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Patients with severe aplastic anaemia (SAA) are often not vaccinated against viruses due to concerns of ineffective protective antibody response and potential for pathogenic global immune system activation, leading to relapse. We evaluated the impact of COVID-19 vaccination on haematological indices and disease status and characterized the humoural and cellular responses to vaccination in 50 SAA patients, who were previously treated with immunosuppressive therapy (IST). There was no significant difference in haemoglobin (p = 0.52), platelet count (p = 0.67), absolute lymphocyte (p = 0.42) and neutrophil (p = 0.98) counts prior to and after completion of vaccination series. Relapse after vaccination, defined as a progressive decline in counts requiring treatment, occurred in three patients (6%). Humoural response was detectable in 90% (28/31) of cases by reduction in an in-vitro Angiotensin II Converting Enzyme (ACE2) binding and neutralization assay, even in patients receiving ciclosporin (10/11, 90.1%). Comparison of spike-specific T-cell responses in 27 SAA patients and 10 control subjects revealed qualitatively similar CD4

This special issue of the North American Actuarial Journal contains 13 contributions to the academic literature, all dealing with longevity risk and capital markets. Draft versions of the papers we...

BACKGROUND: The unmet need for predictive biomarkers emerged from the unpredictable pattern of response to androgen signaling inhibition in metastatic castration-resistant prostate cancer (mCRPC). Here, we report on the testing of a previously identified candidate androgen signaling signature associated with response to androgen signaling inhibition. PATIENTS AND METHODS: We report on the outcome of the first module of a phase II trial on Abiraterone acetate (AA) followed by combination with dasatinib or sunitinib. Bone marrow biopsies (BMB) with matched bone marrow aspirate and blood samples were collected at baseline and upon progression. Endpoints included assessment of a prespecified molecular signature consisting of nuclear androgen receptor (AR) overexpression, cytochrome P450, family 17, subfamily A, polypeptide 1 (CYP17) expression, and AR C-/N-terminal expression ratio of ≥0.8 by immunohistochemistry (IHC) in patients with benefit versus primary resistance to AA (i.e. progression within 4 months). Tumor markers also included v-ets avian erythroblastosis virus E26 oncogene homolog (ERG), splice variant ARV7 by IHC and steroids by Liquid chromatography-tandem mass spectrometry. RESULTS: Out of 170 patients accrued from 03/2011 to 02/2015, 44 (26%) were primary resistant to AA. 48 patients had tumor infiltrated BMB at baseline. Pretreatment androgen signaling signature was linked to benefit from AA (p

Mortality risk is one of the core risks that life insurers undertake. The uncertain future lifetime of each insured represents one risk factor, and the dependence structure among these risk factors...

This paper proposes a new product, the Variable Life Care Annuity with Guaranteed Lifetime Withdrawal Benefits (LCA-GLWB), and designs an efficient valuation algorithm. This innovative product provides a comprehensive retirement solution for both longevity risk and long-term care protection. It includes the benefits of guaranteed income streams with downside risk protection and long-term care expenses for retirees. However, the valuation of this type of product is both complex and time-consuming. In this paper, we propose a Monte Carlo valuation algorithm that uses the variance reduction technique. The numerical results indicate that the proposed valuation algorithm is very efficient under a broad range of asset return models. The proposed algorithm provides a general approach for the rapid valuation of similar products and can help provide life insurance companies offering innovative products with an appropriate valuation tool.

Life settlements may facilitate a more efficient insurance market, generate diversification benefits to investors, and even provide hedging benefits to Asia life insurers. The literature does not investigate what determines the risk premiums of life settlements, and we intend to fill this gap. We find that in spite of the premium for non-systematic mortality risk being substantial, the systematic premium is insignificant. On the other hand, the impact of tax on the life settlements' spreads is material. We further find that life settlements have negative betas and are quality assets when investors face market turmoil. The proprietary information provided by medical underwriters and the surrender behavior of the underlying policyholders are also significant determinants of the rate spreads for life settlements.

