bluuebunny/crossref_metadata_2025_split huggingface dataset:
Risk Assessment Techniques for Split Capital Investment Trusts
Authors: Adams A. T. , Clunie J. B. 
Published: May 2011

ABSTRACTThe split capital investment trust crisis brought into focus the need for more reliable risk assessment techniques for shares in the sector. We discuss the strengths and weaknesses of traditional pricing and risk description measures for split capital investment trusts (e.g. gross redemption yield, cover, hurdle rates) and ways of making these more useful. We then examine the application of traditional option pricing techniques and discuss the problems encountered in this approach. Finally, we propose the use of stochastic modelling to deal more effectively with the complexities involved in both pricing shares and understanding their risks.
Use of Dynamic Financial Analysis and Financial Condition Reporting by United Kingdom General Insurers
Authors: Shiu Y. , Moles P. 
Published: May 2011

ABSTRACTThis paper presents the findings of a survey of the current Dynamic Financial Analysis (DFA)/Financial Condition Report (FCR) practices in the United Kingdom general insurance industry. An independent samples t test for non-respondent bias was conducted, and the results suggest that the respondent sample is representative of the survey population. The survey results revealed: (1) that the use of DFA techniques in the industry was limited; (2) that scenario testing was the most frequently used technique; (3) that the most common DFA application was the evaluation of reinsurance programmes; (4) that less than ten scenarios were run regularly; (5) that inflation was the most frequently modelled economic variable; (6) that the capability of asset modelling of general insurers was restricted; (7) that the most common method of liability modelling was to use all in force policies in aggregate; (8) that the most common projection periods in DFA and business planning were three years; (9) that the main reason for not using DFA techniques and producing FCR was lack of need; and (10) that views on whether a Guidance Note on FCR specifically for general insurers should be introduced differed.
On a Simple Graphical Approach to Modelling Economic Fluctuations with an Application to United Kingdom Price Inflation, 1265 to 2005
Authors: Chan W. S. , Ng M. W. , Tong H. 
Published: May 2011

ABSTRACTStructural instability in economic time series is widely reported in the literature. It is most prevalent in such series as price indices and inflation related data. Many methods have been developed for analysing and modelling structural changes in a univariate time series model. However, most of them assume that the data are generated by one fixed type (linear or non-linear) of the time series processes. This paper proposes a strategy for modelling different segments of an economic time series by different linear or non-linear models. A graphical procedure is suggested for detecting the model change points. The proposed procedure is illustrated by modelling annual United Kingdom price inflation series over the period 1265 to 2005. Stochastic modelling of inflation rates is an important topic to actuaries for dealing with long-term index linked insurance business. The proposed method suggests dividing the U.K. inflation series into four segments for modelling. Inflation projections based on the latest segment of the data are obtained through simulations. To get a better understanding of the impact of structural changes on inflation projections we also perform a forecasting study.
Merging Schemes: An Economic Analysis of Defined Benefit Pension Scheme Merger Criteria
Authors: Sutcliffe C. M. S. 
Published: May 2011

ABSTRACTThe conditions under which pension schemes merge is an important issue which has been under-researched. Mergers can affect the strength of the sponsor's covenant and the balance of power between the trustees and the sponsor, as well as the deficit or the surplus of the receiving scheme and its funding ratio. This paper sets out two financial criteria to be met by any pension scheme merger: no profit or loss on merging with another scheme; and no dilution of the funding ratio. After defining a merger basis for valuing the assets and liabilities, and allowing for adjustments to the funding ratio via side receipts and payments; it is shown that, whether or not these criteria are met, depends on the state of the financial markets.
Income Inequality over the Later-Life Course: a Comparative Analysis of Seven OECD Countries
Authors: Brown R. L. , Prus S. G. 
Published: May 2011

