Evaluation of equity-linked products in the presence of policyholder surrender option using risk-control strategies

2021 ◽  
pp. 1-17
Author(s):  
Patrice Gaillardetz ◽  
Saeb Hachem ◽  
Mehran Moghtadai
Keyword(s):  
Regime Switching ◽  
Control Strategies ◽  
Risk Control ◽  
Capital Requirement ◽  
Initial Capital ◽  
The Past ◽  
Partial Hedging ◽  
Financial Framework ◽  
Local Risk ◽  
Equity Model

Abstract Throughout the past couple of decades, the surge in the sale of equity-linked products has led to many discussions on the evaluation and risk management of surrender options embedded in these products. However, most studies treat such options as American/Bermudian style options. In this article, a different approach is presented where only a portion of the policyholders react optimally due to the belief that not all policyholders are rational. Through this method, a probability of surrender is obtained based on the option moneyness and the product is partially hedged using local risk-control strategies. This partial hedging approach is versatile since few assumptions are required for the financial framework. To compare the different surrender assumptions, the initial capital requirement for an equity-linked product is obtained under a regime-switching equity model. Numerical examples illustrate the dynamics and efficiency of this hedging approach.

scholarly journals Phylogenetic Complexity of Morphologically Identified Anopheles squamosus in Southern Zambia

Insects ◽  
2021 ◽  
Vol 12 (2) ◽  
pp. 146
Author(s):  
Jordan Hoffman ◽  
Ilinca Ciubotariu ◽  
Limonty Simubali ◽  
Twig Mudenda ◽  
William Moss ◽  
...  
Keyword(s):  
Phylogenetic Relationships ◽  
Catchment Area ◽  
Control Strategies ◽  
Light Trap ◽  
Current Control ◽  
Control Measures ◽  
Morphological Identification ◽  
The Past ◽  
Blood Meal Source ◽  
Residual Malaria Transmission

Despite dramatic reductions in malaria cases in the catchment area of Macha Hospital, Choma District, Southern Province in Zambia, prevalence has remained near 1–2% by RDT for the past several years. To investigate residual malaria transmission in the area, this study focuses on the relative abundance, foraging behavior, and phylogenetic relationships of Anopheles squamosus specimens. In 2011, higher than expected rates of anthropophily were observed among “zoophilic” An. squamosus, a species that had sporadically been found to contain Plasmodium falciparum sporozoites. The importance of An. squamosus in the region was reaffirmed in 2016 when P. falciparum sporozoites were detected in numerous An. squamosus specimens. This study analyzed Centers for Disease Control (CDC) light trap collections of adult mosquitoes from two collection schemes: one performed as part of a reactive-test-and-treat program and the second performed along a geographical transect. Morphological identification, molecular verification of anopheline species, and blood meal source were determined on individual samples. Data from these collections supported earlier studies demonstrating An. squamosus to be primarily exophagic and zoophilic, allowing them to evade current control measures. The phylogenetic relationships generated from the specimens in this study illustrate the existence of well supported clade structure among An. squamosus specimens, which further emphasizes the importance of molecular identification of vectors. The primarily exophagic behavior of An. squamosus in these collections also highlights that indoor vector control strategies will not be sufficient for elimination of malaria in southern Zambia.

scholarly journals How alkaline compounds control atmospheric aerosol particle acidity

2021 ◽  
Vol 21 (19) ◽  
pp. 14983-15001
Author(s):  
Vlassis A. Karydis ◽  
Alexandra P. Tsimpidi ◽  
Andrea Pozzer ◽  
Jos Lelieveld
Keyword(s):  
Public Health ◽  
Aerosol Particle ◽  
Atmospheric Chemistry ◽  
Climate Model ◽  
Control Strategies ◽  
Atmospheric Particulate Matter ◽  
Cloud Formation ◽  
Mass Composition ◽  
The Past ◽  
Aerosol Hygroscopicity

