Longevity hedge effectiveness: A decomposition

We use a case study of a pension plan wishing to hedge the longevity risk in its pension liabilities at a future date. The plan has the choice of using either a customised hedge or an index hedge, with the degree of hedge effectiveness being closely related to the correlation between the value of the hedge and the value of the pension liability. The key contribution of this paper is to show how correlation and, therefore, hedge effectiveness can be broken down into contributions from a number of distinct types of risk factors. Our decomposition of the correlation indicates that population basis risk has a significant influence on the correlation. But recalibration risk as well as the length of the recalibration window are also important, as is cohort effect uncertainty. Having accounted for recalibration risk, additional parameter uncertainty has only a marginal impact on hedge effectiveness. Finally, the inclusion of Poisson risk only starts to become significant when the smaller population falls below about 10,000 members over age 50. Our case study shows that, at least for medium and large pension plans, longevity risk can be substantially hedged using index hedges as an alternative to customised longevity hedges. As a consequence, when the hedger's population involves more than about 10,000 members over age 50, index longevity hedges (in conjunction with the other components of an ALM strategy) can provide an effective and lower cost alternative to both a full buy-out of pension liabilities or even to a strategy using customised longevity hedges

Large-scale periodicity in the distribution of QSO absorption-line systems

The spatial-temporal distribution of absorption-line systems (ALSs) observed in QSO spectra within the cosmological redshift interval z = 0.0--4.3 is investigated on the base of our updated catalog of absorption systems. We consider so called metallic systems including basically lines of heavy elements. The sample of the data displays regular variations (with amplitudes ~ 15 -- 20%) in the z-distribution of ALSs as well as in the eta-distribution, where eta is a dimensionless line-of-sight comoving distance, relatively to smoother dependences. The eta-distribution reveals the periodicity with period Delta eta = 0.036 +/- 0.002, which corresponds to a spatial characteristic scale (108 +/- 6) h(-1) Mpc or (alternatively) a temporal interval (350 +/- 20) h(-1) Myr for the LambdaCDM cosmological model. We discuss a possibility of a spatial interpretation of the results treating the pattern obtained as a trace of an order imprinted on the galaxy clustering in the early Universe.Comment: AASTeX, 13 pages, with 9 figures, Accepted for publication in Astrophysics & Space Scienc

Wildlife trail or systematic? Camera trap placement has little effect on estimates of mammal diversity in a tropical forest in Gabon

peer reviewedCamera traps (CTs) have been increasingly used for wildlife monitoring worldwide. In the tropics, most CT inventories target wildlife‐friendly sites, and CTs are commonly placed towards wildlife trails. However, it has been argued that this placement strategy potentially provides biased results in comparison to more systematic or randomized approaches. Here, we investigated the impact of CT placement on the remotely sensed mammal diversity in a tropical forest in Gabon by comparing pairs of systematically placed and wildlife‐trail‐oriented CTs. Our survey protocol consisted of 15–17 sampling points arranged on a 2 km2 grid and left for one month in the field. This protocol was replicated sequentially in four areas. Each sampling point comprised a CT pair: the ‘systematic CT’, installed at the theoretical point and systematically oriented towards the most uncluttered view; and the ‘trail CT’, placed within a 20‐m radius and facing a wildlife trail. For the vast majority of species, the detection probabilities were comparable between placements. Species average capture rates were slightly higher for trail‐based CTs, though this trend was not significant for any species. Therefore, the species richness and composition of the overall community, such as the spatial distribution patterns (from evenly spread to site‐restricted) of individual species, were similarly depicted by both placements. Opting for a systematic orientation ensures that pathways used preferentially by some species—and avoided by others—will be sampled proportionally to their density in the forest undergrowth. However, trail‐based placement is routinely used, already producing standardised data within large‐scale monitoring programmes. Here, both placements provided a comparable picture of the mammal community, though it might not be necessarily true in depauperate areas. Both types of CT data can nevertheless be combined in multi‐site analyses, since methods now allow accounting for differences in study design and detection bias in original CT data.Programme de Promotion de l’Exploitation Certifiée des Forêts (PPECF

The state of the Martian climate

60°N was +2.0°C, relative to the 1981–2010 average value (Fig. 5.1). This marks a new high for the record. The average annual surface air temperature (SAT) anomaly for 2016 for land stations north of starting in 1900, and is a significant increase over the previous highest value of +1.2°C, which was observed in 2007, 2011, and 2015. Average global annual temperatures also showed record values in 2015 and 2016. Currently, the Arctic is warming at more than twice the rate of lower latitudes

Aligning simulation models: A case study and results

This paper develops the concepts and methods of a process we will call “alignment of computational models” or “docking” for short. Alignment is needed to determine whether two models can produce the same results, which in turn is the basis for critical experiments and for tests of whether one model can subsume another. We illustrate our concepts and methods using as a target a model of cultural transmission built by Axelrod. For comparison we use the Sugarscape model developed by Epstein and Axtell.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/44707/1/10588_2005_Article_BF01299065.pd