A Two-Population Mortality Model to Assess Longevity Basis Risk

Index-based hedging solutions are used to transfer the longevity risk to the capital markets. However, mismatches between the liability of the hedger and the hedging instrument cause longevity basis risk. Therefore, an appropriate two-population model to measure and assess longevity basis risk is required. In this paper, we aim to construct a two-population mortality model to provide an effective hedge against the basis risk. The reference population is modelled by using the Lee–Carter model with the renewal process and exponential jumps, and the dynamics of the book population are specified. The analysis based on the U.K. mortality data indicate that the proposed model for the reference population and the common age effect model for the book population provide a better fit compared to the other models considered in the paper. Different two-population models are used to investigate the impact of sampling risk on the index-based hedge, as well as to analyse the risk reduction regarding hedge effectiveness. The results show that the proposed model provides a significant risk reduction when mortality jumps and sampling risk are taken into account.

Download Full-text

Coherent Mortality Model in A State-Space Approach

Sains Malaysiana ◽

10.17576/jsm-2021-5004-20 ◽

2021 ◽

Vol 50 (4) ◽

pp. 1101-1111

Author(s):

Siti Rohani Mohd Nor ◽

Fadhilah Yusof ◽

Siti Mariam Norrulashikin

Keyword(s):

State Space ◽

Prediction Interval ◽

Forecast Accuracy ◽

Age Effect ◽

Joint Estimation ◽

Mortality Model ◽

Proposed Model ◽

Mortality Forecasts ◽

Population Mortality ◽

Life Annuities

Mortality improvements that have recently become apparent in most developing countries have significantly shaped queries on forecast divergent between populations in recent years. Therefore, to ensure a more coherent way of forecasting, previous researchers have proposed multi-population mortality model in the form of independent estimation procedures. However, similar to single-population mortality model, such independent approaches might lead to inaccurate prediction interval. As a result of this inaccurate mortality forecasts, the life expectancies and the life annuities that the mortality model aims to generate is underestimated. In this study, we propose another new extension of the multi-population mortality model in a joint estimation approach by recasting the model into a state-space framework. A combination of augmented Li-Lee and O’Hare-Li methods are employed, before we transform the proposed model into a state-space formulation. In addition, this study incorporates the quadratic age effect parameter to the proposed model to better capture the younger ages mortality. We apply the method to gender and age-specific data for Malaysia. The results show that our latter framework brings a significant contribution to the multi-population mortality model due to the incorporation of joint-estimate and quadratic age effect parameters into the model’s structure. Consequently, the proposed model improves the mortality forecast accuracy.

Download Full-text

The impact of closing emergency departments on mortality in emergencies: an observational study

Emergency Medicine Journal ◽

10.1136/emermed-2018-208146 ◽

2019 ◽

Vol 36 (11) ◽

pp. 645-651 ◽

Cited By ~ 5

Author(s):

Emma Knowles ◽

Neil Shephard ◽

Tony Stone ◽

Suzanne M Mason ◽

Jon Nicholl

Keyword(s):

Emergency Care ◽

Emergency Departments ◽

Hospital Admissions ◽

Geographical Area ◽

Case Fatality ◽

Urgent Care ◽

Mortality Data ◽

Risk Of Death ◽

Population Mortality ◽

The Impact

BackgroundIn England the demand for emergency care is increasing, while there is also a staffing shortage. This has implications for quality of care and patient safety. One solution may be to concentrate resources on fewer sites by closing or downgrading emergency departments (EDs). Our aim was to quantify the impact of such reorganisation on population mortality.MethodsWe undertook a controlled interrupted time series analysis to detect the impact of closing or downgrading five EDs, which occurred due to concerns regarding sustainability. We obtained mortality data from 2007 to 2014 using national databases. To establish ED resident catchment populations, estimated journey times by road were supplied by the Department for Transport. Other major changes in the emergency and urgent care system were determined by analysis of annual NHS Trust reports in each geographical area studied. Our main outcome measures were mortality and case fatality for a set of 16 serious emergency conditions.ResultsFor residents in the areas affected by closure, journey time to the nearest ED increased (median change 9 min, range 0–25 min). We found no statistically reliable evidence of a change in overall mortality following reorganisation of ED care in any of the five areas or overall (+2.5% more deaths per month on average; 95% CI −5.2% to +10.2%; p=0.52). There was some evidence to suggest that, on average across the five areas, there was a small increase in case fatality, an indicator of the ‘risk of death’ (+2.3%, 95% CI +0.9% to+3.6%; p<0.001), but this may have arisen due to changes in hospital admissions.ConclusionsWe found no evidence that reorganisation of emergency care was associated with a change in population mortality in the five areas studied. Further research should establish the economic consequences and impact on patient experience and neighbouring hospitals.

