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.

The solsticial pause on Mars: 2 modelling and investigation of causes

The martian solsticial pause, presented in a companion paper (Lewis et al., this issue), was investigated further through a series of model runs using the UK version of the LMD/UK Mars Global Climate Model. It was found that the pause could not be adequately reproduced if radiatively active water ice clouds were omitted from the model. When clouds were used, along with a realistic time-dependent dust opacity distribution, a substantial minimum in near-surface transient eddy activity formed around solstice in both hemispheres. The net effect of the clouds in the model is, by altering the thermal structure of the atmosphere, to decrease the vertical shear of the westerly jet near the surface around solstice, and thus reduce baroclinic growth rates. A similar effect was seen under conditions of large dust loading, implying that northern midlatitude eddy activity will tend to become suppressed after a period of intense flushing storm formation around the northern cap edge. Suppression of baroclinic eddy generation by the barotropic component of the flow and via diabatic eddy dissipation were also investigated as possible mechanisms leading to the formation of the solsticial pause but were found not to make major contributions. Zonal variations in topography were found to be important, as their presence results in weakened transient eddies around winter solstice in both hemispheres, through modification of the near-surface flow. The zonal topographic asymmetry appears to be the primary reason for the weakness of eddy activity in the southern hemisphere relative to the northern hemisphere, and the ultimate cause of the solsticial pause in both hemispheres. The meridional topographic gradient was found to exert a much weaker influence on near-surface transient eddies.

Arthur’s refusal to eat: ritual and control in the romance feast

Arthur's refusal to begin feasting before he has seen a marvel or heard a tale of adventure is a recurring motif in medieval romance. Previous comment on this ritual has suggested that the source for such a taboo on eating may be found in earlier narratives in the Celtic languages. This paper argues that, although the ritual almost certainly originates in pre-chivalric society, romance authors adapted and developed it to reflect the courtly-chivalric preoccupations of their own world. Arthur's ritual gesture may be seen as a means of containing and controlling both interior moral threats and exterior physical peril, and is intimately connected to the courtly conception of the feast. This study draws on the evidence of religious writing and courtesy manuals and explores some highly-developed treatments of the motif in romance in order to suggest that literary engagements with Arthur's refusal to eat have much to say about contemporary ideas of ritual and reality as mediated through the symbolically-charged arena of the medieval feast.

Epidemiology and control of frontier malaria in Brazil: lessons from community-based studies in rural Amazonia

We describe the epidemiology of malaria in a frontier agricultural settlement in Brazilian Amazonia. We analysed the incidence of slide-confirmed symptomatic infections diagnosed between 2001 and 2006 in a cohort of 531 individuals (2281.53 person-years of follow-up) and parasite prevalence data derived from four cross-sectional surveys. Overall, the incidence rates of Plasmodium vivax and P. falciparaum were 20.6/100 and 6.8/100 person-years at risk, respectively, with a marked decline in the incidence of both species (81.4 and 56.8%, respectively) observed between 2001 and 2006. PCR revealed 5.4-fold more infections than conventional microscopy in population-wide cross-sectional surveys carried out between 2004 and 2006 (average prevalence, 11.3 vs. 2.0%). Only 27.2% of PCR-positive (but 73.3% of slide-positive) individuals had symptoms when enrolled, indicating that asymptomatic carriage of low-grade parasitaemias is a common phenomenon in frontier settlements. A circular cluster comprising 22.3% of the households, all situated in the area of most recent occupation, comprised 69.1% of all malaria infections diagnosed during the follow-up, with malaria incidence decreasing exponentially with distance from the cluster centre. By targeting one-quarter of the households, with selective indoor spraying or other house-protection measures, malaria incidence could be reduced by more than two-thirds in this community. (C) 2010 Royal Society of Tropical Medicine and Hygiene. Published by Elsevier Ltd. All rights reserved.

MODELLING AND FORECASTING INFLATION RATES IN GHANA: AN APPLICATION OF SARIMA MODELS

Ghana faces a macroeconomic problem of inflation for a long period of time. The problem in somehow slows the economic growth in this country. As we all know, inflation is one of the major economic challenges facing most countries in the world especially those in African including Ghana. Therefore, forecasting inflation rates in Ghana becomes very important for its government to design economic strategies or effective monetary policies to combat any unexpected high inflation in this country. This paper studies seasonal autoregressive integrated moving average model to forecast inflation rates in Ghana. Using monthly inflation data from July 1991 to December 2009, we find that ARIMA (1,1,1)(0,0,1)12 can represent the data behavior of inflation rate in Ghana well. Based on the selected model, we forecast seven (7) months inflation rates of Ghana outside the sample period (i.e. from January 2010 to July 2010). The observed inflation rate from January to April which was published by Ghana Statistical Service Department fall within the 95% confidence interval obtained from the designed model. The forecasted results show a decreasing pattern and a turning point of Ghana inflation in the month of July.

