Variable annuities are products offered by pension funds and life offices that provide periodic future payments to the investor and often have ancillary benefits that guarantee survival benefits or sums insured on death. This paper extends the benchmark approach to value and hedge long-dated variable annuities using a combination of cash, bonds and equities under a variety of market models, allowing for dependence between financial and insurance markets. Under a simplified case of independence, the results show that when the discounted index is modelled as a time-transformed squared Bessel process, less-expensive valuation and reserving is achieved regardless of the short rate model or the mortality model.

In this paper, we develop the first formal nonparametric test for whether the observation errors in option panels display spatial dependence. The panel consists of options with different strikes and tenors written on a given underlying asset. The asymptotic design is of the infill type—the mesh of the strike grid for the observed options shrinks asymptotically to zero, while the set of observation times and tenors for the option panel remains fixed. We propose a Portmanteau test for the null hypothesis of no spatial autocorrelation in the observation error. The test makes use of the smoothness of the true (unobserved) option price as a function of its strike and is robust to the presence of heteroskedasticity of unknown form in the observation error. A Monte Carlo study shows good finite-sample properties of the developed testing procedure and an empirical application to S&P 500 index option data reveals mild spatial dependence in the observation error, which has been declining in recent years.

Dielectric breakdown in a thin oxide is presented in terms of an interacting particle system on a two-dimensional lattice. All edges in the system are initially assumed to be closed. An edge between two adjacent vertices will open according to an exponentially distributed random variable. Breakdown occurs at the time an open path connects the top layer of the lattice to the bottom layer. Using the extreme value theory, we show that the time until breakdown is asymptotically Weibull distributed.

Markov processes play an important role in reliability analysis and particularly in modeling the stochastic evolution of survival/failure behavior of systems. The probability law of Markov processes is described by its generator or the transition rate matrix. In this paper, we suppose that the process is doubly stochastic in the sense that the generator is also stochastic. In our model, we suppose that the entries in the generator change with respect to the changing states of yet another Markov process. This process represents the random environment that the stochastic model operates in. In fact, we have a Markov modulated Markov process which can be modeled as a bivariate Markov process that can be analyzed probabilistically using Markovian analysis. In this setting, however, we are interested in Bayesian inference on model parameters. We present a computationally tractable approach using Gibbs sampling and demonstrate it by numerical illustrations. We also discuss cases that involve complete and partial data sets on both processes.

New nonparametric tests of copula exchangeability and radial symmetry are proposed. The novel aspect of the tests is a resampling procedure that exploits group invariance conditions associated with the relevant symmetry hypothesis. They may be viewed as feasible versions of randomization tests of symmetry, the latter being inapplicable due to the unobservability of marginals. Our tests are simple to compute, control size asymptotically, consistently detect arbitrary forms of asymmetry, and do not require the specification of a tuning parameter. Simulations indicate excellent small sample properties compared with existing procedures involving the multiplier bootstrap.

A person’s egonet, the set of others with whom that person is connected, is a personal sample of society which especially influences that person’s experience and perceptions of society. We show that egonets systematically misrepresent the general population because each person is included in as many egonets as that person has “friends.” Previous research has recognized that this unequal weighting in egonets leads many people to find that their friends have more friends than they themselves have. This paper builds upon that research to show that people’s egonets provide them with systematically biased samples of the population more generally. We discuss how this ubiquitous egonet bias may have far reaching implications for people’s experiences and perceptions of frequencies of other people’s ties and traits in ways that may influence their own feelings and behaviors. In particular, these egonet biases may help explain people’s tendencies to disproportionately experience and overestimate the prevalence of certain types of deviance and other social behaviors and consequently be influenced toward them. We illustrate egonet bias with analyses of all friends among 63,731 Facebook users. We call for further empirical investigation of egonet biases and their consequences for individuals and society.

Ego networks are thought to be influenced by the opportunities provided to associate with others given by our master statuses (e.g., race or sex), by the preferences individuals possess for interaction given our personality traits (e.g., extroverted or neurotic), and by the capacity to manage interactions on an ongoing basis given our cognitive ability to recall network information. However, prior research has been unable to examine all three classes of predictors concurrently. We rectify this deficiency in the literature by using a novel dataset of nearly 1000 respondents collected using controlled laboratory designs; using this dataset, we can simultaneously examine the impact of master statuses, personality traits, and social cognitive competencies on ego network size, structure (i.e., density), and composition (i.e., diversity). We find that all classes of predictors influence our ego networks, though in different ways, and point to new avenues for research into human sociability.

COVID-19 as an emerging disease has spread to 183 countries and territories worldwide as of 20 March 2020. The first COVID-19 case (i.e. the index case) in Iran was observed in the city of Qom on 19 February 2020. One of the cities of Markazi Province is Delijan, which shares a border with Qom. Consequently, COVID-19 has quickly spread in this city because a large population commutes daily between the two cities. This study aimed to report the challenges and considerations of community-based preparedness at the onset of COVID-19 outbreak in a city of Iran in 2020.