Download Full-text

1462. The protective effect of pneumococcal vaccination on cardiovascular disease in adults: A systematic review and meta-analysis

Open Forum Infectious Diseases ◽

10.1093/ofid/ofaa439.1643 ◽

2020 ◽

Vol 7 (Supplement_1) ◽

pp. S733-S733

Author(s):

Fawziah Marra ◽

Angel Zhang ◽

Emma Gillman ◽

Katherine Bessai ◽

Kamalpreet Parhar ◽

...

Keyword(s):

Myocardial Infarction ◽

Cardiovascular Disease ◽

Protective Effect ◽

Risk Reduction ◽

Cardiovascular Event ◽

Meta Analysis ◽

Significant Risk ◽

Pneumococcal Vaccination ◽

The Impact ◽

Research Grant

Abstract Background Epidemiological studies suggest a link between pneumococcal infection and an adverse cardiovascular outcome such as myocardial infarction. Therefore, studies have evaluated the protective effect of the 23-valent polysaccharide pneumococcal vaccination (PPV23), but results have varied. We conducted a meta-analysis to summarize the available evidence on the impact of PPV23 on cardiovascular disease Methods A literature search from January 1946 to September 2019 was conducted in Embase, Medline and Cochrane. All studies evaluating PPV23 compared to a control (placebo, no vaccine or another vaccine) for any cardiovascular events including myocardial infarction (MI), heart failure, cerebrovascular events were included. Risk ratios (RRs) were pooled using random effects models. Results Eighteen studies were included, with a total of 716,108 participants. Vaccination with PPV23 was associated with decreased risk of any cardiovascular event (RR: 0.91;95% CI: 0.84-0.99), and MI (RR of 0.88; 95% CI:0.79-0.98) in all age groups, with a significant effect in those 65 years and older, but not in the younger age group. Similarly, PPV23 vaccine was associated with significant risk reduction in all-cause mortality in all ages (RR: 0.78; 95%CI: 0.68-0.88), specifically in those aged 65 years and older (RR: 0.71; 95%CI: 0.60-0.84). A significant risk reduction in cerebrovascular disease was not observed following pneumococcal vaccination. Conclusion Polysaccharide pneumococcal vaccination decreases the risk of a cardiovascular event, specifically acute MI in the vaccinated population, particularly those 65 years of age and older. It would be highly beneficial to vaccinate the population who is at greater risk for cardiovascular diseases. Disclosures Fawziah Marra, BSc (Pharm), PharmD, Pfizer Inc (Research Grant or Support) Nirma Khatri Vadlamudi, BA, BS, MPH, Pfizer Inc (Research Grant or Support)

Download Full-text

Common Factor Cause-Specific Mortality Model

Risks ◽

10.3390/risks9120221 ◽

2021 ◽

Vol 9 (12) ◽

pp. 221

Author(s):

Geert Zittersteyn ◽

Jennifer Alonso-García

Keyword(s):

Life Expectancy ◽

Common Factor ◽

Trivial Extension ◽

Mortality Data ◽

Mortality Model ◽

Mortality Models ◽

Specific Mortality ◽

Accurate Forecast ◽

Mortality Forecasts ◽

Population Mortality

Recent pension reforms in Europe have implemented a link between retirement age and life expectancy. The accurate forecast of life tables and life expectancy is hence paramount for governmental policy and financial institutions. We developed a multi-population mortality model which includes a cause-specific environment using Archimedean copulae to model dependence between various groups of causes of death. For this, Dutch data on cause-of-death mortality and cause-specific mortality data from 14 comparable European countries were used. We find that the inclusion of a common factor to a cause-specific mortality context increases the robustness of the forecast and we underline that cause-specific mortality forecasts foresee a more pessimistic mortality future than general mortality models. Overall, we find that this non-trivial extension is robust to the copula specification for commonly chosen dependence parameters.

