Stochastic investment models for actuarial use in the UK

The objective of this thesis is to construct a stochastic term structure model for actuarial use in the UK. The starting point of this study is the Wilkie investment model (1995). We review the Wilkie model by updating the data and re-estimating the parameters. Then, we focus on the interest rate part of the model and construct a model for the entire term structure. We model the UK nominal spot rates, real spot rates and implied inflation spot rates considering the linkage between their term structures and some macroeconomic variables, in particular, realised inflation and output gap. We fit a descriptive yield curve model proposed by Cairns (1998) to fill the missing values in the yield curve data provided by the Bank of England by changing the fixed parameters (exponential rates) in the model to find the best set of parameters for each data set. Once the Cairns model is fitted to the UK yield curves we apply principal component analysis (PCA) to the fitted values to decrease the dimension of the data by extracting uncorrelated variables. Applying PCA to the fitted values we find three principal components which correspond roughly with ‘level’, ‘slope’ and ‘curvature’ for each yield curve. We explore the bi-directional relations between these principal components and the macroeconomic variables to construct ‘yield-only’ and ‘yield-macro’ models. We also compare the ‘yield-macro’ model with the Wilkie model

Modeling Mortality of Related Populations via Parameter Shrinkage

Parameter shrinkage is known to reduce fitting and prediction errors in linear models. When the variables are dummies for age, period, etc. shrinkage is more commonly applied to differences between adjacent parameters, perhaps by fitting cubic splines or piecewise-linear curves (linear splines) across the parameters. A common problem in mortality is modeling related populations where some commonality is desired. We do this by shrinking slope changes of linear splines for the largest population, then shrinking differences from those slope changes for the other populations. There are frequentist and Bayesian approaches to shrinkage, and they have a good deal of similarity. Here we use a unified approach that compromises a bit with both of these paradigms. It uses Bayesian tools without some of the historical Bayesian concepts, and pushes the random-effects framework slightly to accommodate. Modeling Swedish and Danish male mortality data is used as an illustration

ISOLATED PERIORBITAL EDEMA ASSOCIATED WITH NAPROXEN: A CASE REPORT

Hypersensitivity to nonsteroidal anti-inflammatory drugs (NSAIDs), resulting in urticaria and angioedema, is being observedwith increasing frequency partly due to the large size of the exposed (at risk) population. Prevalence rates range from 0.1–0.3%. Facial angioedema constitutes the most common form of clinical presentation, and one-third of the patients show amixed clinical pattern of cutaneous (urticaria and/or angioedema) and respiratory symptoms which include upper respiratorytract edema, rhinorrhea, cough, breathlessness and tearing. But to the best of our knowledge there is no isolated periorbitaledema reported to date due to naproxen in the literature. In this report, a 62-year-old woman who developed reversiblebilateral periorbital edema after naproxen ingestion was presented. The periorbital edema due to NSAIDs was discussed

Four payment models for the multi-mode resource constrained project scheduling problem with discounted cash flows

In this paper, the multi-mode resource constrained project scheduling problem with discounted cash flows is considered. The objective is the maximization of the net present value of all cash flows. Time value of money is taken into consideration, and cash in- and outflows are associated with activities and/or events. The resources can be of renewable, nonrenewable, and doubly constrained resource types. Four payment models are considered: Lump sum payment at the terminal event, payments at prespecified event nodes, payments at prespecified time points and progress payments. For finding solutions to problems proposed, a genetic algorithm (GA) approach is employed, which uses a special crossover operator that can exploit the multi-component nature of the problem. The models are investigated at the hand of an example problem. Sensitivity analyses are performed over the mark up and the discount rate. A set of 93 problems from literature are solved under the four different payment models and resource type combinations with the GA approach employed resulting in satisfactory computation times. The GA approach is compared with a domain specific heuristic for the lump sum payment case with renewable resources and is shown to outperform it

Content Analysis of the Papers in 2015 High-Impact A-Class SSCI Journals

It was aimed in this study to reveal the general tendency of studies in the field of education by examining the papers in the high-impact A-class SSCI journals, to which qualified papers are accepted from all round the world, in terms of their dependent-independent variables, sample or study groups, research designs, data collection instruments, and data analysis techniques. The descriptive survey model was used in the research. The population of the research was all the journals surveyed in the field of educational sciences by SSCI. The journals and papers examined were selected with the purposive sampling method. 169 papers from six journals were subjected to examination within the scope of the research. Descriptive analysis and content analysis methods were used for analyzing the data. It was consequently seen that the papers used dependent variable of “student” the most which was followed by “teacher.” The most studied variable along with “student” was “academic performance.” It was found that a quite large number of dependent variables were used in the papers examined. It can be understood that studies on students among all study groups occupied the largest place, which was followed by teachers. It was seen that quantitative data analyses and experimental research studies was addressed more in the papers. Several documents and tests were mostly preferred as data collection instruments. It was noticed that the most used data analysis method was the regression analysis. Finally, some recommendations were developed in accordance with the research results. Keywords: Content analysis high-impact A-Class SSCI journals, dependent-independent variables, sample or study groups, research designs, data collection instruments, data analysis technique