This paper considers the pricing of long-term options on assets such as housing, where either government intervention or the economic nature of the asset limits large falls in prices. The observed asset price is modelled by a geometric Brownian motion (“the notional price”) reflected at a lower barrier. The resulting observed price has standard dynamics but with localised intervention at the barrier, which allows arbitrage with interim losses; this is funded by the government’s unlimited powers of intervention, and its exploitation is subject to credit constraints. Despite the lack of an equivalent martingale measure for the observed price, options on this price can be expressed as compound options on the arbitrage-free notional price, to which standard risk-neutral arguments can be applied. Because option deltas tend to zero when the observed price approaches the barrier, hedging with the observed price gives the same results as hedging with the notional price and so exactly replicates option payoffs. Hedging schemes are not unique, with the cheapest scheme for any derivative being the one which best exploits the interventions at the barrier. The price of a put is clear: direct replication has a lower initial cost than synthetic replication, and the replication portfolio always has positive value. The price of a call is ambiguous: synthetic replication has a lower initial cost than direct replication, but the replication portfolio may give interim losses. So the preferred replication strategy (and hence price) of a call depends on what margin payments need to be made on these losses.

The life distribution of a device subject to shocks governed by a homogeneous Poisson process is shown to have a bathtub failure rate average (BFRA) when the probabilities $\bar{P}_k$ of surviving k shocks possess the corresponding discrete property. We prove closure under the formation of weak limits for BFRA distributions and explore related moment convergence issues within the BFRA family. Similar results for increasing and decreasing failure rate average distributions are obtained either independently or as consequences of our results. We also establish some results outlining the positions of various non-monotonic ageing classes such as bathtub failure rate, increasing initially then decreasing mean residual life, new worse then better than used in expectation, and increasing initially then decreasing mean time to failure in the hierarchy. Finally, an open problem is posed and a partial solution provided.

We present a Markov chain example where non-reversibility and an added edge jointly improve mixing time. When a random edge is added to a cycle of n vertices and a Markov chain with a drift is introduced, we get a mixing time of $O(n^{3/2})$ with probability bounded away from 0. If only one of the two modifications were performed, the mixing time would stay $\Omega(n^2)$.

The impact of individual symptoms reported post-COVID-19 on subjective well-being (SWB) is unknown. We described associations between SWB and selected reported symptoms following SARS-CoV-2 infection. We analysed reported symptoms and subjective well being from 2295 participants (of which 576 reporting previous infection) in an ongoing longitudinal cohort study taking place in Israel. We estimated changes in SWB associated with reported selected symptoms at three follow-up time points (3–6, 6–12 and 12–18 months post infection) among participants reporting previous SARS-CoV-2 infection, adjusted for key demographic variables, using linear regression. Our results suggest that the biggest and most sustained changes in SWB stems from non-specific symptoms (fatigue −7.7 percentage points (pp), confusion/ lack of concentration −10.7 pp, and sleep disorders −11.5pp, P < 0.005), whereas the effect of system-specific symptoms, such as musculoskeletal symptoms (weakness in muscles and muscle pain) on SWB, are less profound and more transient. Taking a similar approach for other symptoms and following individuals over time to describe trends in SWB changes attributable to specific symptoms will help understand the post-acute phase of COVID-19 and how it should be defined and better managed. Post-acute COVID19 symptoms were associated with a significant decrease in subjective well being up to 18 months after initial infection

We study a distributionally robust reinsurance problem with the risk measure being an expectile and under expected value premium principle. The mean and variance of the ground-up loss are known, but the loss distribution is otherwise unspecified. A minimax problem is formulated with its inner problem being a maximization problem over all distributions with known mean and variance. We show that the inner problem is equivalent to maximizing the problem over three-point distributions, reducing the infinite-dimensional optimization problem to a finite-dimensional optimization problem. The finite-dimensional optimization problem can be solved numerically. Numerical examples are given to study the impacts of the parameters involved.

We formalize a consumption–investment–insurance problem with the distinction of a state-dependent relative risk aversion. The state dependence refers to the state of the finite state Markov chain that also formalizes insurable risks such as health and lifetime uncertainty. We derive and analyze the implicit solution to the problem, compare it with special cases in the literature, and illustrate the range of results in a disability model where the relative risk aversion is preserved, decreases, or increases upon disability.

We study a stochastic model for a target benefit pension plan suffering from rising longevity and falling fertility. Policies for postponing retirement are carried out to hedge the payment difficulties caused by the aging population. The plan members’ contributions are set in advance while the pension payments reflect intergenerational equity by a target payment level and intergenerational risk sharing by an adjustment. The pension fund is invested in both a risk-free asset and a risky asset. Applying the stochastic optimal control methods, we derive analytic solutions for optimal investment and benefit payment strategies which minimize the benefit risk. Besides, an optimal delayed retirement age which can hedge against the aging phenomenon under certain parameters is given. Therefore, it can provide a basis for quantifying the delay of retirement time.