Assessing Investment and Longevity Risks within Immediate Annuities

Life annuities provide a guaranteed income for the remainder of the recipient’s lifetime, and therefore, annuitization presents an important option when choosing an adequate investment strategy for the retirement ages. While there are numerous research articles studying annuities from a pensioner’s point of view, thus far there have been few contributions considering annuities from the provider’s perspective. In particular, to date there are no surveys of the general risks within annuity books. The present paper aims at filling this gap: Using a simulation framework, it provides a long-term analysis of the risks within annuity books. In particular, the joint impact of mortality risks and investment risks as well as their respective influences on the insurer’s financial situation are studied. The key finding is that, under the model specifications and using annuity data from the United Kingdom, the risk premium charged for aggregate mortality risk seems to be very large relative to its characteristics. Possible reasons as well as economic implications are provided, and potential caveats are discussed

Assessing Investment and Longevity Risks within Immediate Annuities

Life annuities provide a guaranteed income for the remainder of the recipient’s lifetime, and therefore, annuitization presents an important option when choosing an adequate investment strategy for the retirement ages. While there are numerous research articles studying annuities from a pensioner’s point of view, thus far there have been few contributions considering annuities from the provider’s perspective. In particular, to date there are no surveys of the general risks within annuity books. The present paper aims at filling this gap: Using a simulation framework, it provides a long-term analysis of the risks within annuity books. In particular, the joint impact of mortality risks and investment risks as well as their respective influences on the insurer’s financial situation are studied. The key finding is that, under the model specifications and using annuity data from the United Kingdom, the risk premium charged for aggregate mortality risk seems to be very large relative to its characteristics. Possible reasons as well as economic implications are provided, and potential caveats are discussed.Annuities; Lee-Carter Model; Longevity Risk

Are consumers cashing out?

The information age has led to many new forms of payment, including credit cards, debit cards, and online banking. In many ways, these new mechanisms seem preferable to cash. While the disappearance of cash is a very long way off, it seems people are starting to use it less.Cash transactions ; Payment systems ; Consumer behavior

Modeling SN 1996cr's X-ray lines at high-resolution: Sleuthing the ejecta/CSM geometry

SN 1996cr, located in the Circinus Galaxy (3.7 Mpc, z ~ 0.001) was non-detected in X-rays at ~ 1000 days yet brightened to ~ 4 x 10^{39} erg/s (0.5-8 keV) after 10 years (Bauer et al. 2008). A 1-D hydrodynamic model of the ejecta-CSM interaction produces good agreement with the measured X-ray light curves and spectra at multiple epochs. We conclude that the progenitor of SN 1996cr could have been a massive star, M > 30 M_solar, which went from an RSG to a brief W-R phase before exploding within its ~ 0.04 pc wind-blown shell (Dwarkadas et al. 2010). Further analysis of the deep Chandra HETG observations allows line-shape fitting of a handful of bright Si and Fe lines in the spectrum. The line shapes are well fit by axisymmetric emission models with an axis orientation ~ 55 degrees to our line-of-sight. In the deep 2009 epoch the higher ionization Fe XXVI emission is constrained to high lattitudes: the Occam-est way to get the Fe H-like emission coming from high latitude/polar regions is to have more CSM at/around the poles than at mid and lower lattitudes, along with a symmetric ejecta explosion/distribution. Similar CSM/ejecta characterization may be possible for other SNe and, with higher-throughput X-ray observations, for gamma-ray burst remnants as well.Comment: 4 pages, 5 figures. To appear in the Proceedings of the Gamma Ray Bursts 2010 Conference, Annapolis, USA. Editors: McEnery, Racusin, Gehrel

The potential of flexible micro pillars to investigate near wall flow

The potential of flexible micro pillars for measuring near wall flow phenom- ena was theoretically and experimentally investigated. The bending of the micro pillars is a measure for the local wall shear stress (WSS) or a visualisa- tion of near wall flow phenomena. Polydimethylsiloxane (PDMS) was chosen as material for the sensor. Within the thesis the experimental work with the shear stress sensor mainly has the focus on the transition to turbulence. Closely connected are improvements of the measurement techniques. The transition is thereby investigated qualitatively and quantitatively. Another huge part of the thesis was the improvement of the reliability of the manu- facturing process of the micro pillars. For this purpose new manufacturing methods for single pillars and pillar arrays have been tested. Further on, dif- ferent detection methods for capturing the bending of the pillar were tested, too. The measurements of the transitional flow were performed at flat plate boundary layer in an oil channel. Ondina 913 was used as test fluid. The physical properties of the PDMS changed dramatically while longer exposed to Ondina 913. Hence, it was unfeasible to receive reproducible quantita- tive results. Better results were achieved if the pillars are used as flexible micro tufts revealing the flow and WSS topology directly at the wall quali- tatively. With the pillar sensor it was possible to detect turbulent spots in the transitional state of the flat plate boundary layer. Furthermore, coherent structures and their typical sign in the viscous sublayer could be identified and the occurrence of critical points and back flow could be experimentally verified