Asset liability modelling and pension schemes: the application of robust optimization to USS

This paper uses a novel numerical optimization technique - robust optimization - that is well suited to solving the asset-liability management (ALM) problem for pension schemes. It requires the estimation of fewer stochastic parameters, reduces estimation risk and adopts a prudent approach to asset allocation. This study is the first to apply it to a real-world pension scheme, and the first ALM model of a pension scheme to maximise the Sharpe ratio. We disaggregate pension liabilities into three components - active members, deferred members and pensioners, and transform the optimal asset allocation into the scheme’s projected contribution rate. The robust optimization model is extended to include liabilities and used to derive optimal investment policies for the Universities Superannuation Scheme (USS), benchmarked against the Sharpe and Tint, Bayes-Stein, and Black-Litterman models as well as the actual USS investment decisions. Over a 144 month out-of-sample period robust optimization is superior to the four benchmarks across 20 performance criteria, and has a remarkably stable asset allocation – essentially fix-mix. These conclusions are supported by six robustness checks.

Search engine liability for autocomplete suggestions: personality, privacy and the power of the algorithm

This article is concerned with the liability of search engines for algorithmically produced search suggestions, such as through Google’s ‘autocomplete’ function. Liability in this context may arise when automatically generated associations have an offensive or defamatory meaning, or may even induce infringement of intellectual property rights. The increasing number of cases that have been brought before courts all over the world puts forward questions on the conflict of fundamental freedoms of speech and access to information on the one hand, and personality rights of individuals— under a broader right of informational self-determination—on the other. In the light of the recent judgment of the Court of Justice of the European Union (EU) in Google Spain v AEPD, this article concludes that many requests for removal of suggestions including private individuals’ information will be successful on the basis of EU data protection law, even absent prejudice to the person concerned.

Lender liability in the Consumer Credit Market

In many countries consumer credit legislation provides for the extension of liability for product failure to the …nancial institution that advances credit to the consumer. In particular, lender liability is imposed on those credit grantors who closely operate with the supplier of the good. This paper provides a rationale for lender-responsibility in the consumer credit market. It shows that, when judicial enforcement is ine¢cient or there is risk of seller liquidation, lender-liability helps to protect consumers who systematically underestimate the probability of product failure and overestimate the extent to which they can obtain compensation.

Limited liability and non-responsiveness in moral hazard and adverse selection problems

This work analyses the optimal menu of contracts offered by a risk neutral principal to a risk averse agent under moral hazard, adverse selection and limited liability. There are two output levels, whose probability of occurrence are given by agent’s private information choice of effort. The agent’s cost of effort is also private information. First, we show that without assumptions on the cost function, it is not possible to guarantee that the optimal contract menu is simple, when the agent is strictly risk averse. Then, we provide sufficient conditions over the cost function under which it is optimal to offer a single contract, independently of agent’s risk aversion. Our full-pooling cases are caused by non-responsiveness, which is induced by the high cost of enforcing higher effort levels. Also, we show that limited liability generates non-responsiveness.

Límite de la responsabilidad civil del porteador en el transporte terrestre internacional en América Latina: criterios para su fijación = Limit of civil liability of carriers in international land transport in Latin America: criteria for its establishment

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Genetic diversity among volunteer donors of bone marrow in southeastern Brazil, according to the HLA system

CONTEXTO E OBJETIVO:Para a realização de transplantes de medula óssea com material alogênico, é necessária a verificação de histocompatibilidade das moléculas do sistema HLA (human leukocyte antigen), fundamental para o sucesso desses transplantes. O objetivo desta pesquisa foi caracterizar os doadores de medula óssea segundo gênero, idade, etnia e grupos HLA de um centro regional de hemoterapia brasileiro.TIPO DE ESTUDO E LOCAL:Estudo descritivo dos doadores cadastrados em um centro regional de hemoterapia de um hospital público universitário da região Sudeste do Brasil.MÉTODOS:Foram consultadas as fichas dos 66.780 doadores cadastrados entre 2005 e junho de 2011 e tabuladas as variáveis estudadas.RESULTADOS:Encontrou-se distribuição equilibrada entre os gêneros, e 82,8% dos doadores tinham até 45 anos de idade. Quanto à etnia auto-referida, 77,3% se apresentaram como brancos, 15,0% como pardos, 5,7% como negros, os 2% restantes dividindo-se em outras etnias. Quanto à caracterização imunogenética, no grupo alélico HLA-A, o mais frequente foi o HLA-A*02, com 39,20%; no grupo alélico HLA-B, o mais comum foi o HLA-B*35, com 14,18%; no grupo alélico HLA-DRB1, o mais frequente foi o HLA-DRB1*03, com 17,03% do total de doadores. Quando esses resultados são comparados com os dados do cadastro nacional de doadores (REDOME), observam-se diferenças demográficas e imunogenéticas, que se explicam pelo histórico de imigração da região de Ribeirão Preto, no Sudeste brasileiro.CONCLUSÕES:Os resultados encontrados reforçam a importância de conhecer o perfil demográfico e imunogenético das regiões do Brasil, para reduzir o tempo de espera por um doador histocompatível.

Health professionals ethical and legal liability on patient’s inadequate clarification in order to obtain free and informed consent

It is required that patients are provided information about therapeutic possibilities, showing the risks, benefits, prognosis and costs of each possible and indicated alternative. This is an ethical and legal resolution. However, health professionals possess the clinical/technical/scientific knowledge and determine what information will be (or not) provided. The patient in question decides to undergo a treatment, providing his/her free and informed consent on the basis of the data presented. Unfortunately, some professionals may not provide all the information necessary for making an informed decision or, after obtaining the consent of the patient, may provide him information that causes the patient to give up on the treatment initially accepted. Such information, if relevant, and not a supervening fact, should have been provided initially. However, the information may not be entirely true, and bring the patient, for instance, to decide based on inadequately presented risks. The craniofacial rehabilitation of the temporomandibular joint (TMJ) by means of TMJ prosthesis, is indicated in many situations. Often, patients in need of such prostheses have aesthetic and functional problems and the rehabilitation expectations run high. This work presents a case and discusses ethical and legal issues, including the liability of partial and inadequate information to a patient.