Manoeuvring between anxiety and control : Patients experience of learning to live with diabetes: a lifeworld phenomenological study

Research shows that people with diabetes want their lives to proceed as normally as possible, but some patients experience difficulty in reaching their desired goals with treatment. The learning process is a complex phenomenon interwoven into every facet of life. Patients and healthcare providers often have different perspectives in care which gives different expectations on what the patients need to learn and cope with. The aim of this study, therefore, is to describe the experience of learning to live with diabetes. Interviews were conducted with 12 patients afflicted with type 1 or type 2 diabetes. The interviews were then analysed with reference to the reflective lifeworld research approach. The analysis shows that when the afflicted realize that their bodies undergo changes and that blood sugar levels are not always balanced as earlier in life, they can adjust to their new conditions early. The afflicted must take responsibility for balancing their blood sugar levels and incorporating the illness into their lives. Achieving such goals necessitates knowledge. The search for knowledge and sensitivity to changes are constant requirements for people with diabetes. Learning is driven by the tension caused by the need for and dependence on safe blood sugar control, the fear of losing such control, and the fear of future complications. The most important responsibilities for these patients are aspiring to understand their bodies as lived bodies, ensuring safety and security, and acquiring the knowledge essential to making conscious choices.

Effective measures to decrease air contaminants through risk and control visualization : a study of the effective use of QR codes to facilitate safety training

Woodworking industries still consists of wood dust problems. Young workers are especially vulnerable to safety risks. To reduce risks, it is important to change attitudes and increase knowledge about safety. Safety training have shown to establish positive attitudes towards safety among employees. The aim of current study is to analyze the effect of QR codes that link to Picture Mix EXposure (PIMEX) videos by analyzing attitudes to this safety training method and safety in student responses. Safety training videos were used in upper secondary school handicraft programs to demonstrate wood dust risks and methods to decrease exposure to wood dust. A preliminary study was conducted to investigate improvement of safety training in two schools in preparation for the main study that investigated a safety training method in three schools. In the preliminary study the PIMEX method was first used in which students were filmed while wood dust exposure was measured and subsequently displayed on a computer screen in real time. Before and after the filming, teachers, students, and researchers together analyzed wood dust risks and effective measures to reduce exposure to them. For the main study, QR codes linked to PIMEX videos were attached at wood processing machines. Subsequent interviews showed that this safety training method enables students in an early stage of their life to learn about risks and safety measures to control wood dust exposure. The new combination of methods can create awareness, change attitudes and motivation among students to work more frequently to reduce wood dust. 

From Smart Meters To Smart Decisions: Web-Based Support For The Water Efficient Household

Smart water metering technologies for residential buildings offer, in principle, great opportunities for sustainable urban water management. However, much of this potential is as yet unrealized. Despite that several ICT solutions have already been deployed aiming at optimum operations on the water utilities side (e.g. real time control for water networks, dynamic pump scheduling etc.), little work has been done to date on the consumer side. This paper presents a web-based platform targeting primarily the household end user. The platform enables consumers to monitor, on a real-time basis, the water demand of their household, providing feedback not only on the total water consumption and relevant costs but also on the efficiency (or otherwise) of specific indoor and outdoor uses. Targeting the reduction of consumption, the provided feedback is combined with notifications about possible leakages\bursts, and customised suggestions to improve the efficiency of existing household uses. It also enables various comparisons, with past consumption or even with that of similar households, aiming to motivate further the householder to become an active player in the water efficiency challenge. The issue of enhancing the platform’s functionality with energy timeseries is also discussed in view of recent advances in smart metering and the concept of “smart cities”. The paper presents a prototype of this web-based application and critically discusses first testing results and insights. It also presents the way in which the platform communicates with central databases, at the water utility level. It is suggested that such developments are closing the gap between technology availability and usefulness to end users and could help both the uptake of smart metering and awareness raising leading, potentially, to significant reductions of urban water consumption. The work has received funding from the European Union FP7 Programme through the iWIDGET Project, under grant agreement no318272.