ABSTRACTThis paper examines income inequality over stages of the later-life course (age 45 and older) and systems which can be used to mitigate this inequality. Two hypotheses are tested: (1) levels of income inequality decline during old age because public benefits are more equally distributed than work income; and (2) because of the progressive nature of government benefits, countries with stronger public income security programmes are better able to reduce income inequalities during old age. The analysis is performed by comparing age groups within seven OECD countries (Canada, Germany, the Netherlands, Norway, Sweden, the United Kingdom, and the United States of America) using Luxembourg Income Study data from around 2000. Both hypotheses are supported. Several conclusions are drawn from the findings.
Application of a Polygenic Model of Breast and Ovarian Cancer to Critical Illness Insurance
Authors: Macdonald A. S. , McIvor K. R. 
Published: May 2011

ABSTRACTMutations in the BRCA1 and BRCA2 genes confer very high risk of breast cancer (BC), but only account for about 25% of the observed familial clustering of BC. Antoniouet al. (2002) proposed a model which included the BRCA1 and BRCA2 genes, and a polygenic component which acted multiplicatively on the rate of onset of BC. We use this model to find premium rates for critical illness insurance: (a) given knowledge of an applicant's polygenotype; and (b) given knowledge of a family history of BC or ovarian cancer. We find that the polygenic component causes large variation in premium rates even among non-mutation carriers, therefore affecting the whole population. In some cases the polygenic contribution is protective enough to reduce or remove the additional risk of a BRCA1/2 mutation, leading to cases where it will be advantageous to disclose genetic test results which are adverse in absolute terms. Premiums based on family history are lower than those found in an earlier study which attributed all genetic BC risk to the BRCA1/2 genes.
Option Based Portfolio Insurance Revisited
Authors: Bouchaib R. 
Published: May 2011

ABSTRACTIn recent years, Constant Proportion Portfolio Insurance (CPPI) has been the most widely recognised form of portfolio insurance among market practitioners, despite a lack of theoretical framework to support it. This paper presents a revised formulation of Option Based Portfolio Insurance (OBPI) and shows, through a case study, how it can be used as a structured product and applied in practice as a dynamic investment strategy for insurance and pensions funds such as with-profits funds. CPPI and the Revised Option Based Portfolio Insurance (ROBPI) technique adopted in this paper are similar in the sense that they rely on dynamic allocation between risky and risk-free assets to provide downside protection. Comparison between the two methods shows that ROPBI is more efficient and forward looking, giving more information about downside risk and producing less volatile asset allocation, which reduces transaction costs and any market impact.
Some Finite Time Ruin Problems
Authors: Dickson D. C. M. 
Published: May 2011

ABSTRACTIn the classical risk model, we use probabilistic arguments to write down expressions in terms of the density function of aggregate claims for joint density functions involving the time to ruin, the deficit at ruin and the surplus prior to ruin. We give some applications of these formulae in the cases when the individual claim amount distribution is exponential and Erlang(2).
A Dynamic Family History model Of Hereditary Nonpolyposis Colorectal Cancer and Critical Illness Insurance
Authors: Lu L. , Macdonald A. S. , Waters H. R. , Yu F. 
Published: May 2011

ABSTRACTHereditary nonpolyposis colorectal cancer (HNPCC) is characterised by the familial aggregation of cancer of the colon and rectum (CRC). It may be caused by any of five mutations in DNA mismatch repair (MMR) genes or by non-genetic factors, such as life style. However, it accounts for only about 2% of CRC, which is a very common cancer. Previous actuarial models, of diseases with only genetic causes, assumed that a family history of the disease shows mutations to be present, but this is not true of HNPCC. This is a significant limitation, since the best information available to an underwriter (especially if the use of genetic test results is banned) is likely to be knowledge of a family history of CRC. We present a Markov model of CRC and HNPCC, which includes the presence of a family history of CRC as a state, and estimate its intensities allowing for MMR genotype. Using this we find the MMR mutation probabilities for an insurance applicant with a family history of CRC. Our model greatly simplifies the intensive computational burden of finding such probabilities by integrating over complex models of hidden family structure. We estimate the costs of critical illness insurance given the applicant's genotype or the presence of a family history. We then consider what the cost of adverse selection might be, if insurers are unable to use genetic tests or family history information. We also consider the effect of using alternative definitions of a family history in underwriting.
Health Insurance, Genetic Testing and Adverse Selection
Authors: MacMinn R. D. , Brockett P. L. , Raeburn J. A. 
Published: May 2011

