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Evolution of coupled lives' dependency across generations and pricing impact
This paper studies the dependence between coupled lives - both within and across generations - and its effects on prices of reversionary annuities in the presence of longevity risk. Longevity risk is represented via a stochastic mortality intensity. Dependence is modelled through copula functions. We consider Archimedean single and multi-parameter copulas. We and that dependence decreases when passing from older generations to younger generations. Not only the level of dependence but also its features - as measured by the copula - change across generations: the best-fit Archimedean copula is not the same across generations. Moreover, for all the generations under exam the single-parameter copula is dominated by the two-parameter one. The independence assumption produces quantifiable mispricing of reversionary annuities. The misspecification of the copula produces different mispricing effects on different generations. The research is conducted using a well-known dataset of double life contracts
The management of de-cumulation risks in a defined contribution environment
The aim of the paper is to lay the theoretical foundations for the construction of a flexible tool that can be used by pensioners to find optimal investment and consumption choices in the distribution phase of a defined contribution pension scheme. The investment/consumption plan is adopted until the time of compulsory annuitization, taking into account the possibility of earlier death. The effect of the bequest motive and the desire to buy a higher annuity than the one purchasable at retirement are included in the objective function. The mathematical tools provided by dynamic programming techniques are applied to find closed form solutions: numer-ical examples are also presented. In the model, the trade-off between the different desires of the individual regarding consumption and final annuity can be dealt with by choosing appropriate weights for these factors in the setting of the problem. Conclusions are twofold. Firstly, we find that there is a natural time-varying target for the size of the fund, which acts as a sort of safety level for the needs of the pensioner. Secondly, the personal preferences of the pensioner can be translated into optimal choices, which in turn affect the distribution of the consumption path and of the final annuity
Factors associated with drunkenness episodes among adolescents: the role of parents, peers, attitudes and skills
Factors associated with cannabis use among adolescents: the role of parents, peers, attitudes and skills
Formation of the first three gravitational-wave observations through isolated binary evolution
During its first 4 months of taking data, Advanced LIGO has detected
gravitational waves from two binary black hole mergers, GW150914 and GW151226,
along with the statistically less significant binary black hole merger
candidate LVT151012. We use our rapid binary population synthesis code COMPAS
to show that all three events can be explained by a single evolutionary channel
-- classical isolated binary evolution via mass transfer including a common
envelope phase. We show all three events could have formed in low-metallicity
environments (Z = 0.001) from progenitor binaries with typical total masses
, and , for
GW150914, GW151226, and LVT151012, respectively.Comment: Published in Nature Communication
Knowledge, attitudes and behaviours on tobacco, alcohol and drugs among Nigerian secondary school students: differences by geopolitical zones
Knowledge, attitudes and behaviours on tobacco, alcohol and drugs among Nigerian secondary school students: differences by geopolitical zones
STROOPWAFEL: Simulating rare outcomes from astrophysical populations, with application to gravitational-wave sources
Gravitational-wave observations of double compact object (DCO) mergers are
providing new insights into the physics of massive stars and the evolution of
binary systems. Making the most of expected near-future observations for
understanding stellar physics will rely on comparisons with binary population
synthesis models. However, the vast majority of simulated binaries never
produce DCOs, which makes calculating such populations computationally
inefficient. We present an importance sampling algorithm, STROOPWAFEL, that
improves the computational efficiency of population studies of rare events, by
focusing the simulation around regions of the initial parameter space found to
produce outputs of interest. We implement the algorithm in the binary
population synthesis code COMPAS, and compare the efficiency of our
implementation to the standard method of Monte Carlo sampling from the birth
probability distributions. STROOPWAFEL finds 25-200 times more DCO
mergers than the standard sampling method with the same simulation size, and so
speeds up simulations by up to two orders of magnitude. Finding more DCO
mergers automatically maps the parameter space with far higher resolution than
when using the traditional sampling. This increase in efficiency also leads to
a decrease of a factor 3-10 in statistical sampling uncertainty for the
predictions from the simulations. This is particularly notable for the
distribution functions of observable quantities such as the black hole and
neutron star chirp mass distribution, including in the tails of the
distribution functions where predictions using standard sampling can be
dominated by sampling noise.Comment: Accepted. Data and scripts to reproduce main results is publicly
available. The code for the STROOPWAFEL algorithm will be made publicly
available. Early inquiries can be addressed to the lead autho
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