Download Full-text

Test of Mediation and Moderation between Employee Empathy and Customers’ Advocacy

10.34091/ajss.13.1.09 ◽

2020 ◽

Author(s):

Sajjad Ahmad Afridi ◽

Asad Shahjehan ◽

Maqsood Haider ◽

Dr Uzma Munawar

Keyword(s):

Factor Analysis ◽

Customer Loyalty ◽

Service Sector ◽

Mediating Effect ◽

First Line ◽

Private Hospitals ◽

Proposed Model ◽

Confirmatory Factor ◽

The Impact ◽

Significant Moderator

This study examined the impact of employee empathy on customers’ advocacy directly and indirectly through customers’ loyalty. Moreover, the interacting effect of customers’ trust was verified between the association of customers’ loyalty and advocacy. The attributes of the proposed model were examined in the context of first line employee and patients’ interactions. A total of 220 responses were collected for analysis from the private hospitals of Peshawar. The model fitness was confirmed through confirmatory factor analysis and hypotheses were examined. Findings confirmed the positive and significant impact of employee empathy on customers’ advocacy. Further, the mediating effect was examined and found that loyalty partially mediates employee empathy and customers’ advocacy. Additionally, trust was found a significant moderator between the association of customer loyalty and advocacy. Furthermore, findings revealed that trust based loyalty significantly and positively mediates employee empathy and customers’ advocacy. Findings of the present study provide understanding for the service sector, particularly in healthcare, to enhance customers’ loyalty, advocacy, and trust through service employee’s empathic aptitude. Keywords: Employee empathy, Service Eco-system, Customers’ Loyalty, Customers’ Advocacy, Trust-Based Loyalty, Healthcare, S-D Logic

Download Full-text

The impact of duration observations on precision of results GNSS measurements

Geodesy and Cartography ◽

10.22389/0016-7126-2017-921-3-7-13 ◽

2017 ◽

Vol 921 (3) ◽

pp. 7-13 ◽

Cited By ~ 1

Author(s):

S.V. Grishko

Keyword(s):

Measurement Accuracy ◽

Functional Dependence ◽

Observation Time ◽

Satellite Networks ◽

Satellite Measurements ◽

Proposed Model ◽

Actual Error ◽

Gnss Measurements ◽

The Impact ◽

Qualitative Characteristics

This paper shows that the accuracy of relative satellite measurements depend not only on the length of the baseline, as it is regulated by the rating formula of accuracy of GNSS equipment, but also on the duration of observations. As a result of the strict adjustment much redundant satellite networks with different duration of observations obtained covariance matrix of baselines, the most realistic reflecting the actual error of satellite observations. Research of forms of communication of these errors from length of the baseline and duration of its measurement is executed. A significant influence of solar activity on accuracy of satellite measurements, in general, leads to unequal similar series of measurements made at different periods, for example, in the production of monitoring activities. The model of approximation of the functional dependence of accuracy of the baseline from its length and duration of observations having good qualitative characteristics is offered. Based on the proposed model, we analyzed the dynamics of changes in measurement accuracy with an increase in observation time.

Download Full-text

Mandatory annuitization and money's worth: evidence from Singapore

Journal of Pension Economics and Finance ◽

10.1017/s147474722100010x ◽

2021 ◽

pp. 1-20

Author(s):

Joelle H. Fong ◽

Jackie Li

Keyword(s):

Expected Value ◽

Longevity Risk ◽

Future Trends ◽

The Past ◽

The Future ◽

Population Mortality ◽

Mortality Improvement ◽

Life Annuities ◽

Compulsory Purchase ◽

The Impact

Abstract This paper examines the impact of uncertainties in the future trends of mortality on annuity values in Singapore's compulsory purchase market. We document persistent population mortality improvement trends over the past few decades, which underscores the importance of longevity risk in this market. Using the money's worth framework, we find that the life annuities delivered expected payouts valued at 1.019–1.185 (0.973–1.170) per dollar of annuity premium for males (females). Even in a low mortality improvement scenario, the annuities provide an expected value exceeding 0.950. This suggests that participants in the national annuity pool have access to attractively priced annuities, regardless of sex, product, and premium invested.