ABSTRACTThe implications of genetic testing information availability for society, medicine, employment, and individual privacy rights have generated much political debate, legislation and academic research. Part of this debate centres on the ethical and economic considerations resultant from this expanded knowledge, particularly for insurance practices. Within insurance economics, the possibility of adverse selection has been debated and the potential for a ban on an insurer's use of genetic testing has been studied with respect to whether or not such a ban might actually result in insurance market failure due to this adverse selection. Studies have examined the issue using expected loss cost (actuarial or ‘fair’) pricing models, and have not considered either equilibrium (supply and demand) price setting as is present in markets, or the potentially swamping effect of background health care risks facing the insured, having nothing to do with any particular genetic mutation. Here we construct a supply and demand function with both high and low risk individuals in the presence of background health care cost risks, and derive an equilibrium price and market composition to determine whether, if genetic information is allowed for individuals, but this same information is not shared with insurers: (1) is market failure inevitable? (it is not if the background risk is sufficiently high relative to potential genetic risk costs); (2) will equilibrium prices result in all low risk insured exiting the market? (not in the presence of significant background risk); and (3) how much would prices increase and market sales decrease if insurers do not have the same genetic information as the insured? (prices will increase, but not necessarily very much in the presence of background risk, and not as much as that previously estimated in the insurance literature).
Mortality Modelling and Forecasting: a Review of Methods
Authors: Booth H. , Tickle L. 
Published: May 2011

ABSTRACTContinuing increases in life expectancy beyond previously-held limits have brought to the fore the critical importance of mortality forecasting. Significant developments in mortality forecasting since 1980 are reviewed under three broad approaches: expectation, extrapolation and explanation. Expectation is not generally a good basis for mortality forecasting, as it is subjective; expert expectations are invariably conservative. Explanation is restricted to certain causes of death with known determinants. Decomposition by cause of death poses problems associated with the lack of independence among causes and data difficulties. Most developments have been in extrapolative forecasting, and make use of statistical methods rather than models developed primarily for age-specific graduation. Methods using two-factor models (age-period or age-cohort) have been most successful. The two-factor Lee–Carter method, and, in particular, its variants, have been successful in terms of accuracy, while recent advances have improved the estimation of forecast uncertainty. Regression-based (GLM) methods have been less successful, due to nonlinearities in time. Three-factor methods are more recent; the Lee–Carter age-period-cohort model appears promising. Specialised software has been developed and made available. Research needs include further comparative evaluations of methods in terms of the accuracy of the point forecast and its uncertainty, encompassing a wide range of mortality situations.
A Model for Ischaemic Heart Disease and Stroke I: The Model
Authors: Chatterjee T. , Macdonald A. S. , Waters H. R. 
Published: May 2011

ABSTRACTWe construct a stochastic model of an individual's lifetime that includes diagnosis with ischaemic heart disease and stroke and also the development of the major risk factors for these conditions: hypercholesterolaemia, hypertension, diabetes and obesity. Smoking, another major risk factor, is treated deterministically. Mathematically, the model is a continuous time, finite state space Markov process, with the individual's age playing the rôle of time. The model is parameterised using data from the Framingham Heart Study, with parameter values adjusted so that the model is appropriate for UK conditions in the early 21st century. The model has been designed so that it can be used to quantify the effects of:(i) trends, in particular increasing prevalence of obesity.(ii) changes in behaviour, in particular smoking patterns, and(iii) treatments, in particular statins for hypercholesterolaemia.These applications are covered in two accompanying papers.
A Model for Ischaemic Heart Disease and Stroke II: Modelling Obesity
Authors: Chatterjee T. , Macdonald A. S. , Waters H. R. 
Published: May 2011

