The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices

In this paper, we determine the fair value of a pension buyout contract under the assumption that changes in mortality can have an impact on financial markets. Our proposed model allows for shocks to occur simultaneously in mortality rates and financial markets, so that strong changes in mortality rates can affect interest rates and asset prices. This approach challenges the common but very strong assumption that mortality and market risk drivers are independent. A simulation-based pricing framework is applied to determine the buyout premium for a hypothetical fully funded pension scheme. The results of an extensive sensitivity analysis show how buyout prices are affected by changes in mortality and financial markets. Surprisingly, we find that the impact of shocks is similar whether or not these shocks occur simultaneously or not, although there are some differences in annuity prices and buyout premiums. We clearly see that the intensity and severity of shocks, and asset price volatility play a dominant role for buyout prices.

The Concurrent Validity and Test-Retest Reliability of Possible Remote Assessments for Measuring Countermovement Jump: My Jump 2, HomeCourt & Takei Vertical Jump Meter

Featured ApplicationThe same tool could be used repeatedly to track the changes in CMJ performance. Average jump heights should be analyzed. Practitioners and sports professionals without extensive knowledge of assessment could self-administer CMJ tests using these devices.Mobile applications and portable assessments make remote self-assessment of the countermovement jump (CMJ) test possible. This study aimed to investigate the concurrent validity and test–retest reliability of three portable measurement systems for CMJ. Thirty physically active college students visited the laboratory twice, with two days in between, and performed three jumps each day. All jumps were recorded by My Jump 2, HomeCourt, and the Takei Vertical Jump Meter (TVJM) simultaneously. Results indicated significant differences among the three systems (p < 0.01). HomeCourt tended to present the highest jump height mean value (46.10 ± 7.57 cm) compared with TVJM (42.02 ± 8.11 cm) and My Jump 2 (40.85 ± 7.86 cm). High concurrent validities among assessments were found (r = 0.85–0.93). Good to excellent reliability of jump assessments was demonstrated (ICC3,1 = 0.80–0.96). Reliable coefficients of variation were shown in all measurements (2.58–5.92%). Significant differences were revealed among the three apparatuses while they demonstrated high intra-device test–retest reliability. TVJM was the most reliable, and average jump heights were recommended for analysis.

Time-varying jumps in China crude oil futures market impacted by COVID-19 pandemic

China crude oil futures market launched in 2018 has become the third-largest global crude oil exchange, indicating its important role in global crude oil markets. Understanding the time-varying jumps of the newly RMB denominated crude oil futures market is not only for the benefit of the market participants in risk management and hedging, but also for the reference of policy-makers in formulating regulation policies, market pricing and financializing energy markets. However, the literature on time-varying jumps in China crude oil futures market is quite scarce compared with existed literature. In this regard, we attempt to study time-varying jumping behaviors of China crude oil futures market impacted by discrete random events, and analyze the sensitivity of jump intensity, jump size and its variance to market volatility and historical volatility, applying the constant and time-varying intensity jump models, based on the daily returns of China crude oil futures market from March 26, 2018 to August 31, 2021. Further, we compare the differential jumps of China crude oil futures market impacted by COVID-19 pandemic. The empirical results have shown that significant time-varying jumping behaviors appear in China crude oil futures market and take on discrete jumping form. The jump intensity is persistent and sensitive to historical volatility of the market. Meanwhile, jump intensity and jump size increase suffered by great public health emergency, and negative jump size arises with high probability. However, the variance of jump size is little sensitive to historical volatility of the market. These findings suggest that the time-varying jumps, especially negative jumps, should be considered for decision-makers and market participants associated with China crude oil futures market. © 2023 Elsevier Ltd

Pricing extreme mortality risk in the wake of the COVID-19 pandemic

In pricing extreme mortality risk, it is commonly assumed that interest rate and mortality rate are independent. However, the COVID-19 pandemic calls this assumption into question. In this paper, we employ a bivariate affine jump-diffusion model to describe the joint dynamics of interest rate and excess mortality, allowing for both correlated diffusions and joint jumps. Utilizing the latest U.S. mortality and interest rate data, we find a significant negative correlation between interest rate and excess mortality, and a much higher jump intensity when the pandemic experience is considered. Moreover, we construct a risk-neutral pricing measure that accounts for both diffusion and jump risk premia, and we solve for the market prices of risk based on mortality bond prices. Our results show that the pandemic experience can drastically change investors' perception of the mortality risk market in the post-pandemic era. © 2022 Elsevier B.V.