Abstract. The acidity of atmospheric particulate matter regulates its mass, composition, and toxicity and has important consequences for public health, ecosystems and climate. Despite these broad impacts, the global distribution and evolution of aerosol particle acidity are unknown. We used the comprehensive atmospheric multiphase chemistry–climate model EMAC (ECHAM5/MESSy Atmospheric Chemistry) to investigate the main factors that control aerosol particle acidity and uncovered remarkable variability and unexpected trends during the past 50 years in different parts of the world. Aerosol particle acidity decreased strongly over Europe and North America during the past decades while at the same time it increased over Asia. Our simulations revealed that these particle acidity trends are strongly related to changes in the phase partitioning of nitric acid, production of sulfate in aqueous aerosols, and the aerosol hygroscopicity. It is remarkable that the aerosol hygroscopicity (κ) has increased in many regions following the particle pH. Overall, we find that alkaline compounds, notably ammonium and to a lesser extent crustal cations, regulate the particle pH on a global scale. Given the importance of aerosol particles for the atmospheric energy budget, cloud formation, pollutant deposition, and public health, alkaline species hold the key to control strategies for air quality and climate change.

scholarly journals Financial Credit Risk Control Strategy Based on Weighted Random Forest Algorithm

2021 ◽  
Vol 2021 ◽  
pp. 1-9
Author(s):  
Guo Yangyudongnanxin
Keyword(s):  
Risk Assessment ◽  
Random Forest ◽  
Credit Risk ◽  
Control Strategy ◽  
Control Strategies ◽  
Risk Control ◽  
Evaluation Index System ◽  
Risk Level ◽  
Random Forest Algorithm ◽  
Financial Credit

In order to improve the effectiveness of financial credit risk control, a financial credit risk control strategy based on weighted random forest algorithm is proposed. The weighted random forest algorithm is used to classify the financial credit risk data, construct the evaluation index system, and use the analytic hierarchy process to evaluate the financial credit risk level. The targeted risk control strategies are taken according to different risk assessment results. We compared the proposed method with two other methods, and the experimental results show that the proposed method has higher classification accuracy of financial credit data and the risk assessment threshold is basically consistent with the actual results.

Historiographical facts and political practice in Russia in the XVIII – beginning of the XXI centuries

2022 ◽  
Author(s):  
Г.Н. Ланской
Keyword(s):  
Control Strategies ◽  
Historical Research ◽  
Political Practice ◽  
Historical Science ◽  
Political Actors ◽  
The Past ◽  
And Control ◽  
Coordination And Control ◽  
Development And Evolution

Статья посвящена истории связи между развитием исторической науки и политической практики в России. В контексте этого развития представлены, с одной стороны, эволюция исторических исследований и их координации и, с другой стороны, трансформация подхода институциональных структур государства к выбору управленческой стратегии в руководстве работой историков. В качестве примера для исследования обозначенной проблемы выбран период с начала XVIII до начала XXI века, потому что в его рамках была сформирована практика профессиональной деятельности в сфере историографии как процесса человеческой деятельности. Особое внимание в статье адресовано к роли идеологии в формировании различных моделей связи между работой историков и политических деятелей по конструированию образа прошлого, настоящего и будущего развития российской истории. The article reveals the connection between the historical science development and evolution of political practice in Russia.In that context shown are the course of the historical research and the coordination and control strategies implemented by the state, including institutional transformations.As a subject of current research was taken the period from the XVIII – beginning of the XXI centuries, when historiography became a profession and was institutionalized.Special attention is driven to the role of ideology in adopting different models of interaction between historians and political actors, while framing the image of the past, the present and the future of Russia.

Maximizing trickling filter nitrification rates through biofilm control: research review and full scale application

1997 ◽  
Vol 36 (1) ◽  
pp. 255-262 ◽  
Author(s):  
Denny S. Parker ◽  
Tom Jacobs ◽  
Erich Bower ◽  
Dennis W. Stowe ◽  
Greg Farmer
Keyword(s):  
Control Strategies ◽  
Treatment Plant ◽  
Ammonia Nitrogen ◽  
Full Scale ◽  
Research Review ◽  
Trickling Filter ◽  
Trickling Filters ◽  
The Past ◽  
Biofilm Control ◽  
Control Research

Tertiary nitrifying trickling filters (NTFs) at the Littleton/Englewood wastewater treatment plant provide for nitrification to meet seasonally varying effluent requirements for ammonia nitrogen. Operation of the full-scale facilities during the past two years demonstrates highly efficient oxidation of ammonia and the effectiveness of biofilm control strategies. A decline in nitrification performance caused by predators was successfully corrected by the use of a special alkaline backwash feature which controlled the level of larval development within the NTFs.