We set out in this study to investigate whether bancassurance business leads to improvements in the efficiency and profitability of banks. We examine the positive impacts on the system using actual data provided by a unique database on banks engaging in bancassurance business in Taiwan between 2004 and 2012. Our results reveal that banks with greater involvement in bancassurance business generally tend to experience improvements in their efficiency, and thus also accrue greater profits. Our empirical results provide evidence to support that bancassurance business offers substantial benefits for banks, ultimately leading to an increase in shareholder value. Finally, our results also reveal that the adoption of a diversification strategy in bancassurance can impact bank performance.

Using a unique data-set, we examined how different business strategies used by insurance intermediaries in Taiwan affect their efficiency and productivity. Previous work in this area has focused on the efficiency and productivity of insurance companies using different distribution channels or selling different product lines. Our primary emphasis was on the efficiency and productivity of insurance intermediaries. We found that diversified insurance intermediaries achieve more efficiency gains in cost-efficiency and revenue efficiency than focused insurance intermediaries do. The cost-efficiency benefits of diversified intermediaries are due to technical efficiency. Our regression analysis further indicates that insurance intermediaries’ efficiency benefits are associated with their size, insurer partners, financial leverage, net income, product mix and market share. Overall, our results indicate that there are cost and revenue economies of scope in the insurance intermediary industry.

We devise an approach to Bayesian statistics and their applications in the analysis of the Monty Hall problem. We combine knowledge gained through applications of the Maximum Entropy Principle and Nash equilibrium strategies to provide results concerning the use of Bayesian approaches unique to the Monty Hall problem. We use a model to describe Monty’s decision process and clarify that Bayesian inference results in an “irrelevant, therefore invariant” hypothesis. We discuss the advantages of Bayesian inference over the frequentist inference in tackling the uneven prior probability Monty Hall variant. We demonstrate that the use of Bayesian statistics conforms to the Maximum Entropy Principle in information theory and Bayesian approach successfully resolves dilemmas in the uneven probability Monty Hall variant. Our findings have applications in the decision making, information theory, bioinformatics, quantum game theory and beyond.

The launch of new innovative longevity-linked products, such as reverse mortgages, increases the complexity and challenges faced by insurers in implementing an asset-liability management strategy. With the house price dynamic and a large final payment received at the end of the policy year, a reverse mortgage provides a different liability duration pattern from an annuity. In this paper, we propose a generalised immunisation approach to obtain an optimal product portfolio for hedging the longevity and financial risks of life insurance companies. The proposed approach does not rely on specific assumptions regarding mortality models or interest rate models. As long as the scenarios generated by the adopted models are highly correlated, the proposed approach should be effective. By using stochastic mortality and interest rate models and the Monte Carlo simulation approach, we show that the proposed generalised immunisation approach can serve as an effective vehicle to control the aggregate risk of life insurance companies. The numerical results further demonstrate that adding the reverse mortgage to the insurers’ product portfolio creates a better hedging effect and effectively reduces the total risk associated with the surplus of the life insurers.

This study investigates whether the conversion of U.S. property-liability insurers improves their efficiency performance before and after the conversion. We estimate relative efficiency of converting insurers and control insurers using data envelopment analysis. The Malmquist analysis is also used to measure changes in efficiency pre- and post-conversion. The evidence shows that converting insurers experience larger gains in cost efficiency and total productivity change than mutual control insurers before conversion. In addition, the empirical results indicate that converting insurers improve efficiency after conversion. These results are robust with respect to both the value-added and the financial intermediary approaches. The overall results support the efficiency hypothesis proposed by Mayers and Smith (1986).

This paper proposes a Conditional Value-at-Risk Minimization (CVaRM) approach to optimize an insurer’s product mix. By incorporating the natural hedging strategy of Cox and Lin (2007) and the two-factor stochastic mortality model of Cairns et al. (2006b) , we calculate an optimize product mix for insurance companies to hedge against the systematic mortality risk under parameter uncertainty. To reflect the importance of required profit, we further integrate the premium loading of systematic risk. We compare the hedging results to those using the duration match method of Wang et al. (forthcoming) , and show that the proposed CVaRM approach has a narrower quantile of loss distribution after hedging—thereby effectively reducing systematic mortality risk for life insurance companies.