ABSTRACTThis is the second in a series of three papers. In the first paper we describe a comprehensive stochastic model of an individual's lifetime that includes diagnosis with ischaemic heart disease and stroke and also the development of the major risk factors for these conditions. The third paper is devoted to some applications of this model.In this paper we discuss the effect of BMI on diabetes, heart disease and mortality and we use data from the Framingham Heart Study and the Health Survey for England to develop stochastic models for changes in an individual's BMI. Some of these models incorporate time trends leading to increasing prevalence of obesity. We then use these models to investigate how future expected lifetime and future expected healthy lifetime depend on BMI.Our conclusions are that if the prevalence of obesity increases, even to an extreme degree, then the prevalence of diabetes and hypertension in the population will increase, possibly to a significant extent, but the prevalence of heart disease and stroke will increase by a much smaller amount and the effect on expected future lifetime will be small.
Modelling Income Protection Claim Termination Rates by Cause of Sickness I: Recoveries
Authors: Ling S. Y. , Waters H. R. , Wilkie A. D. 
Published: May 2011

ABSTRACTIn this paper we present methods and results for the estimation and modelling of the recovery intensity for Income Protection (IP) insurance claims, allowing for different causes of claim. We use UK data supplied by the Continuous Mortality Investigation relating to claims paid in the years 1975 to 2002, inclusive. Each claim is classified by one of 70 possible causes according to ICD8.We group causes where appropriate, and then use the Cox model and generalised linear models to model the recovery intensity.In two subsequent papers we complete our modelling of IP claim termination rates by discussing the modelling of the mortality of IP claimants.There are two main reasons why it is useful to incorporate cause of sickness in the modelling of IP claim terminations:(i) The cause of sickness will be known to the insurer for a claim in the course of payment. A reserve can be set more accurately for such a claim if a model of the termination rates appropriate for this cause is available.(ii) Different causes of claim will become more or less significant over time. For example, tuberculosis may have been an important cause of sickness in the past, but is likely to be far less significant now; the swine flu pandemic starting in 2009 is likely to have a significant effect on observed aggregate claim termination rates, skewing them towards higher rates at shorter durations. Information about trends in morbidity, together with a model of termination rates by cause of claim, allows future aggregate claim termination rates to be predicted more accurately, reserves to be set at more appropriate levels and policies to be priced more accurately.One of the covariates included in our models for recovery intensities is Calendar Year. Aggregate recovery intensities have been decreasing over the period considered, 1975 to 2002, and this is generally reflected in the models for recovery intensities by cause of sickness. However, when these intensities are projected for years beyond 2002, the results are not always plausible.
Community profiling and gene expression of fungal assimilatory nitrate reductases in agricultural soil
Authors: Gorfer Markus , Blumhoff Marzena , Klaubauf Sylvia , Urban Alexander , Inselsbacher Erich , Bandian Dragana , Mitter Birgit , Sessitsch Angela , Wanek Wolfgang , Strauss Joseph 
Published: May 2011

Abstract
Although fungi contribute significantly to the microbial biomass in terrestrial ecosystems, little is known about their contribution to biogeochemical nitrogen cycles. Agricultural soils usually contain comparably high amounts of inorganic nitrogen, mainly in the form of nitrate. Many studies focused on bacterial and archaeal turnover of nitrate by nitrification, denitrification and assimilation, whereas the fungal role remained largely neglected. To enable research on the fungal contribution to the biogeochemical nitrogen cycle tools for monitoring the presence and expression of fungal assimilatory nitrate reductase genes were developed. To the ∼100 currently available fungal full-length gene sequences, another 109 partial sequences were added by amplification from individual culture isolates, representing all major orders occurring in agricultural soils. The extended database led to the discovery of new horizontal gene transfer events within the fungal kingdom. The newly developed PCR primers were used to study gene pools and gene expression of fungal nitrate reductases in agricultural soils. The availability of the extended database allowed affiliation of many sequences to known species, genera or families. Energy supply by a carbon source seems to be the major regulator of nitrate reductase gene expression for fungi in agricultural soils, which is in good agreement with the high energy demand of complete reduction of nitrate to ammonium.
A 2,300-year-long annually resolved record of the South American summer monsoon from the Peruvian Andes
Authors: Bird Broxton W. , Abbott Mark B. , Vuille Mathias , Rodbell Donald T. , Stansell Nathan D. , Rosenmeier Michael F. 
Published: May 2011

