This abstract relates to the following paper:

Pelkiewicz, A., Ahmed, S., Fulcher, P., Johnson, K., Reynolds, S., Schneider, R. & Scott, A. (2020) A review of the risk margin – Solvency II and beyond report by the Risk Margin Working Party - Abstract of the London Discussion. British Actuarial Journal, 25, E1. doi:10.1017/S135732172000001X.

Surveillance for acute flaccid paralysis (AFP) cases are essential for polio eradication. However, as most poliovirus infections are asymptomatic and some regions of the world are inaccessible, additional surveillance tools require development. Within England and Wales, we demonstrate how inclusion of environmental sampling (ENV) improves the sensitivity of detecting both wild and vaccine-derived polioviruses (VDPVs) when compared to current surveillance. Statistical modelling was used to estimate the spatial risk of wild and VDPV importation and circulation in England and Wales. We estimate the sensitivity of each surveillance mode to detect poliovirus and the probability of being free from poliovirus, defined as being below a pre-specified prevalence of infection. Poliovirus risk was higher within local authorities in Manchester, Birmingham, Bradford and London. The sensitivity of detecting wild poliovirus within a given month using AFP and enterovirus surveillance was estimated to be 0.096 (95% CI 0.055–0.134). Inclusion of ENV in the three highest risk local authorities and a site in London increased surveillance sensitivity to 0.192 (95% CI 0.191–0.193). The sensitivity of ENV strategies can be compared using the framework by varying sites and the frequency of sampling. The probability of being free from poliovirus slowly increased from the date of the last case in 1993. ENV within areas thought to have the highest risk improves detection of poliovirus, and has the potential to improve confidence in the polio-free status of England and Wales and detect VDPVs.

This paper studies an optimal deterministic investment problem for a DC pension plan member with inflation risk. We describe the price processes of the inflation-indexed bond and the stock by a continuous diffusion process and a jump diffusion process with random parameters, respectively. The contribution rate linked to the income of the DC plan member is assumed to be a non-Markovian adapted process. Under the mean-variance criterion, we use Malliavin calculus to derive a characterization for the optimal deterministic investment strategy. In some special cases, we obtain the explicit expressions for the optimal deterministic strategies.

Despite an abundance of semiparametric estimators of the transformation model, no procedure has been proposed yet to test the hypothesis that the transformation function belongs to a finite-dimensional parametric family against a nonparametric alternative. In this article, we introduce a bootstrap test based on integrated squared distance between a nonparametric estimator and a parametric null. As a special case, our procedure can be used to test the parametric specification of the integrated baseline hazard in a semiparametric mixed proportional hazard model. We investigate the finite sample performance of our test in a Monte Carlo study. Finally, we apply the proposed test to Kennan’s strike durations data.

This article presents a bootstrapped p-value white noise test based on the maximum correlation, for a time series that may be weakly dependent under the null hypothesis. The time series may be prefiltered residuals. The test statistic is a normalized weighted maximum sample correlation coefficient $ \max _{1\leq h\leq \mathcal {L}_{n}}\sqrt {n}|\hat {\omega }_{n}(h)\hat {\rho }_{n}(h)|$, where $\hat {\omega }_{n}(h)$ are weights and the maximum lag $ \mathcal {L}_{n}$ increases at a rate slower than the sample size n. We only require uncorrelatedness under the null hypothesis, along with a moment contraction dependence property that includes mixing and nonmixing sequences. We show Shao’s (2011, Annals of Statistics 35, 1773–1801) dependent wild bootstrap is valid for a much larger class of processes than originally considered. It is also valid for residuals from a general class of parametric models as long as the bootstrap is applied to a first-order expansion of the sample correlation. We prove the bootstrap is asymptotically valid without exploiting extreme value theory (standard in the literature) or recent Gaussian approximation theory. Finally, we extend Escanciano and Lobato’s (2009, Journal of Econometrics 151, 140–149) automatic maximum lag selection to our setting with an unbounded lag set that ensures a consistent white noise test, and find it works extremely well in controlled experiments.