Participation in European surveillance for bloodstream infection (BSI) commenced in Ireland in 1999 with all laboratories (n = 39) participating by 2014. Observational hand hygiene auditing (OHHA) was implemented in 2011. The aim of this study was to evaluate the impact of OHHA on hand hygiene compliance, alcohol hand rub (AHR) procurement and the incidence of sensitive and resistant Staphylococcus aureus and Enterococcus faecium and faecalis BSI. A prospective segmented regression analysis was performed to determine the temporal association between OHHA and outcomes. Observed hand hygiene improved from 74.7% (73.7–75.6) in 2011 to 90.8% (90.1–91.3) in 2016. AHR procurement increased from 20.1 l/1000 bed days used (BDU) in 2009 to 33.2 l/1000 BDU in 2016. A pre-intervention reduction of 2% per quarter in the ratio of methicillin sensitive Staphylococcus aureus BSI/BDU stabilized in the time period after the intervention (P < 0.01). The ratio of Methicillin resistant Staphylococcus aureus (MRSA) BSI/BDU was decreasing by 5% per quarter pre-intervention, this slowed to 2% per quarter post intervention, (P < 0.01). There was no significant change in the ratio of vancomycin sensitive (P = 0.49) or vancomycin resistant (P = 0.90) Enterococcus sp. BSI/BDU post intervention. This study shows national OHHA increased observed hand hygiene compliance and AHR procurement, however there was no associated reduction in BSI.

There has been no study exploring the prognostic values of neutrophil percentage-to-albumin ratio (NPAR). We hypothesised that NPAR is a novel marker of inflammation and is associated with all-cause mortality in patients with severe sepsis or septic shock. Patient data were extracted from the MIMIC-III V1.4 database. Only the data for the first intensive care unit (ICU) admission of each patient were used and baseline data were extracted within 24 h after ICU admission. The clinical endpoints were 30-, 90- and 365-day all-cause mortality in critically ill patients with severe sepsis or septic shock. Cox proportional hazards models and subgroup analyses were used to determine the relationship between NPAR and these clinical endpoints. A total of 2166 patients were eligible for this analysis. In multivariate analysis, after adjustments for age, ethnicity and gender, higher NPAR was associated with increased risk of 30-, 90- and 365-day all-cause mortality in critically ill patients with severe sepsis or septic shock. Furthermore, after adjusting for more confounding factors, higher NPAR remained a significant predictor of all-cause mortality (tertile 3 vs. tertile 1: HR, 95% CI: 1.29, 1.04–1.61; 1.41, 1.16–1.72; 1.44, 1.21–1.71). A similar trend was observed in NPAR levels stratified by quartiles. Higher NPAR was associated with increased risk of all-cause mortality in critically ill patients with severe sepsis or septic shock.

Elderly care is becoming a relevant issue with the increase of population ageing. Fall injuries, with their impact on social and healthcare cost, represent one of the biggest concerns over the years. Researchers are focusing their attention on several fall-detection algorithms. In this paper, we present a deep-learning solution for automatic fall detection from RGB videos. The proposed approach achieved a mean recall of 0.916, prompting the possibility of translating this approach in the actual monitoring practice. Moreover to enable the scientific community making research on the topic the dataset used for our experiments will be released. This could enhance elderly people safety and quality of life, attenuating risks during elderly activities of daily living with reduced healthcare costs as a final result.

This paper explores dependencies between operational risks and between operational risks and other risks such as market, credit and insurance risk. The paper starts by setting the regulatory context and then goes into practical aspects of operational risk dependencies. Next, methods of modelling operational risk dependencies are considered with a simulation study exploring the sensitivity of diversification benefits arising from dependency models. The following two sections consider how correlation assumptions may be set, highlighting some generic dependencies between operational risks and with non-operational risks to assist in the assessment of dependencies and correlation assumptions. Supplementary appendices provide further detail on generic dependencies as well as a case study of how business models can lead to operational risks interacting with other risks. Finally, the paper finishes with a literature review of operational risk dependency papers including correlation studies and benchmark reports.

This abstract relates to the following paper:

Klumpes, P., Acharyya, M., Kakar, G. & Sturgess, E. (2019) Climate risk reporting practices by UK insurance firms and pension schemes - Abstract of the London Discussion. British Actuarial Journal, 24, e30. doi:10.1017/S1357321719000229.

