Pension schemes versus real estate

The demographic, economic and social changes that have characterized the last decades, and the dramatic financial crisis that has taken place since 2008, have led to a demand for structural changes in the pension sector and a growing interest in individual pension products. Hence the need, for most elderly people, to liquidate their fixed assets, which are usually the homes in which they live. This highlights products such as reverse mortgages and domestic reversibility plans. Within this context, we propose a contractual scheme where an immediate life annuity is obtained by paying a single-premium in the form of real estate rights (RERs), for example by transferring to an insurer the property title of a house or a similar realty, while keeping its usufruct or a restricted bundle of rights. The level of the installments depends on the fair value of the transferred RER at the contract’s issue, the life expectancy of the insured and the expected growth rate of the real estate market value. The contract design is developed by considering the control of the financial risk inherent in the contract itself, because of the prospective changes in the value of the RERs, and the level of the insurer’s leverage. Finally, we provide some numerical evidence of the proposed contractual structure, in order to compare the level of the installments according to the house return forecasts in different European countries

Early handling and repeated cross-fostering have opposite effect on mouse emotionality

Early life events have a crucial role in programming the individual phenotype and exposure to traumatic experiences during infancy can increase later risk for a variety of neuropsychiatric conditions, including mood and anxiety disorders. Animal models of postnatal stress have been developed in rodents to explore molecular mechanisms responsible for the observed short and long lasting neurobiological effects of such manipulations. The main aim of this study was to compare the behavioral and hormonal phenotype of young and adult animals exposed to different postnatal treatments. Outbred mice were exposed to (i) the classical Handling protocol (H: 15 min-day of separation from the mother from day 1 to 14 of life) or to (ii) a Repeated Cross-Fostering protocol (RCF: adoption of litters from day 1 to 4 of life by different dams). Handled mice received more maternal care in infancy and showed the already described reduced emotionality at adulthood. Repeated cross fostered animals did not differ for maternal care received, but showed enhanced sensitivity to separation from the mother in infancy and altered respiratory response to 6% CO2 in breathing air in comparison with controls. Abnormal respiratory responses to hypercapnia are commonly found among humans with panic disorders (PD), and point to RCF-induced instability of the early environment as a valid developmental model for PD. The comparisons between short-and long-term effects of postnatal handling vs. RCF indicate that different types of early adversities are associated with different behavioral profiles, and evoke psychopathologies that can be distinguished according to the neurobiological systems disrupted by early-life manipulation

Aharonov-Bohm oscillations in a mesoscopic ring with a quantum dot

We present an analysis of the Aharonov-Bohm oscillations for a mesoscopic ring with a quantum dot inserted in one of its arms. It is shown that microreversibility demands that the phase of the Aharonov-Bohm oscillations changes {\it abruptly} when a resonant level crosses the Fermi energy. We use the Friedel sum rule to discuss the conservation of the parity of the oscillations at different conductance peaks. Our predictions are illustrated with the help of a simple one channel model that permits the variation of the potential landscape along the ring.Comment: 11 pages, Revtex style, 3 figures under request. Submitted to Phys. Rev. B (rapid communications

Retrospective Cost Adaptive Control for Systems with Unknown Nonminimum-Phase Zeros

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/90721/1/AIAA-2011-6203-626.pd

The Poisson Log-Bilinear Lee-Carter Model: Applications Of efficient bootstrap methods to annuity analyses

Life insurance companies deal with two fundamental types of risks when issuing annuity contracts: financial risk and demographic risk. Recent work on the latter has focused on modeling the trend in mortality as a stochastic process. A popular method for modeling death rates is the Lee-Carter model. This methodology has become widely used, and various extensions and modifications have been proposed to obtain a broader interpretation and to capture the main features of the dynamics of mortality rates. In order to improve the measurement of uncertainty in survival probability estimates, in particular for older ages, the paper proposes an extension based on simulation procedures and on the bootstrap methodology. It aims to obtain more reliable and accurate mortality projections, based on the idea of obtaining an acceptable accuracy of the estimate by means of variance reducing techniques. In this way the forecasting procedure becomes more efficient. The longevity question constitutes a critical element in the solvency appraisal of pension annuities. The demographic models used for the cash flow distributions in a portfolio impact on the mathematical reserve and surplus calculations and affect the risk management choices for a pension plan. The paper extends the investigation of the impact of survival uncertainty for life annuity portfolios and for a guaranteed annuity option in the case where interest rates are stochastic. In a framework in which insurance companies need to use internal models for risk management purposes and for determining their solvency capital requirement, the authors consider the surplus value, calculated as the ratio between the market value of the projected assets to that of the liabilities, as a meaningful measure of the company's financial position, expressing the degree to which the liabilities are covered by the assets

Detecting Common Longevity Trends by a Multiple Population Approach

Recently the interest in the development of country and longevity risk models has been growing. The investigation of long-run equilibrium relationships could provide valuable information about the factors driving changes in mortality, in particular across ages and across countries. In order to investigate cross-country common longevity trends, tools to quantify, compare, and model the strength of dependence become essential. On one hand, it is necessary to take into account either the dependence for adjacent age groups or the dependence structure across time in a single population setting-a sort of intradependence structure. On the other hand, the dependence across multiple populations, which we describe as interdependence, can be explored for capturing common long-run relationships between countries. The objective of our work is to produce longevity projections by taking into account the presence of various forms of cross-sectional and temporal dependencies in the error processes of multiple populations, considering mortality data from different countries. The algorithm that we propose combines model-based predictions in the Lee-Carter (LC) framework with a bootstrap procedure for dependent data, and so both the historical parametric structure and the intragroup error correlation structure are preserved. We introduce a model which applies a sieve bootstrap to the residuals of the LC model and is able to reproduce, in the sampling, the dependence structure of the data under consideration. In the current article, the algorithm that we build is applied to a pool of populations by using ideas from panel data; we refer to this new algorithm as the Multiple Lee-Carter Panel Sieve (MLCPS). We are interested in estimating the relationship between populations of similar socioeconomic conditions. The empirical results show that the MLCPS approach works well in the presence of dependence

High performance polyethylene nanocomposite fibers

A high density polyethylene (HDPE) matrix was melt compounded with 2 vol% of dimethyldichlorosilane treated fumed silica nanoparticles. Nanocomposite fibers were prepared by melt spinning through a co-rotating twin screw extruder and drawing at 125°C in air. Thermo-mechanical and morphological properties of the resulting fibers were then investigated. The introduction of nanosilica improved the drawability of the fibers, allowing the achievement of higher draw ratios with respect to the neat matrix. The elastic modulus and creep stability of the fibers were remarkably improved upon nanofiller addition, with a retention of the pristine tensile properties at break. Transmission electronic microscope (TEM) images evidenced that the original morphology of the silica aggregates was disrupted by the applied drawing