We propose a model-free test for structural changes in factor models. The basic idea is to regress the data on commonly estimated factors by local smoothing and compare the fitted values of time-varying factor loadings with those of time-invariant factor loadings estimated via principal component analysis. By construction, the test is designed to be powerful against both smooth structural changes and sudden structural breaks with a possibly unknown number of breaks and unknown break dates in the factor loadings. No restrictions on the form of alternatives or trimming of boundary regions near the beginning or end of the sample period is required for the test. The test has power to detect the usual nonparametric rate of local alternatives. Monte Carlo studies demonstrate excellent power of the test in detecting both smooth and sudden structural changes in the factor loadings. In an application using U.S. asset returns, we find significant evidence against time-invariant factor loadings.

While network research often focuses on social integration as a predictor of health, a less-explored idea is that connections to dissimilar others may benefit well-being. As such, this study investigates whether network diversity is associated with changes in four health outcomes over a 3-year period of time in the U.S.A. Specifically, we focus on how an underexplored measure of network diversity—educational attainment assortativity—is associated with common self-reported outcomes: propensity to exercise, body-mass index, mental health, and physical health. We extend prior research by conducting multilevel analyses using this measure of diversity while adjusting for a range of socio-demographic and network confounders. Data are drawn from a longitudinal probability sample of U.S. adults (n=10.679) in which respondents reported information about themselves and eight possible alters during three yearly surveys (2013–2015). We find, first, that higher educational attainment is associated with more educationally insular networks, while less-educated adults have more educationally diverse networks. Results further suggest that having educationally similar networks is associated with higher body-mass index among the less educated. Further exploration of the relationship between ego network diversity, tie strength, and health is warranted.

Individuals filling specialized, interdependent organizational roles achieve coordinated task execution through effective communication channels. Such channels enable regular access to information, opportunities, and assistance that may enhance one’s understanding of the task environment. However, the time and effort devoted to maintaining those channels may detract from one’s duties by turning attention away from the task environment. Disrupted task environments increase information requirements, thus creating a dilemma in which individuals must sustain benefits offered by important communication channels and relieve burdens imposed by ineffective channels. Using separable temporal exponential random graph models (STERGMs), this paper examines the relationship between situational awareness (SA) and the propensity to sustain or dissolve preexisting communication channels during 10 disruptive events experienced sequentially by a large, multifaceted military organization during a 2-week training exercise. Results provide limited evidence that increased SA detracts from tie preservation; instead SA begins to predict tie preservation during the second week of the exercise. Patterns of organizational adaptation reveal that, over time, improvised coordinative roles increasingly fall upon those with elevated SA. These results suggest that over successive disruptions, the benefits of information provided by communication channels within interdependent, role-specialized organizations begin to outweigh the costs of sustaining those channels.

Salmonella is a leading cause of foodborne outbreaks in Taiwan. On 27 April 2018, a salmonellosis outbreak among customers of a restaurant was reported to the Taiwan CDC. We investigated the outbreak to identify infection sources and prevent further transmission. We interviewed ill customers and their dining companions. We conducted a case-control study to identify foods associated with the illness. Case-patients were those who had diarrhoea within 72 h after eating at the restaurant during 16–27 April 2018. Specimens, food samples and environmental samples were collected and tested for enteric pathogens. Salmonella isolates were analysed with pulse-field gel electrophoresis and whole-genome sequencing. We inspected the restaurant sanitation and reviewed kitchen surveillance camera recordings. We identified 47 case-patients, including one decedent. Compared with 44 controls, case-patients were more likely to have had a French toast sandwich (OR: 102.4; 95% CI: 18.7–952.3). Salmonella Enteritidis isolates from 16 case-patients shared an indistinguishable genotype. Camera recordings revealed eggshell contamination, long holding time at room temperature and use of leftovers during implicated food preparation. Recommendations for restaurant egg-containing food preparation are to use pasteurised egg products and ensure a high enough cooking temperature and long enough cooking time to prevent Salmonella contamination.