Recent Technological Advances in the Control and Guidance of Ships

1994 ◽  
Vol 47 (2) ◽  
pp. 236-258 ◽  
Author(s):  
N. A. J. Witt ◽  
R. Sutton ◽  
K. M. Miller
Keyword(s):  
Control Systems ◽  
Intelligent Control ◽  
Adaptive Systems ◽  
Control Method ◽  
Control Strategies ◽  
The Past ◽  
Technological Advances ◽  
Ship Control ◽  
Made In ◽  
Modern Control

Over the past seventy years many advances have been made in the field of ship control. Early developments by Sperry and Minorsky on proportional controllers have led to today's modern control systems which have interfacing capabilities with position fixing equipment.This paper presents a brief historical summary of the methods employed in ship control from early proportional devices through the range of adaptive systems and concludes with details of a possible future control method known as intelligent control.Intelligent control consists of three methodologies: expert, fuzzy and neural. An investigation and comparison of the methodologies will present possible future control strategies.

Correlates of Chlamydia trachomatis infection in a primary care sentinel surveillance network

Sexual Health ◽  
2012 ◽  
Vol 9 (3) ◽  
pp. 247 ◽  
Author(s):  
Megan S. C. Lim ◽  
Jane L. Goller ◽  
Rebecca Guy ◽  
Judy Gold ◽  
Mark Stoove ◽  
...  
Keyword(s):  
Control Strategies ◽  
Routine Data ◽  
Sex Partners ◽  
Surveillance Network ◽  
Inconsistent Condom ◽  
Chlamydia Trachomatis Infection ◽  
Multiple Sex Partners ◽  
The Past ◽  
Younger Age ◽  
The Impact

Background Chlamydia is the most commonly notified infection in Australia. Prevention strategies should be informed by routine data on at-risk populations. Methods: We calculated chlamydia positivity and correlates of infection using multivariable logistic regression for data collected between April 2006 and June 2009. Results: Chlamydia positivity was 5.6% in 12 233 females, 7.7% in 10 316 heterosexual males and 6.2% in 7872 men who have sex with men (MSM). Correlates of chlamydia positivity among females included younger age (odds ratio (OR) 2.27, 95% confidence interval (CI) 1.92–2.69), being born overseas (OR 1.50, 95% CI 1.25–1.82), multiple sex partners in the past year (OR 1.72, 95% CI 1.40–2.11) and inconsistent condom use with regular sex partners (OR 3.44 ,95% CI 1.65–7.20). Sex work was protective for females (OR 0.68, 95% CI 0.53–0.86). Among heterosexual males, correlates of positivity were younger age (OR 1.87, 95% CI 1.62–2.17), being born overseas (OR 1.35, 95% CI 1.16–1.58), symptoms at the time of testing (OR 1.64, 95% CI 1.40–1.92) and multiple sex partners in the past year (OR 1.83, 95% CI 1.46–2.30). Correlates of positivity among MSM were being born overseas (OR 1.23, 95% CI 1.00–1.51), being HIV-positive (OR 1.80, 95%CI 1.32–2.47), and reporting six or more anal sex partners in the past 6 months (OR 4.45, 95% CI 1.37–14.5). Conclusions: Our analysis identified subgroups at the highest risk of chlamydia in Victoria. These estimates will provide important baseline information to measure the impact of chlamydia control strategies.

LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL

2015 ◽  
Vol 18 (05) ◽  
pp. 1550033
Author(s):  
OLIVIER MENOUKEU-PAMEN ◽  
ROMUALD MOMEYA
Keyword(s):  
Regime Switching ◽  
Risk Minimization ◽  
Martingale Representation ◽  
Option Hedging ◽  
Hedging Strategies ◽  
Local Risk ◽  
Hedging Problem ◽  
Markov Modulated ◽  
Martingale Representation Theorem ◽  
Minimization Approach

In this paper, the option hedging problem for a Markov-modulated exponential Lévy model is examined. We use the local risk-minimization approach to study optimal hedging strategies for Europeans derivatives when the price of the underlying is given by a regime-switching Lévy model. We use a martingale representation theorem result to construct an explicit local risk minimizing strategy.

Sign in / Sign up

Export Citation Format

Share Document