BAYESIAN CLUSTERING OF SPATIAL FUNCTIONAL DATA WITH APPLICATION TO A HUMAN MOBILITY STUDY DURING COVID-19

The coronavirus (COVID-19) global pandemic has made a significant impact on people's social activities. Cell phone mobility data provide unique and rich information on studying this impact. The motivating dataset of this study is the daily leaving-home index data at Harris County in Texas provided by SafeGraph. To study changes in daily leaving-home index and how they relate to public policy and sociodemographic variables, we propose a new Bayesian wavelet model for modeling and clustering spatial functional data, where domain partitioning is achieved by operating on the spanning trees. The resulting clusters can have arbitrary shapes and are spatially contiguous in the input domain. An efficient tailored reversible jump Markov chain Monte Carlo algorithm is proposed to implement the model. The method is applied to the spatial functional data of the daily percentages of people who left home. We focus on the time period covering both lockdown and phased reopening in Texas during the COVID-19 pandemic and study the changing behaviors of those functional curves. By linking the clustering results with the sociodemographic information, we identify several covariates of census blocks that have a noticeable impact on the clustering patterns of people's mobility behaviors. © Institute of Mathematical Statistics, 2023.

Changes in vertical jump performance and body composition before and after COVID-19 lockdown

This study aimed to determine the effects of a 16-week COVID-19 lockdown on body composition and vertical jump performance. Thirteen martial artists participated in this study. Participants were tested at: 1) pre-lockdown (pre), 2) post-lockdown (post), 3) two-weeks-post-lockdown (post+2), and 4) four-weeks-post-lockdown (post+4). Repeated-measures-ANOVAs were conducted with post-hoc analyses. Differences were observed in vertical jump height (VJH) (10.33%), peak velocity (PV) (3.10%), reactive-strength-index-modified (RSImod) (13.8%), and peak-propulsive-power (PPP) (6.00%) from pre-to-post. There as an increase from post-to-post+2 in VJ (13.06%), PV (4.12%), RSImod (14.0%), and PPP (4.66%). There was an increase from post to post+2 in VJH (10.8%), PV (3.1%), RSImod (14.0%), and PPP (3.0%). Fat mass (FM) and BF% increased from pre to post (13% and 11%, respectively) and decreased from post to post+4 (8% and 11%, respectively);fat-free mass (FFM) decreased from pre-to-post (11%) and decreased from post-to-post+4 (8%). There were moderate associations (rmc = 0.42-0.47) between FFM and VJH, FMM and PPP, FFM and PV, BF% and PV, and FM and PV. While the lockdown resulted in a significant decrease in vertical jump performance and increases in BF and FM, participant's performance returned to pre-lockdown levels after only 2-4 weeks of post-lockdown training by decreasing BF, FM, and increasing FFM. © Faculty of Education. University of Alicante.

Permutation-based tests for discontinuities in event studies

We propose using a permutation test to detect discontinuities in an underlying economic model at a known cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time-series data. The test statistic measures the distance between the empirical distribution functions of observed data in two local subsamples on the two sides of the cutoff. Critical values are computed via a standard permutation algorithm. Under a high-level condition that the observed data can be coupled by a collection of conditionally independent variables, we establish the asymptotic validity of the permutation test, allowing the sizes of the local subsamples to be either be fixed or grow to infinity. In the latter case, we also establish that the permutation test is consistent. We demonstrate that our high-level condition can be verified in a broad range of problems in the infill asymptotic time-series setting, which justifies using the permutation test to detect jumps in economic variables such as volatility, trading activity, and liquidity. These potential applications are illustrated in an empirical case study for selected FOMC announcements during the ongoing COVID-19 pandemic. Copyright © 2023 The Authors.