This article investigates the natural hedging strategy to deal with longevity risks for life insurance companies. We propose an immunization model that incorporates a stochastic mortality dynamic to calculate the optimal life insurance-annuity product mix ratio to hedge against longevity risks. We model the dynamic of the changes in future mortality using the well-known Lee-Carter model and discuss the model risk issue by comparing the results between the Lee-Carter and Cairns-Blake-Dowd models. On the basis of the mortality experience and insurance products in the United States, we demonstrate that the proposed model can lead to an optimal product mix and effectively reduce longevity risks for life insurance companies. INTRODUCTION In the past decade, annuity premiums in the United States have accounted for more than 50 percent of life insurers' premium income, with an average growth rate of 10.2 percent from 1988 to 2005 (American Council of Life Insurers, 2005). However, longevity risk (1)--or uncertainty about long-term trends in mortality rates and the impact on the long-term probability of survival of an individual--represents a critical threat to private insurers because it increases the payout period and the liability costs of providing annuities. In particular, human mortality has declined globally over the course of the twentieth century. (2) As Willets (2004) points out, mortality) improvements do not occur in a smooth upward fashion but rather exhibit a "cohort effect." (3) Recent medical discoveries may increase human life spans even beyond the currently projected mortality table used by insurance companies. These issues have made it far more difficult for insurance actuaries to price annuity products correctly, and the resulting inaccurate mortality assumptions lead to major risks. Therefore, hedging longevity risks has taken on an increasingly important role for life insurance companies. When considering how to hedge longevity risks, most prior research investigates mortality risk and pricing issues for annuity products (Friedman and Warshawsky, 1990; Frees, Carriere, and Valdez, 1996; Brown, Mitchell, and Poterba, 2000; Mitchell et al., 2001). More recent studies focus on the impact of stochastic mortality changes on life insurance and annuities (Marceau and Gaillardetz, 1999; Wilkie, Waters, and Yang, 2003; Cairns, Blake, and Dowd, 2006a). In addition, many financial vehicles, such as mortality derivatives and survivor bonds, have been proposed to reduce or hedge the longevity risks of annuity. Blake and Burrows (2001) first proposed that issuing survivor bonds (4) could help a pension fund insure against the longevity risk, and more recent studies also extend the issue of securitization of longevity risk (e.g., Dowd, 2003; Blake, Cairns, and Dowd, 2006; Blake, Cairns, Dowd, and MacMinn, 2006; Lin and Cox, 2005; Cox, Lin, and Wang, 2006; Denuit, Devolder, and Goderniaux, 2007). Dowd et al. (2006) suggest that a survivor swap can serve as a more advantageous survivor derivative than a survivor bond, because it can be arranged at a lower transaction cost and does not require a liquid market. (5) Similar to the concept of survivor swap, insurers can hedge longevity risks internally between their own business products (life insurance and annuity), which are sensitive in opposing ways to the changes in mortality rates. This approach provides a so-called natural hedging strategy. If the future mortality of a cohort improves relative to current expectations, life insurers gain a profit because they can pay the death benefit later than initially expected, whereas annuity insurers suffer losses because they must pay annuity benefits for longer than they initially expected. Therefore, life insurance can serve as a dynamic hedge vehicle against unexpected mortality risk. Yet relatively few academic papers have investigated the issue of natural hedging. Cox and Lin (2007) suggest that natural hedging is appealing but may be too expensive to be effective in the context of internal life insurance and annuity products. …

Using information on timing and number of claims in a unique data set pertaining to comprehensive automobile insurance with the increasing deductible provision in Taiwan, the authors provide new evidence for moral hazard. Time‐varying correlations between the choice of the insurance coverage and claim occurrence are significantly positive and exhibit a smirk pattern across policy months. This empirical finding supports the existence of asymmetric information. A subsample estimation depicts insured drivers' significant responses to increasing deductibles, which implies the existence of moral hazard. According to the probit regression results, the increasing deductible makes policyholders who have ever filed claims less likely to file additional claims later in the policy year. The empirical findings strongly support the notion that the increasing deductible provision helps control moral hazard.

