On the Projection of Mortality Rates to Extreme Old Age

This article shows how cohort mortality rate projections of mortality models that involve age effects can be improved and extended to extreme old ages. The proposed approach allows insurers to use such mortality models to obtain valuations of financial instruments such as annuities that depend on projections of extreme old age mortality rates

A Simple Approach to Project Extreme Old Age Mortality Rates and Value Mortality-Related Financial Instruments

This article shows how mortality models that involve age effects can be fitted to ages beyond the sample range using projections of age effects as replacements for age effects that might not be in the sample. This ‘projected age effect’ approach allows insurers to use age-effect mortality models to obtain valuations of financial instruments such as annuities that depend on projections of extreme old ag

A Framework for Integrating Transportation Into Smart Cities

In recent years, economic, environmental, and political forces have quickly given rise to “Smart Cities” -- an array of strategies that can transform transportation in cities. Using a multi-method approach to research and develop a framework for smart cities, this study provides a framework that can be employed to: Understand what a smart city is and how to replicate smart city successes; The role of pilot projects, metrics, and evaluations to test, implement, and replicate strategies; and Understand the role of shared micromobility, big data, and other key issues impacting communities. This research provides recommendations for policy and professional practice as it relates to integrating transportation into smart cities

A nonequilibrium thermodynamic approach to biological energy conversion systems

Energy conversion devices are commonly built from individual subunits in order to increase the force or flow that can be obtained from the device. Examples occur in both engineering and biology and include the cylinders of an internal combustion engine, the plates of a battery, the cross-bridges of muscle, and the active transport complexes in a cell membrane;This work describes the behavior of assemblies of individual energy converting subunits. The linear phenomenological laws of nonequilibrium thermodynamics are used as constitutional equations that describe the relationship between the forces and flows of a subunit. These relationships along with the restrictions imposed because of the organization of the system are used to derive equations relating the overall flows and forces. Two types of systems have been considered where the total input flow is the sum of the individual input flows, and the output flow is either also the sum of the subunit flows or is the same as each subunit flow. Most of the effort has been directed toward describing systems in which the subunits are not all phenomenologically identical and the fractions of subunit types vary. Systems containing two distinct types of subunit have been studied. Several properties are investigated, including limiting operating states and the input flows needed to support these states. An overall coupling coefficient is derived that represents an effectiveness factor for the system. More complex systems are briefly discussed;As an example, muscle contraction has been considered as a system where the output flow is the same for each subunit. Unfortunately, because it is not yet possible to measure the number of active subunits in muscle, applications of the theory is limited to describing properties that do not depend on the number of subunits. These include the maximum contraction velocity, the isometric rate of adenosine triphosphate hydrolysis, and the system coupling. The theory is applied to phosphorylation, calcium binding and isoenzymes variations that have been found to affect the mechanical and chemical properties of muscle

Good Practice Principles in Modelling Defined Contribution Pension Plans

We establish 16 good practice principles in modelling defined contribution pension plans. These principles cover the following issues: model specification and calibration; modelling quantifiable uncertainty; modelling member choices; modelling member characteristics, such as occupation and gender; modelling plan charges; modelling longevity risk; modelling the post-retirement period; integrating the pre and post-retirement periods; modelling additional sources of income, such as the state pension and equity release; modelling extraneous factors, such as unemployment risk, activity rates, taxes and entitlements; scenario analysis and stress testing; periodic updating of the model and changing assumptions; and overall fitness for purpose

Discounting the Discounted Projection Approach

UK equity release actuaries are using a flawed approach to value the no-negative equity guarantees in their equity release mortgages. The approach they use, the Discounted Projection approach, incorrectly uses projected future house prices as the underlying prices in their put option pricing equations. The correct approach uses forward house prices. The Discounted Projection approach entails significant under-valuations of no negative equity guarantees and over-valuations of equity release mortgages and can produce valuations that violate rational pricing principles. The Discounted Projection approach is also inconsistent with both actuarial and accounting standards. Our results have significant ramifications for equity release industry practice and prudential regulation