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

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

Correlations of mesospheric winds with subtle motion of the Arctic polar vortex

This paper investigates the relationship between high latitude upper mesospheric winds and the state of the stratospheric polar vortex in the absence of major sudden stratospheric warmings. A ground based Michelson Interferometer stationed at Resolute Bay (74°43' N, 94°58' W) in the Canadian High Arctic is used to measure mesopause region neutral winds using the hydroxyl (OH) Meinel-band airglow emission (central altitude of ~85 km). These observed winds are compared to analysis winds in the upper stratosphere during November and December of 1995 and 1996; years characterized as cold, stable polar vortex periods. Correlation of mesopause wind speeds with those from the upper stratosphere is found to be significant for the 1996 season when the polar vortex is subtly displaced off its initial location by a strong Aleutian High. These mesopause winds are observed to lead stratospheric winds by approximately two days with increasing (decreasing) mesospheric winds predictive of decreasing (increasing) stratospheric winds. No statistically significant correlations are found for the 1995 season when there is no such displacement of the polar vortex

On the worst and least possible asymptotic dependence

Multivariate extremes behave very differently under asymptotic dependence as compared to asymptotic independence. In the bivariate setting, we are able to characterise the extreme behaviour of the asymptotic dependent case by using the concept of the copula. As a result, we are able to identify the properties of the boundary cases, that are asymptotic independent but still have some asymptotic dependent features. These situations are the most problematic in statistical extreme, and, for this reason, distinguishing between asymptotic dependence and asymptotic independence represents a difficult problem. We propose a simple test to resolve this issue which is an alternative to the procedure based on the classical coefficient of tail dependence. In addition, we are able to identify the worst/least asymptotic dependence (in the presence of asymptotic dependence) that maximises/minimises the probability of a given extreme region if tail dependence parameter is fixed. It is found that the perfect extreme association is not the worst asymptotic dependence, which is consistent with the existing literature. We are able to find lower and upper bounds for some risk measures of functions of random variables. A particular example is the sum of random variables, for which a vivid academic effort has been noticed in the last decade, where bounds for a sum of random variables are sought. It is numerically shown that our approach provides a great improvement of the existing methods, which reiterates the sensible conclusion that any additional piece of information on dependence would help to reduce the spread of these bounds

The Politics of Post-Qualitative Inquiry: History and Power

In this article, we offer a critical reading of the increasingly popular “post-qualitative” approach to research. We draw on insights from postcolonial theory to offer some provocations about the methodological and conceptual claims made by post-qualitative inquiry. The article considers how post-qualitative inquiry opens up possibilities for post-humanist social research. But, our critical reading of these “new” approaches argues that such research needs to attend to political and historical relations of social power, both in the worlds it constitutes and in the processes of its knowledge production. Without explicit attention to power and history, the (non)representational logics of post-qualitative inquiry risk operating less as “new” mechanisms for generative and subversive post-humanist research and more as processes of closure and erasure: closed-off from the worlds and people being researched

Surface mechanomyography and electromyography provide non-invasive indices of inspiratory muscle force and activation in healthy subjects

The current gold standard assessment of human inspiratory muscle function involves using invasive measures of transdiaphragmatic pressure (Pdi) or crural diaphragm electromyography (oesEMGdi). Mechanomyography is a non-invasive measure of muscle vibration associated with muscle contraction. Surface electromyogram and mechanomyogram, recorded transcutaneously using sensors placed over the lower intercostal spaces (sEMGlic and sMMGlic respectively), have been proposed to provide non-invasive indices of inspiratory muscle activation, but have not been directly compared to gold standard Pdi and oesEMGdi measures during voluntary respiratory manoeuvres. To validate the non-invasive techniques, the relationships between Pdi and sMMGlic, and between oesEMGdi and sEMGlic were measured simultaneously in 12 healthy subjects during an incremental inspiratory threshold loading protocol. Myographic signals were analysed using fixed sample entropy (fSampEn), which is less influenced by cardiac artefacts than conventional root mean square. Strong correlations were observed between: mean Pdi and mean fSampEn |sMMGlic| (left, 0.76; right, 0.81), the time-integrals of the Pdi and fSampEn |sMMGlic| (left, 0.78; right, 0.83), and mean fSampEn oesEMGdi and mean fSampEn sEMGlic (left, 0.84; right, 0.83). These findings suggest that sMMGlic and sEMGlic could provide useful non-invasive alternatives to Pdi and oesEMGdi for the assessment of inspiratory muscle function in health and disease.Peer ReviewedPostprint (published version

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