This study investigates whether U.S. property-liability insurers change their demand for reinsurance after demutualization. Our empirical results show that the overall demand for reinsurance of converting insurers is not statistically different after the conversion. Furthermore, we find that converting insurers decrease the demand for reinsurance from non-affiliated reinsurers, but increase the demand for reinsurance from affiliated reinsurers after the conversion. One possible explanation is that converting insurers may treat reinsurance to affiliated reinsurers as risk retention rather than risk transfer so that they can reduce reinsurance cost. Another interesting finding is that converting insurers increase demand for reinsurance from non-affiliated reinsurers before conversion. The Geneva Papers (2008) 33, 566–584. doi:10.1057/gpp.2008.17

Using unique bancassurance data from Taiwan, we examine whether banks improve their scope economies by engaging in bancassurance activities. We adopt an econometric approach to identify the relation between economies of scope and bancassurance. The empirical results show that higher involvement in bancassurance helps banks improve their cost scope economies but may also lead to revenue scope diseconomies. However, the overall results indicate that banks in Taiwan realized greater gains from cost scope economies than losses from revenue scope diseconomies by engaging in bancassurancc activities. In particular, banks with higher levels of bancassurance premium income and subsidiaries of financial holding companies are more likely to realize cost scope economies. On the other hand, banks with more correspondent insurers, larger numbers of branches, greater numbers of customers, a more intensive product focus, and a higher proportion of invested assets are more likely to realize revenue scope economies.

This article investigates asymmetric information problems for the automobile insurance market in Taiwan. Using panel data for the comprehensive automobile insurance coverage from 1995 to 1999, this article analyzes how types of coverage, deductible amounts, and experience ratings have affected the adverse selection and moral hazard problems in Taiwan's automobile insurance market. The empirical results provide partial evidence to demonstrate that the loss frequency and loss ratio were reduced by the addition of self-selection mechanisms in policies with different levels of coverage. In addition, the deductible amounts, experience ratings, and better control of underwriting and claims processing were shown possibly to have decreased potential losses from adverse selection and moral hazard problems. INTRODUCTION Asymmetric information has been one of the major topics in insurance research since Rothschild and Stiglitz (1976) and Shavell (1979) pioneered the development of the theoretical framework of moral hazard and adverse selection for insurance. Their work inspired a number of other researchers in the area of insurance theory over the past two decades-e.g., Miyazaki, 1977; Wilson, 1977; Radner, 1981; Holmstrom, 1982; Dionne, 1983; Rubinstein and Yarri, 1983; Crocker and Snow, 1986; Cooper and Hayes, 1987; Arnott and Stiglitz, 1988; Hellwig, 1988; Hosios and Peters, 1989; Hoy, 1989; Mookerjee and Png, 1989; Abreu, Pearce, and Stacchetti, 1990. The theoretical literature has identified many insightful concepts (such as incomplete coverage, commitment, renegotiation, and self-selection mechanisms) for understanding asymmetric information in the insurance market. Moreover, several more recent papers (including Dahlby, 1983; Dionne and Doherty, 1994; Puelz and Snow, 1994; and Chiappori and Salanie, 1997) have used data from automobile insurance to conduct further empirical tests to investigate whether asymmetric information problems exist in each insurance market. On the other hand, adverse selection and moral hazard problems are also well recognized by insurers in real practice. In addition, insurance companies have developed many provisions-such as deductibles, co-insurance, and experience ratings-to reduce possible losses caused by adverse selection and moral hazard problems. For example, insurers may design different types of insurance coverages and deductible amounts with different costs to sort out the varying risk levels of the insured. Insurers have also used experience ratings in automobile insurance and workers compensation to control potential problems of asymmetric information. In Taiwan, it has been widely believed that comprehensive automobile insurance coverage has long suffered from very severe asymmetric information problems. Insurance companies in Taiwan have developed several methods to overcome these problems. To explore these problems with empirical evidence, I have collected panel data for automobile insurance from 1995 to 1999 to account for how different types of coverage, deductible amounts, and experience rating systems affect adverse selection and moral hazard problems. In addition, I also address how automobile insurers in Taiwan have developed a self-selection mechanism for comprehensive coverage to deal with asymmetric information problems. The empirical evidence provided in this aricle confirms that there may exist asymmetric information problems in comprehensive automobile insurance coverage in Taiwan. Moreover, the empirical results provide partial evidence to demonstrate that loss frequencies and loss ratios were reduced by self-selection mechanisms included in the contracts with different levels/costs of coverage. In addition, the deductible amounts and experience rating systems were found to decrease possible losses from moral hazard and adverse selection problems. The next section of this article reviews automobile insurance and comprehensive coverage in Taiwan. …

