Longevity Risk Management and Shareholder Value for a Life Annuity Business

The life annuity business is heavily exposed to longevity risk. Risk transfer solutions are not yet fully developed, and when available they are expensive. A significant part of the risk must therefore be retained by the life insurer. So far, most of the research work on longevity risk has been mainly concerned with capital requirements and specific risk transfer solutions. However, the impact of longevity risk on shareholder value also deserves attention. While it is commonly accepted that a market-consistent valuation should be performed in this respect, the definition of a fair shareholder value for a life insurance business is not trivial. In this paper we develop a multi-period market-consistent shareholder value model for a life annuity business. The model allows for systematic and idiosyncratic longevity risk and includes the most significant variables affecting shareholder value: the cost of capital (which in a market-consistent setting must be quantified in terms of frictional and agency costs, net of the value of the limited liability put option), policyholder demand elasticity and the cost of alternative longevity risk management solutions, namely indemnity-based and index-based solutions. We show how the model can be used for assessing the impact of different longevity risk management strategies on life insurer shareholder value and solvency

Life-course inequalities in intrinsic capacity and healthy ageing, China

Objective To investigate the contribution of early-life factors on intrinsic capacity of Chinese adults older than 45 years. Methods We used data on 21 783 participants from waves 1 (2011) and 2 (2013) of the China Health and Retirement Longitudinal Study (CHARLS), who also participated in the 2014 CHARLS Life History Survey to calculate a previously validated measure of intrinsic capacity. We considered 11 early-life factors and investigated their direct association with participants’ intrinsic capacity later in life, as well as their indirect association through four current socioeconomic factors. We used multivariable linear regression and the decomposition of the concentration index to investigate the contribution of each determinant to intrinsic capacity inequalities. Findings Participants with a favourable environment in early life (that is, parental education, childhood health and neighbourhood environment) had a significantly higher intrinsic capacity score in later life. For example, participants with a literate father recorded a 0.040 (95% confidence interval, CI: 0.020 to 0.051) higher intrinsic capacity score than those with an illiterate father. This inequality was greater for cognitive, sensory and psychological capacities than locomotion and vitality. Overall, early-life factors directly explained 13.92% (95% CI: 12.07 to 15.77) of intrinsic capacity inequalities, and a further 28.57% (95% CI: 28.19 to 28.95) of these inequalities through their influence on current socioeconomic inequalities. Conclusion Unfavourable early-life factors appear to decrease late-life health status in China, particularly cognitive, sensory and psychological capacities, and these effects are exacerbated by cumulative socioeconomic inequalities over a person’s life course

Compilation of results of the ICPPR non-Apis working group with a special focus on the bumblebee acute oral and contact toxicity ring test 2014 ICPPR Non-Apis Working Group

Although honeybee risk assessment for chemicals has been rigorously revised recently, methods and techniques available for non-apis pollinators are scarce. An ICPPR working group “non-apis” was established in 2013 to address these knowledge gaps. Acute contact tests were designed and performed with solitary bees Osmia sp. but still require further optimization. Ring tests on acute oral and contact toxicity for the bumblebee Bombus sp. were developed and performed in 2014. Thirteen European laboratories participated in the trials and in most cases control mortality was < 10% after 96h, indicating that the developed methodologies were feasible in a variety of laboratories. The oral exposure and the group contact exposure tests were each found to generate more variable LD50 estimates, whereas the endpoints obtained in the single contact tests were more consistent among laboratories. The difference in the two different contact test designs indicates the presence of a ‘housing’ effect, which makes the group housing less favorable. In addition, the use of Tween80 as a wetting agent was found to be unsuccessful

Prenatal Stress and Balance of the Child's Cardiac Autonomic Nervous System at Age 5-6 Years

Objective: Autonomic nervous system (ANS) misbalance is a potential causal factor in the development of cardiovascular disease. The ANS may be programmed during pregnancy due to various maternal factors. Our aim is to study maternal prenatal psychosocial stress as a potential disruptor of cardiac ANS balance in the child. Methods: Mothers from a prospective birth cohort (ABCD study) filled out a questionnaire at gestational week 16 [IQR 12– 20], that included validated instruments for state anxiety, depressive symptoms, pregnancy-related anxiety, parenting daily hassles and job strain. A cumulative stress score was also calculated (based on 80 th percentiles). Indicators of cardiac ANS in the offspring at age 5–6 years are: pre-ejection period (PEP), heart rate (HR), respiratory sinus arrhythmia (RSA) and cardiac autonomic balance (CAB), measured with electrocardiography and impedance cardiography in resting supine and sitting positions. Results: 2,624 mother-child pairs, only single births, were available for analysis. The stress scales were not significantly associated with HR, PEP, RSA and CAB (p$0.17). Accumulation of maternal stress was also not associated with HR, PEP, RSA and CAB (p$0.07). Conclusion: Results did not support the hypothesis that prenatal maternal psychosocial stress deregulates cardiac AN

Model confidence sets and forecast combination: an application to age-specific mortality

Background: Model averaging combines forecasts obtained from a range of models, and it often produces more accurate forecasts than a forecast from a single model. Objective: The crucial part of forecast accuracy improvement in using the model averaging lies in the determination of optimal weights from a finite sample. If the weights are selected sub-optimally, this can affect the accuracy of the model-averaged forecasts. Instead of choosing the optimal weights, we consider trimming a set of models before equally averaging forecasts from the selected superior models. Motivated by Hansen et al. (2011), we apply and evaluate the model confidence set procedure when combining mortality forecasts. Data & Methods: The proposed model averaging procedure is motivated by Samuels and Sekkel (2017) based on the concept of model confidence sets as proposed by Hansen et al. (2011) that incorporates the statistical significance of the forecasting performance. As the model confidence level increases, the set of superior models generally decreases. The proposed model averaging procedure is demonstrated via national and sub-national Japanese mortality for retirement ages between 60 and 100+. Results: Illustrated by national and sub-national Japanese mortality for ages between 60 and 100+, the proposed model-average procedure gives the smallest interval forecast errors, especially for males. Conclusion: We find that robust out-of-sample point and interval forecasts may be obtained from the trimming method. By robust, we mean robustness against model misspecification