Decadal and centennial mean state changes in South American summer monsoon (SASM) precipitation during the last 2,300 years are detailed using an annually resolved authigenic calcite record of precipitation
δ
18
O from a varved lake in the Central Peruvian Andes. This unique sediment record shows that
δ
18
O peaked during the Medieval Climate Anomaly (MCA) from A.D. 900 to 1100, providing evidence that the SASM weakened considerably during this period. Minimum
δ
18
O values occurred during the Little Ice Age (LIA) between A.D. 1400 and 1820, reflecting a prolonged intensification of the SASM that was regionally synchronous. After the LIA,
δ
18
O increased rapidly, particularly during the current warm period (CWP; A.D. 1900 to present), indicating a return to reduced SASM precipitation that was more abrupt and sustained than the onset of the MCA. Diminished SASM precipitation during the MCA and CWP tracks reconstructed Northern Hemisphere and North Atlantic warming and a northward displacement of the Intertropical Convergence Zone (ITCZ) over the Atlantic, and likely the Pacific. Intensified SASM precipitation during the LIA follows reconstructed Northern Hemisphere and North Atlantic cooling, El Niño-like warming in the Pacific, and a southward displacement of the ITCZ over both oceans. These results suggest that SASM mean state changes are sensitive to ITCZ variability as mediated by Western Hemisphere tropical sea surface temperatures, particularly in the Atlantic. Continued Northern Hemisphere and North Atlantic warming may therefore help perpetuate the recent reductions in SASM precipitation that characterize the last 100 years, which would negatively impact Andean water resources.
Methane contamination of drinking water accompanying gas-well drilling and hydraulic fracturing
Authors: Osborn Stephen G. , Vengosh Avner , Warner Nathaniel R. , Jackson Robert B. 
Published: May 2011

Directional drilling and hydraulic-fracturing technologies are dramatically increasing natural-gas extraction. In aquifers overlying the Marcellus and Utica shale formations of northeastern Pennsylvania and upstate New York, we document systematic evidence for methane contamination of drinking water associated with shale-gas extraction. In active gas-extraction areas (one or more gas wells within 1 km), average and maximum methane concentrations in drinking-water wells increased with proximity to the nearest gas well and were 19.2 and 64 mg CH
4
L
-1
(
n
= 26), a potential explosion hazard; in contrast, dissolved methane samples in neighboring nonextraction sites (no gas wells within 1 km) within similar geologic formations and hydrogeologic regimes averaged only 1.1 mg L
-1
(
P
< 0.05;
n
= 34). Average
δ
13
C-CH
4
values of dissolved methane in shallow groundwater were significantly less negative for active than for nonactive sites (-37 ± 7‰ and -54 ± 11‰, respectively;
P
< 0.0001). These
δ
13
C-CH
4
data, coupled with the ratios of methane-to-higher-chain hydrocarbons, and
δ
2
H-CH
4
values, are consistent with deeper thermogenic methane sources such as the Marcellus and Utica shales at the active sites and matched gas geochemistry from gas wells nearby. In contrast, lower-concentration samples from shallow groundwater at nonactive sites had isotopic signatures reflecting a more biogenic or mixed biogenic/thermogenic methane source. We found no evidence for contamination of drinking-water samples with deep saline brines or fracturing fluids. We conclude that greater stewardship, data, and—possibly—regulation are needed to ensure the sustainable future of shale-gas extraction and to improve public confidence in its use.