The time to positivity (TTP) of blood cultures has been considered a predictor of clinical outcomes for bacteremia. This retrospective study aimed to determine the clinical value of TTP for the prognostic assessment of patients with Escherichia coli bacteremia. A total of 167 adult patients with E.coli bacteremia identified over a 22-month period in a 3500-bed university teaching hospital in China were studied. The standard cut-off TTP was 11 h in the patient cohort. The septic shock occurred in 27.9% of patients with early TTP (⩽11 h) and in 7.1% of those with a prolonged TTP (>11 h) (P = 0.003). The mortality rate was significantly higher for patients in the early than in the late group (17.7% vs. 4.0%, P < 0.001). Multivariate analysis showed that an early TTP (OR 4.50, 95% CI 1.70–11.93), intensive care unit admission (OR 8.39, 95% CI 2.01–35.14) and neutropenia (OR 4.20, 95% CI 1.55–11.40) were independently associated with septic shock. Likewise, the independent risk factors for mortality of patients were an early TTP (OR 3.80, 95% CI 1.04–12.90), intensive care unit admission (OR 6.45; 95% CI 1.14–36.53), a Pittsburgh bacteremia score ⩾2 (OR 4.34, 95% CI 1.22–15.47) and a Charlson Comorbidity Index ⩾3 (OR 11.29, 95% CI 2.81–45.39). Overall, a TTP for blood cultures within 11 h appears to be associated with worse outcomes for patients with E.coli bacteremia.

This paper investigates the volatility in regime-switching models formulated based on the geometric Brownian motion with its drift and volatility factors randomized with Markov chains. By developing explicit formulas about occupation time of Markov chains, we analysis the difference between global volatility of this model and the volatility caused by Brownian randomness, in order to measure the volatility caused by regime-switching after justifying its existence. Utilizing this structure of volatility, we optimize the methods of volatility parameters estimation.

Reduction in seroprevalence of Hepatitis A virus (HAV) is known to be associated with improvements in socioeconomic conditions of the community. National Institute of Virology, Pune has been studying seroprevalence of hepatitis viruses in Pune region over the past four decades. In total, 1438 samples were collected from urban general (UGEN), urban lower socioeconomic stratum (ULSES) and rural (RURAL) populations of the Pune district. Based on estimates in previous studies, subjects were enrolled from age groups ‘6–10’, ‘15–25’ and ‘40 + ’ years. HAV seroprevalence in younger population showed a significant decline. A significant decline in HAV seroprevalence in ‘15–25’ years age group in UGEN (from 85.9% to 73.9%; OR = 0.46, 95% CI: 0.25–0.86) and RURAL (from 98.6% to 91.4%; OR = 0.15, 95% CI: 0.05–0.45) populations suggested that the trend probably started more than a decade ago. Seroprevalence of HAV among ULSES ‘6–10’ children was found to be significantly higher (70.4%) than that among the RURAL children (44.2%; OR = 3.0, 95%CI: 1.7–5.2) and UGEN children (40.4%; OR = 3.5, 95%CI: 1.8–6.7). In view of increasing rates of urbanisation in India, ULSES population needs special consideration while designing future studies and viral hepatitis vaccination/elimination strategies. Our findings call for robust population-based studies that consider heterogeneity within populations and dynamics of socio-economic parameters in various regions of a country.

