Longevity risk in portfolios of pension annuities

We analyze the importance of longevity risk for the solvency of portfolios of pension annuities. We distinguish two types of mortality risk. Micro-longevity risk quantifies the risk related to uncertainty in the time of death if survival probabilities are known with certainty, while macro-longevity risk is due to uncertain future survival probabilities. We use a generalized two-factor Lee-Carter mortality model to produce forecasts of future mortality rates, and to assess the relative importance of micro- and macro-longevity risk for funding ratio uncertainty. The results show that if financial market risk is fully hedged so that uncertainty in future lifetime is the only source of uncertainty, pension funds are exposed to a substantial amount of risk. Systematic and non-systematic deviations from expected survival imply that, depending on the size of the portfolio, buffers that reduce the probability of underfunding to 2.5% at a 5-year horizon have to be of the order of magnitude of 7% to 8% of the initial value of the liabilities.     

Matrix approach to dual similar associated consistency for the Shapley value

In terms of the similarity of matrices, by combining the dual operator and the linear mapping with respect to Hamiache’s associated game on the game space, the Shapley value for TU-games is axiomatized as the unique value verifying dual similar associated consistency, continuity, and the inessential game property.     

Melt-processable poly(tetrafluoroethylene)—compounding, fillers and dyes

Recently, a window of molar mass has been identified where poly(tetrafluoroethylene) (PTFE) homopolymer can be processed from the melt, but at the same time has good mechanical properties in the solid state, so called HD-PTFE^®. This research evaluates the use of conventional melt-compounding with a co-rotating twin-screw to introduce a variety of fillers in this material. It was found that melt-compounding is indeed an efficient way to achieve a filler distribution of excellent homogeneity in HD-PTFE^®.     

Molecular simulations of the adsorption of cycloalkanes in MFI-type silica

A new force field for the simulation of the adsorption of cycloalkanes in nanoporous silica affords a significant improvement over any previously employed force field. The simulated isotherms reproduce the most salient features in the experimental isotherms extremely well. The study of cyclo-pentane, -hexane, and -heptane adsorption in MFI-type silica indicates an inflection for cyclopentane but not for cyclohexane at intermediate pressure. If corroborated by experiments, such an inflection point would afford an excellent calibration point for further force field developments. At low pressures, mixture isotherms of cyclohexane and n-hexane show a temperature dependence on the selectivity in accordance with recent results by J. P. Fox and S. P. Bates, J. Phys. Chem., 2004, 108, 17136. This dependence is caused by a difference in temperature dependence of the Henry coefficient for both molecules. At high pressures entropy effects due to packing always favor the sorption of n-hexane. Furthermore, the influence of the flexibility of the zeolite framework on the adsorption of these rather bulky molecules is investigated. It is found that this influence of the flexibility on the adsorption of cyclohexane is as small as with n-alkanes.