From 1971 to 2012, in New York State, years with human Eastern equine encephalitis (EEE) were more strongly associated with the presence of Aedes canadensis, Coquillettidia perturbans and Culiseta melanura mosquitoes infected with the EEE virus (Fisher's exact test, one-sided P = 0.005, 0.03, 0.03) than with Culiseta morsitans, Aedes vexans, Culex pipiens-restuans, Anopheles quadrimaculatus or Anopheles punctipennis (P = 0.05, 0.40, 0.33, 1.00, 1.00). The estimated relative risk of a case in a year in which the virus was detected vs. not detected was 14.67 for Ae. canadensis, 6.38 for Cq. perturbans and 5.50 for Cs. morsitans. In all 5 years with a case, Cs. melanura with the virus was detected. In no year was there a case in the absence of Cs. melanura with the virus. There were 18 years with no case in the presence of Cs. melanura with the virus. Such observations may identify the time of increased risk, and when the methods may be used to prevent or reduce exposure to vector mosquito species in this geographic region.

The aim of this study was to develop and externally validate a simple-to-use nomogram for predicting the survival of hospitalised human immunodeficiency virus/acquired immunodeficiency syndrome (HIV/AIDS) patients (hospitalised person living with HIV/AIDS (PLWHAs)). Hospitalised PLWHAs (n = 3724) between January 2012 and December 2014 were enrolled in the training cohort. HIV-infected inpatients (n = 1987) admitted in 2015 were included as the external-validation cohort. The least absolute shrinkage and selection operator method was used to perform data dimension reduction and select the optimal predictors. The nomogram incorporated 11 independent predictors, including occupation, antiretroviral therapy, pneumonia, tuberculosis, Talaromyces marneffei, hypertension, septicemia, anaemia, respiratory failure, hypoproteinemia and electrolyte disturbances. The Likelihood χ2 statistic of the model was 516.30 (P = 0.000). Integrated Brier Score was 0.076 and Brier scores of the nomogram at the 10-day and 20-day time points were 0.046 and 0.071, respectively. The area under the curves for receiver operating characteristic were 0.819 and 0.828, and precision-recall curves were 0.242 and 0.378 at two time points. Calibration plots and decision curve analysis in the two sets showed good performance and a high net benefit of nomogram. In conclusion, the nomogram developed in the current study has relatively high calibration and is clinically useful. It provides a convenient and useful tool for timely clinical decision-making and the risk management of hospitalised PLWHAs.

The X chromosome is known to play an important role in many sex-specific diseases. However, only a few single-nucleotide polymorphisms on the X chromosome have been found to be associated with diseases. Compared to the autosomes, conducting association tests on the X chromosome is more intractable due to the difference in the number of X chromosomes between females and males. On the other hand, X-chromosome inactivation takes place in female mammals, which is a phenomenon in which the expression of one copy of two X chromosomes in females is silenced in order to achieve the same gene expression level as that in males. In addition, imprinting effects may be related to certain diseases. Currently, there are some existing approaches taking X-chromosome inactivation into account when testing for associations on the X chromosome. However, none of them allows for imprinting effects. Therefore, in this paper, we propose a robust test, ZXCII, which accounts for both X-chromosome inactivation and imprinting effects without requiring specifying the genetic models in advance. Simulation studies are conducted in order to investigate the validity and performance of ZXCII under various scenarios of different parameter values. The simulation results show that ZXCII controls the type I error rate well when there is no association. Furthermore, with regards to power, ZXCII is robust in all of the situations considered and generally outperforms most of the existing methods in the presence of imprinting effects, especially under complete imprinting effects.

Information on safe water, sanitation and hand washing obtained in large scale surveys are used to validate its responsiveness to childhood ailments. Definition of these variables are uniform to enable comparison within and across countries and devoid of the context and circumstance. Associating these variables with prevalence of diarrhoea overlooking the context seem to distort the relationship and lead to spurious results. An empirical verification of such an association in an Indian context based on the most recently conducted NFHS-4 data set brings to the fore apparent contradictions that cautions on the use of these variables as they are obtained. It calls for a redefinition of these variables prior to verifying their responsiveness to childhood diarrhoea as illustrated here.

Restless legs syndrome (RLS) is a neurological disorder characterized by an urge to move and uncomfortable sensations. Genetic studies have identified polymorphisms in up to 19 risk loci, including MEIS1 and BTBD9. Rodents deficient in either homolog show RLS-like phenotypes. However, whether MEIS1 and BTBD9 interact in vivo is unclear. Here, with C. elegans, we observed that the hyperactive egg-laying behavior caused by loss of BTBD9 homolog was counteracted by knockdown of MEIS1 homolog. This was further investigated in mutant mice with Btbd9, Meis1, or both knocked out. The double knockout mice showed an earlier onset of the motor deficit in a wheel running test but did not have increased sensitivity to heat stimuli as observed in single knock outs. Meis1 protein level was not influenced by Btbd9 deficiency, and Btbd9 transcription was not affected by Meis1 haploinsufficiency. Our results demonstrate that MEIS1 and BTBD9 do not regulate each other.