The Risk Management of Minimum Return Guarantees

Contracts paying a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified relative to a benchmark portfolio, are closely related to unit-linked life-insurance products and can be considered as alternatives to direct investment in the underlying benchmark. They contain an embedded power option, and the key issue is the tractable and realistic hedging of this option, in order to rigorously justify valuation by arbitrage arguments and prevent the guarantees from becoming uncontrollable liabilities to the issuer. We show how to determine the contract parameters conservatively and implement robust risk-management strategies.

Non-exponential return time distributions for vorticity extremes explained by fractional Poisson processes

Serial correlation of extreme midlatitude cyclones observed at the storm track exits is explained by deviations from a Poisson process. To model these deviations, we apply fractional Poisson processes (FPPs) to extreme midlatitude cyclones, which are defined by the 850 hPa relative vorticity of the ERA interim reanalysis during boreal winter (DJF) and summer (JJA) seasons. Extremes are defined by a 99% quantile threshold in the grid-point time series. In general, FPPs are based on long-term memory and lead to non-exponential return time distributions. The return times are described by a Weibull distribution to approximate the Mittag–Leffler function in the FPPs. The Weibull shape parameter yields a dispersion parameter that agrees with results found for midlatitude cyclones. The memory of the FPP, which is determined by detrended fluctuation analysis, provides an independent estimate for the shape parameter. Thus, the analysis exhibits a concise framework of the deviation from Poisson statistics (by a dispersion parameter), non-exponential return times and memory (correlation) on the basis of a single parameter. The results have potential implications for the predictability of extreme cyclones.

The return of the Jews to England : being a chapter in the history of English law

by H.S.Q. Henriques

Return to Work after Traumatic Hand Injuries: Medical, Personal and Work-related Factors

PURPOSE This study aimed to examine the work-related impact of open hand injuries, specifically, the amount of lost work days subsequent to the injury and factors associated with work-related rehabilitation. PATIENTS AND METHODS We retrospectivley included consecutive patients with acute hand injuries who were operated between 2008 and 2009 in the Division of Hand Surgery (n=435) at the Department of Orthopaedic, Plastic and Hand Surgery. Information was obtained from the medical records and via a self-reported questionnaire sent out in 2011. Patients younger than 18 or older than 65 years, as well as the unemployed were excluded from the study. Descriptive group analysis was used to establish statistical relationships between time off work (TOW) and possible influencing variables. Multiple linear regression was applied to analyse the impact of injury, personal and/or work-related factors on TOW. RESULTS The sample included 290 patients with a mean age of 38.9 (SD 13.2) years of whom 98.6% returned to work after a median absence of 45.5 days. Univariate analysis demonstrated an association of length of absence from work with socio-demographic, clinical and work-related factors. Multiple regression analysis indicated that the location of injury, the number of injured regions, the need for secondary surgery, age, and the type of occupation were independently associated with TOW. CONCLUSION Most factors associated with TOW after traumatic hand injuries could not be influenced. Possible interventions should probably target improved injury prevention, optimal clinical treatment and rehabilitation starting early after injury. Whether improvements in communication and enhancement of cooperation between the treatment teams, the workplace and the insurance carrier may support a staged and earlier return to work remains to be investigated.