Download Full-text

Temperature, Disease, and Death in London: Analyzing Weekly Data for the Century from 1866 to 1965

The Journal of Economic History ◽

10.1017/s0022050720000613 ◽

2021 ◽

pp. 1-41

Author(s):

W. Walker Hanlon ◽

Casper Worm Hansen ◽

Jake Kantor

Keyword(s):

Nineteenth Century ◽

High Temperature ◽

Mortality Data ◽

Late Nineteenth Century ◽

Infant Deaths ◽

Digestive Diseases ◽

Late Nineteenth ◽

The Impact ◽

The City

Using novel weekly mortality data for London spanning 1866-1965, we analyze the changing relationship between temperature and mortality as the city developed. Our main results show that warm weeks led to elevated mortality in the late nineteenth century, mainly due to infant deaths from digestive diseases. However, this pattern largely disappeared after WWI as infant digestive diseases became less prevalent. The resulting change in the temperature-mortality relationship meant that thousands of heat-related deaths—equal to 0.9-1.4 percent of all deaths— were averted. These findings show that improving the disease environment can dramatically alter the impact of high temperature on mortality.

Download Full-text

Stock Market Volatility and Terrorism: New Evidence from the Markov Switching Model

Peace Economics Peace Science and Public Policy ◽

10.1515/peps-2020-0005 ◽

2020 ◽

Vol 0 (0) ◽

Author(s):

Faheem Aslam ◽

Hyoung-Goo Kang ◽

Khurrum Shahzad Mughal ◽

Tahir Mumtaz Awan ◽

Yasir Tariq Mohmand

Keyword(s):

Stock Market ◽

Significant Risk ◽

Market Volatility ◽

Terrorist Attacks ◽

Stock Market Volatility ◽

Markov Switching Model ◽

Physical Damage ◽

Stock Market Returns ◽

Switching Model ◽

The Impact

AbstractTerrorism in Pakistan poses a significant risk towards the lives of people by violent destruction and physical damage. In addition to human loss, such catastrophic activities also affect the financial markets. The purpose of this study is to examine the impact of terrorism on the volatility of the Pakistan stock market. The financial impact of 339 terrorist attacks for a period of 18 years (2000–2018) is estimated w.r.t. target type, days of the week, and surprise factor. Three important macroeconomic variables namely exchange rate, gold, and oil were also considered. The findings of the EGARCH (1, 1) model revealed that the terrorist attacks targeting the security forces and commercial facilities significantly increased the stock market volatility. The significant impact of terrorist attacks on Monday, Tuesday, and Thursday confirms the overreaction of investors to terrorist news. Furthermore, the results confirmed the negative linkage between the surprise factor and stock market returns. The findings of this study have significant implications for investors and policymakers.

Download Full-text

The impact of socio-demographic factors on the survival of cancer patients in Zimbabwe

Scientific Reports ◽

10.1038/s41598-021-91781-4 ◽

2021 ◽

Vol 11 (1) ◽

Author(s):

Idika E. Okorie ◽

Ricardo Moyo ◽

Saralees Nadarajah

Keyword(s):

Risk Factors ◽

Survival Analysis ◽

Marital Status ◽

Cancer Patients ◽

Hazard Rate ◽

Significant Risk ◽

Demographic Factors ◽

Female Cancer Patients ◽

Socio Demographic Factors ◽

The Impact

AbstractWe provide a survival analysis of cancer patients in Zimbabwe. Our results show that young cancer patients have lower but not significant hazard rate compared to old cancer patients. Male cancer patients have lower but not significant hazard rate compared to female cancer patients. Race and marital status are significant risk factors for cancer patients in Zimbabwe.

Download Full-text