Self-selection and risk sharing in a modern world of lifelong annuities - Abstract of the London Discussion

This abstract relates to the following paper: Gerrard, R., Hiabu, M., Kyriakou, I. and Nielsen, J. P. (2018) Self-selection and risk sharing in a modern world of lifelong annuities ‐ Abstract of the London Discussion. British Actuarial Journal. Cambridge University Press, 23. doi: 10.1017/S135732171800020X

Self-selection and risk sharing in a modern world of life-long annuities

Communicating a pension product well is as important as optimising the financial value. In a recent study, we showed that up to 80% of the value of a pension lump sum could be lost if customer communication failed. In this paper, we extend the simple customer interaction of the earlier contribution to the more challenging lifetime annuity case. Using a simple mobile phone device, the pension customer can select the life-long optimal investment strategy within minutes. The financial risk trade-off is presented as a trade-off between the pension paid and the number of years the life-long annuity is guaranteed. The pension payment decreases when investment security increases. The necessary underlying mathematical financial hedging theory is included in the stud

Hedging of Asian options under exponential Lévy models: computation and performance

In this paper we consider the problem of hedging an arithmetic Asian option with discrete monitoring in an exponential Lévy model by deriving backward recursive integrals for the price sensitivities of the option. The procedure is applied to the analysis of the performance of the delta and delta-gamma hedges in an incomplete market; particular attention is paid to the hedging error and the impact of model error on the quality of the chosen hedging strategy. The numerical analysis shows the impact of jump risk on the hedging error of the option position, and the importance of including traded options in the hedging portfolio for the reduction of this risk

Near-Full Genome Characterisation of Two Natural Intergenotypic 2k/1b Recombinant Hepatitis C Virus Isolates

Few natural intergenotypic hepatitis C virus (HCV) recombinants have been characterised, and only RF1_2k/1b has demonstrated widespread transmission. The near-full length genome sequences for two cases of 2k/1b recombinants (CYHCV037 and CYHCV093) sampled in Cyprus were obtained using strain-specific RT-PCR amplification and sequencing protocols. Sequence analysis confirmed their similarity with the original RF1_2k/1b strain from St. Petersburg, N687. These two isolates significantly contribute to the sequence data available on this recombinant and confirm its increasing spread among individuals from Eastern Europe, and its association with transmission through intravenous drug use. Phylogenetic analyses reveal clustering of the sequence 3′ to the recombination point, not seen in the topology of the 5′ sequences, implying a more complicated evolutionary history than that held to date. The increasing cases of HCV recombinant strains underline the requirement of their contribution to the standardised rules of HCV classification and nomenclature, molecular epidemiology, diagnosis, and treatment

Antenna beam characterisation for the global 21cm experiment LEDA and its impact on signal model parameter reconstruction

Cosmic Dawn, the onset of star formation in the early universe, can in principle be studied via the 21cm transition of neutral hydrogen, for which a sky-averaged absorption signal, redshifted to MHz frequencies, is predicted to be {\it O}(10-100)\,mK. Detection requires separation of the 21cm signal from bright chromatic foreground emission due to Galactic structure, and the characterisation of how it couples to instrumental response. In this work, we present characterisation of antenna gain patterns for the Large-aperture Experiment to detect the Dark Ages (LEDA) via simulations, assessing the effects of the antenna ground-plane geometries used, and measured soil properties. We then investigate the impact of beam pattern uncertainties on the reconstruction of a Gaussian absorption feature. Assuming the pattern is known and correcting for the chromaticity of the instrument, the foregrounds can be modelled with a log-polynomial, and the 21cm signal identified with high accuracy. However, uncertainties on the soil properties lead to \textperthousand\ changes in the chromaticity that can bias the signal recovery. The bias can be up to a factor of two in amplitude and up to few \% in the frequency location. These effects do not appear to be mitigated by larger ground planes, conversely gain patterns with larger ground planes exhibit more complex frequency structure, significantly compromising the parameter reconstruction. Our results, consistent with findings from other antenna design studies, emphasise the importance of chromatic response and suggest caution in assuming log-polynomial foreground models in global signal experiments.Comment: Accepted for publication in MNRA

General lattice methods for arithmetic Asian options

In this research, we develop a new discrete-time model approach with flexibly changeable driving dynamics for pricing Asian options, with possible early exercise, and a fixed or floating strike price. These options are ubiquitous in financial markets but can also be recast in the framework of real options. Moreover, we derive an accurate lower bound to the price of the European Asian options under stochastic volatility. We also survey theoretical aspects; more specifically, we prove that our tree method for the European Asian option in the binomial model is unconditionally convergent to the continuous-time equivalent. Numerical experiments confirm smooth, monotonic convergence, highly precise performance, and robustness with respect to changing driving dynamics and contract features

Controlling a spillover pathway with the molecular cork effect

Spillover of reactants from one active site to another is important in heterogeneous catalysis and has recently been shown to enhance hydrogen storage in a variety of materials. The spillover of hydrogen is notoriously hard to detect or control. We report herein that the hydrogen spillover pathway on a Pd/Cu alloy can be controlled by reversible adsorption of a spectator molecule. Pd atoms in the Cu surface serve as hydrogen dissociation sites from which H atoms can spillover onto surrounding Cu regions. Selective adsorption of CO at these atomic Pd sites is shown to either prevent the uptake of hydrogen on, or inhibit its desorption from, the surface. In this way, the hydrogen coverage on the whole surface can be controlled by molecular adsorption at a minority site, which we term a ‘molecular cork’ effect. We show that the molecular cork effect is present during a surface catalysed hydrogenation reaction and illustrate how it can be used as a method for controlling uptake and release of hydrogen in a model storage system

Superconductivity and Field-Induced Magnetism in Pr2−x_{2-x}Cex_xCuO4_4 Single Crystals

We report muon-spin rotation/relaxation (muSR) measurements on single crystals of the electron-doped high-T_c superconductor Pr$_{2-x}$Ce$_x$CuO$_4$. In zero external magnetic field, superconductivity is found to coexist with Cu spins that are static on the muSR time scale. In an applied field, we observe a Knight shift that is primarily due to the magnetic moment induced on the Pr ions. Below the superconducting transition temperature T_c, an additional source of static magnetic order appears throughout the sample. This finding is consistent with antiferromagnetic ordering of the Cu spins in the presence of vortices. We also find that the temperature dependence of the in-plane magnetic penetration depth in the vortex state resembles that of the hole-doped cuprates at temperatures above ~ 0.2 T_c.Comment: 4 pages, 5 figure

PdCu single atom alloys supported on alumina for the selective hydrogenation of furfural

Single-atom catalysts serve as a skilful control of precious metals on heterogenous catalysts where all active sites are accessible for catalytic reactions. Here we report the adoption of PdCu single-atom alloys supported on alumina for the selective hydrogenation of furfural. This is a special class of an atom efficient, single-site catalyst where trace concentrations of Pd atoms (0.0067 wt%) displace surface Cu sites on the host nanoparticle. Confirmed by EXAFS, the Pd atoms are entirely coordinated to Cu, with Pd-Cu bond lengths identical to that of a Cu-Cu bond. Selectively surface oxidised catalysts also confirm surface Pd atoms by EXAFS. These catalysts improve the conversion of furfural to furfuryl alcohol compared to monometallic catalysts, as they have the advantages of Cu (high selectivity but poor activity) and Pd catalysts (superior activity but unselective) without the drawbacks, making them the optimal catalysts for green/atom efficient catalysis