Outbreaks of norovirus-associated gastroenteritis have been reported in schools in recent decades in China. For early warning and response to infectious disease outbreaks, the Shanghai Infectious Diseases Bud Event Surveillance System (IDBESS) was established in 2016. Bud event is a term used for the early sign of a potential infectious disease outbreak in public settings when the first few cases appear. This study aimed to describe the epidemiological characteristics of Norovirus-associated gastroenteritis bud events from June 2016 to December 2017 and to understand factors influencing the severity of events. Data were extracted from the IDBESS, supplemented by field investigations and school absence surveillance. In total, 189 bud events of Norovirus-associated gastroenteritis were reported in schools and kindergartens, affecting 3827 individuals and 52.38% happened in primary schools. The attack rate of Norovirus-associated gastroenteritis was 3.82% on average in students in the affected schools. In each event, case numbers varied between 5 and 148, with a median of 16. The duration of bud events lasted for 2 days on average. School absence happened in 47.93% (1797/3749) of affected students and the average duration of absence was 3.07 days. It was found that a longer delay before reporting was associated with a longer-lasting duration of bud event (OR = 2.25, 95% CI: 1.65, 3.07). In conclusion, ascribed to the sensitive threshold for alerting and the timely field investigation, the surveillance of bud events of Norovirus-associated gastroenteritis is effective in the control of Norovirus infection among preschool children and students in Shanghai.

HIV-1 drug resistance can compromise the effectiveness of antiretroviral therapy (ART). A survey of pretreatment HIV-1 drug resistance (PDR) was conducted in Lincang Prefecture of Yunnan Province. From 372 people living with HIV/AIDS initiating ART for the first time during 2017–2018, 322 pol sequences were obtained, of which 11 HIV-1 strain types were detected. CRF08_BC (70.2%, 226/322) was the predominant strain, followed by URF strains (10.6%, 34/322). Drug resistance mutations (DRMs) were detected among 34.2% (110/322) of the participants. E138A/G/K/R (14.3%, 46/322) and V179E/D/T (13.7%, 47/322) were the predominant DRMs. Specifically, E138 mutations commonly occurred in CRF08_BC (19.9%, 45/226). Among the DRMs detected, some independently conferred resistance, such as K65R (1.6%, 5/322), Y188C/F/L (0.9%, 3/322), K103N (0.6%, 2/322) and G190A (0.3%, 1/322), which conferred high-level resistance. The prevalence of PDR was 7.5% (95% CI: 4.6–10.3%) and the prevalence of non-nucleotide reverse transcriptase inhibitor (NNRTI) resistance was 5.0% (95% CI: 2.6–7.4%), which is below the threshold (⩾10%) of initiating a public health response. In conclusion, HIV-1 genetic diversity and an overall moderate level of PDR prevalence were found in western Yunnan. PDR surveillance should be continually performed to decide whether a public health response to NNRTI resistance should be initiated.

While predicting the course of an epidemic is difficult, predicting the course of a pandemic from an emerging virus is even more so. The validity of most predictive models relies on numerous parameters, involving biological and social characteristics often unknown or highly uncertain. Data of the COVID-19 epidemics in China, Japan, South Korea and Italy were used to build up deterministic models without strong assumptions. These models were then applied to other countries to identify the closest scenarios in order to foresee their coming behaviour. The models enabled to predict situations that were confirmed little by little, proving that these tools can be efficient and useful for decision making in a quickly evolving operational context.

We discuss a two-week summer course on “Network Science” and “Complex Systems” that we taught for 15 German high-school pupils of ages 16–18. In this course, we covered topics in graph theory, applied network science, programming, and dynamic systems alike. We find that “Network Science” is a well-suited course for introducing students to university-level mathematics. We reflect on difficulties regarding programming exercises and the discussion of more advanced topics in dynamic systems. We make the course material available and encourage fellow network scientists to organize similar outreach events.