This paper explores the impact of deregulation of licensing on an oligopoly insurance market. We show that deregulation of licensing in a Stackelberg-type oligopoly market may not have any impact on the leader’s output if the number of firms increases but the market structure remains. On the other hand, if the market structure is reorganized because of the deregulation of licensing, the leader’s output could be significantly reduced after deregulation. By using the unique data of the insurance market in Taiwan, this paper provides further empirical evidence to demonstrate that the deregulation of a Stackelberg-type oligopoly insurance market reduces the outputs of the market leader more than those of the market followers.

Using firm-level data from the Internal Revenue Service Form 5500, this paper provides new evidence of the substitution and supplemental effects between 401(k) plans and other employers' pension plans for longstanding firms. By comparing employers' pension plan choices between 1985 and 1996, we trace how individual employers changed their pension offerings during this study period. Multinomial logistic regression models were adopted to analyze the substitution and supplemental effects between 401(k) and other employers' pension plans. The empirical results do not support the hypothesis that the new 401(k) offerings were used to replace existing defined benefit (DB) plans, but rather replaced existing other defined contribution (DC) plans or supplement DB/other DC plans.

The economic significance of longevity risk for governments, corporations, and individuals has begun to be recognized and quantified. The traditional insurance route for managing this risk has serious limitations due to capacity constraints that are becoming more and more binding. If the 2010 U.S. population lived three years longer than expected then the government would have to set aside 50% of the U.S. 2010 GDP or approximately $7.37 trillion to fully fund that increased social security liability. This is just one way of gauging the size of the risk. Due to the much larger capacity of capital markets more attention is being devoted to transforming longevity risk from its pure risk form to a speculative risk form so that it can be traded in the capital markets. This transformation has implications for governments, corporations and individuals that will be explored here. The analysis will view the management of longevity risk by considering how defined contribution plans can be managed to increase the sustainable length of retirement and by considering how defined benefit plans can be managed to reduce pension risk using longevity risk hedging schemes.

The current study was motivated by a need for a self-report questionnaire that assesses a broad range of subthreshold autism traits, is brief and easily administered, and is relevant to the general population. An initial item pool was administered to 1,709 students. Structural validity analysis resulted in a 24-item questionnaire termed the Subthreshold Autism Trait Questionnaire (SATQ; Cronbach’s alpha coefficient = .73, test–retest reliability = .79). An exploratory factor analysis suggested 5 factors. Confirmatory factor analysis indicated the 5 factor solution was an adequate fit and outperformed two other models. The SATQ successfully differentiated between an ASD and student group and demonstrated convergent validity with other ASD measures. Thus, the current study introduces and provides initial psychometric support for the SATQ.

How do property liability insurance companies choose their organizational forms and distribution channels? Prior studies have not yet provided a consistent conclusion. In this paper, we propose a reduced form approach to reexamine the relationship between organizational forms and distribution channels in the insurance industry, using cross-sectional data pertaining to U.S. property liability insurance companies in 2004. We adopt a conditional dependence test, which can overcome the sensitivity problem of the structural form setting. The results show that after we control for all explanatory variables, the relationship between organizational forms and distribution channels is conditionally uncorrelated. The result is consistent with Regan and Tzeng (1999), but contradicts the findings of Baranoff and Sager (2003) and Kim et al. (1996).

