibility of benefiting from producing bio-products from extracted starch and oil such as adhesive, biodiesel and glycerine. Overall this research has investigated the production of multiple bio-products from cassava peel and date seed using an integrated biorefinery approach. Cassava peel was treated by beating pre-treatment process to chop and slice the peel and extract the starch at the same time. The date seeds were treated using a grains and stones grinding machine. The digestate resulting from the anaerobic digestion was tested to determine starch and oil extraction effects on the resulting digestate. The influence of temperature, volatile solid and sludge quantity were investigated with the aid of Design of Experiments (DOE). An optimisation process was carried out to calculate the energy balance at the optimal results and evaluate the impact of the extraction process on the biogas and digestate produced, calculating the production costs of biodiesel, the adhesive and the preliminary analysis of process boundary, thus to evaluate its biorefinery applications. The study revealed that the influence of the starch on the biogas quantity and quality was quite low. Simultaneously, the oil extraction process contributed to the decrease in the amount of biogas and methane. The addition of cassava peels and date seeds before and after starch and oil extraction contributed to increase biogas and methane yields. The highest biogas volume obtained from the cassava peel, date seed and extracted oil date seed was 3830 ml, 4140 ml and 3534 ml respectively. The maximum methane per gram volatile solid added was 850 ml /g-VS, 1143.8 ml /g-VS and 949.6 ml /g-VS respectively. The percentage of oil extracted from date seeds was approximately 16% of the date seed weight, while the biodiesel and glycerine accounted for 79% and 9% of it. The starch- based adhesives showed high adhesion strength to the plywood and paperboard specimens. The laboratory tests of the resulting digestate proved that the anaerobic digestion process contains the necessary elements in fertiliser, so this test aims to gain more knowledge about the digestate. Overall, the study investigated the feasibility of an integrated biorefinery approach to the use of cassava peel and date seeds; to produce several bio-products and proper waste management with promising results