Tuberculosis (TB) in children is a critical public health issue. In Bohol, Philippines, we found a high tuberculin skin test (TST)-positive prevalence (weighted prevalence = 6.4%) among 5476 children (<15 years) from 184 villages, with geographically isolated communities having prevalence as high as 29%. Therefore, we conducted a geospatial and hot spot analysis to examine the association between villages with high TST-positive prevalence (⩾6.5%) and access to medical care (distance (in kilometres and minutes of travel time) to the municipal Rural Health Units (RHU)), access to healthcare resources (distance to Provincial Health Office (PHO)) and socioeconomic determinants of health. Hot spot analysis revealed significant clusters of TST-positive prevalence in villages farthest from the PHO. Based on univariate analysis, the following variables associated with high prevalence were included in the multivariate model: minutes of travel time to the PHO, distance to the PHO, island villages and total deprivation based on socioeconomic indicators. In the final model, only distance to PHO in minutes was significant (P = 0.005). When evaluated further, greater than 1-hour drive significantly increased risk for TST-positivity (P = 0.003). Distance to healthcare resources likely increases the risk of TB transmission within the community. Expanding TB control efforts to geographically isolated areas is critical.

This abstract relates to the following paper:

Cartagena, S., Gosrani, V., Grewal, J. & Pikinska, J. (2019) Silent cyber assessment framework - Abstract of the London Discussion. British Actuarial Journal.

Coronavirus disease 2019 (COVID-19) patients were classified into four clinical stages (uncomplicated illness, mild, severe and critical pneumonia) depending on disease severity. We aim to investigate the corresponding clinical, radiological and laboratory characteristics between different clinical stages. A retrospective, single-centre study of 101 confirmed patients with COVID-19 at Renmin Hospital of Wuhan University from 2 January to 28 January 2020 was enrolled; follow-up endpoint was on 8 February 2020. Clinical data were collected and compared during the course of illness. The median age of the 101 patients was 51.0 years and 33.6% were medical staff. Fever (68%), cough (50%) and fatigue (23%) are the most common symptoms. About 26% patients underwent the mechanical ventilation and 98% patients were treated with antibiotics. Thirty-seven per cent patients were cured and 11 died. On admission, the number of patients with uncomplicated illness, mild, severe and critical pneumonia were 2 [2%], 86 [85%], 11 [11%] and 2 [2%]. Forty-four of the 86 mild pneumonia progressed to severe illness within 4 days, with nine patients worsened due to critical pneumonia within 4 days. Two of the 11 severe patients improved to mild condition while three others deteriorated. Significant differences were observed among groups of different clinical stages in numbers of influenced pulmonary segments (6 vs. 12 vs. 17, P < 0.001). A significantly upward trend was witnessed in ground-glass opacities overlapped with striped shadows (33% vs. 42% vs. 55% vs. 80%, P < 0.001), while pure ground-glass opacities gradually decreased as disease progressed (45% vs. 35% vs. 24% vs. 13%, P < 0.001) within 12 days. Lymphocytes, prealbumin and albumin showed a downtrend as disease progressed from mild to severe or critical condition, an uptrend was found in white blood cells, C-reactive protein, neutrophils and lactate dehydrogenase. The proportions of serum amyloid A > 300 mg/l in mild, severe and critical conditions were 18%, 46% and 71%, respectively.

Mortality volatility is crucially important to many aspects of index-based longevity hedging, including instrument pricing, hedge calibration and hedge performance evaluation. This paper sets out to develop a deeper understanding of mortality volatility and its implications on index-based longevity hedging. First, we study the potential asymmetry in mortality volatility by considering a wide range of generalised autoregressive conditional heteroskedasticity (GARCH)-type models that permit the volatility of mortality improvement to respond differently to positive and negative mortality shocks. We then investigate how the asymmetry of mortality volatility may impact index-based longevity hedging solutions by developing an extended longevity Greeks framework, which encompasses longevity Greeks for a wider range of GARCH-type models, an improved version of longevity vega, and a new longevity Greek known as “dynamic Delta”. Our theoretical work is complemented by two real-data illustrations, the results of which suggest that the effectiveness of an index-based longevity hedge could be significantly impaired if the asymmetry in mortality volatility is not taken into account when the hedge is calibrated.