As the population ages and the deterioration of pension funds continue, hedging longevity risk is becoming increasingly important in Taiwan. This article analyzes the potential market for issuing longevity bonds to hedge against the longevity risk in Taiwan. Many recent studies have suggested that longevity bond can serve as an effective risk management tool to mitigate the longevity risks. Following the design of the longevity bond proposed by Denuit, Devolder and Godernaiaux (2007), we make an illustration of pricing longevity bond using Lee-Carter model on the basis of the mortality experience in Taiwan. Our results show that the risk premium for issuing a longevity bond in Taiwan is lower than that in the United State. However, in order to measure the longevity risk more precisely and to overcome the potential problems of issuing longevity bonds in Taiwan, the quality of mortality data should be improved and more regulations need to be amended in the near future.

was held in Taipei, Taiwan on 20-21 July 2007. It was hosted by National Chengchi University. Mortality improvements around the world are putting more pressure on governments, pension funds, life insurance companies as well as individuals to deal with the increasing longevity risk they face. Financial markets, on the other hand, can in principle provide vehicles to hedge longevity risk effectively. Many new investment products have been created both by the insurance/reinsurance industry and by the capital markets. Mortality catastrophe bonds are an example of a successful insurance-linked security. Some new innovative capital market solutions for transferring longevity risk include survivor bonds, reverse mortgages, longevity-linked swaps and forward contracts. The aim of the

Longevity Three: The Third International Longevity Risk and Capital Markets Solutions Conference was held in Taipei, Taiwan on 20-21 July 2007. It was hosted by National Chengchi University. Mortality improvements around the world are putting more pressure on governments, pension funds, life insurance companies as well as individuals to deal with the increasing longevity risk they face. Financial markets, on the other hand, can in principle provide vehicles to hedge longevity risk effectively. Many new investment products have been created both by the insurance/reinsurance industry and by the capital markets. Mortality catastrophe bonds are an example of a successful insurance-linked security. Some new innovative capital market solutions for transferring longevity risk include survivor bonds, reverse mortgages, longevity-linked swaps and forward contracts. The aim of the International Longevity Risk and Capital Markets Solutions Conferences is to bring together academics and practitioners from all over the world to discuss and analyze these exciting new developments. The first conference was held at Cass Business School in London in February 2005. This conference was prompted by the announcement of the Swiss Re mortality catastrophe bond in December 2003 and the EIB/BNP/PartnerRe longevity bond in November 2004. The second conference was held in April 2006 in Chicago and hosted by the Katie School at Illinois State University. In the intervening period, there were further issues of mortality catastrophe bonds, as well as the release of the Credit Suisse Longevity Index. Life settlement securitizations were also beginning to take place in the US. In the UK, new life companies backed by global investment banks and private equity firms were setting up for the express purpose of buying out the defined benefit pension liabilities of UK corporations. Goldman Sachs announced it was setting up such a buy-out company itself because the issue of pension liabilities was beginning to impede its mergers and acquisitions activities. So there was now clear evidence that a new global capital market in longevity risk transference was beginning to emerge. However, as with many other economic activities, not all progress follows a smooth path. The EIB/BNP/PartnerRe longevity bond did not attract sufficient investor interest and was withdrawn in late 2005. But a great deal was learned from this about the conditions and requirements needed to launch a successful capital market.

This paper proposes a discrete dynamic programming model to maintain pension contribution in a stable level. By assuming an intertemporal stable contribution rate, we derive an algorithm to calculate the optimal contribution that requires less exogenous information and produces more stable results. Our simulation results further confirm that our model helps pension fund managers to make more stable contributions and further reduce the contribution risk for the defined benefit pension fund than the traditional algorithms do.

To immunize an insurance company's surplus against interest-rate fluctuations, asset-liability managers commonly adopt the so-called classical immunization strategy to set the duration of the surplus equal to zero. Unfortunately, this strategy is derived on the basis of the flat-term structure. This article examines the immunization strategy with a stochastic process, which can generate a mean-reverting term structure. By means of the stochastic process, the authors provide a measurement for evaluating the assets and liabilities of the insurance company. The authors also show that the immunization strategy suggested in the article is a general model and includes the classical immunization strategy as a special case. Furthermore, if a firm's objective is to maximize its convexity of the surplus subject to zero surplus duration and its budget constraint, the authors demonstrate that linear programming can implement the optimal immunization strategy in this case. Moreover, the results of this simulation show that the cost of failing to recognize stochastic interest-rate changes can be extremely high.