Credit default swap pricing with counterparty risk in a reduced form model with a common jump process

In this paper, we study the credit default swap (CDS) pricing with counterparty risk in a reduced form model. The default jump intensities of the reference firm and counterparty are both assumed to follow the mean-reverting CIR processes with independent jumps respectively and a common jump. The approximate closed-form solutions of the joint survival probability density and the probability density of the first default can be obtained by using the PDE method. Then with the expressions of the probability densities, we can get the formula for the CDS price with counterparty risk in a reduced form model with a common jump. In the numerical analysis part, we find that the default of the reference asset has a greater impact on the CDS price than that of the default of counterparty after introducing the common jump process.

Pricing Extreme Mortality Risk in the Wake of the COVID-19 Pandemic

In pricing extreme mortality risk, it is commonly assumed that interest rate and mortality rate are independent. However, the COVID-19 pandemic calls this assumption into question. In this paper, we employ a bivariate affine jump-diffusion model to describe the joint dynamics of interest rate and excess mortality, allowing for both correlated diffusions and joint jumps. Utilizing the latest U.S. mortality and interest rate data, we find a significant negative correlation between interest rate and excess mortality, and a much higher jump intensity when the pandemic experience is considered. Moreover, we construct a risk-neutral pricing measure that accounts for both diffusion and jump risk premia, and we solve for the market prices of risk based on mortality bond prices. Our results show that the pandemic experience can drastically change investors' perception of the mortality risk market in the post-pandemic era.

An oil futures volatility forecast perspective on the selection of high-frequency jump tests

This paper examines the forecasting performances of high-frequency jump tests for oil futures volatility from a comprehensive perspective. It contributes to the literature by investigating which jump test is the best for oil futures volatility forecasting under different circumstances and whether the jump component extracted from multiple alternative tests is useful for further improving forecasting performance. Our results show that the jumps of the TOD test (Bollerslev et al., 2013) have satisfactory performance over the medium-term and especially the short-term forecasting horizons. Most importantly, the jump components from the intersection of multiple intraday tests further improve the forecasting performance. A variety of further discussions, including models controlling for stock market effects and considering periods of high (low) volatility and the COVID-19 pandemic period, confirm the conclusions. This paper attempts to shed light on oil futures volatility prediction from the perspective of jump test selection.

The role of school physical education on adolescents' fitness levels during the pandemic period from COVID-19: An observational study of the Italian scientific high school-section sport and physical activity.

Objectives: In Italy, in 2013, a new school curriculum with a sport character was established in high schools, called Sports High School (SHS). The aims of this study were: (1) to assess the fitness levels of SHS students who, respecting all the safety rules to limit the spread of COVID-19, practiced physical education (PE) at school with continuity for almost all of 2021, and to compare them with Traditional High School (THS) students; (2) to evaluate as the SHS may have influenced the fitness levels in adolescents. Methods: This is a case-control study in which thirty participants were enrolled (SHS: n = 15; THS: n = 15). To assess the fitness levels, the following tests were administered: the Static Baropodometric and Stabilometric Analyses, the Counter Movement Jump (CMJ), and the Handgrip test. All these tests were administered when the non-pharmaceutical interventions (NPIs) for COVID-19 allowed the resumption of PE lessons (T0) and 2 months after their resumption (T1). Results: Unpaired t-test between SHS (T0) vs. THS (T0) showed significant differences between: Handgrip test Dx and Handgrip test Sx (both p < 0.001), Surface Sx foot and Surface Dx foot (both p < 0.05), and CMJ (p < 0.001). These results were also confirmed in T1. The performance analysis between T0 and T1 of both SHS and THS showed improvements in SHS: Handgrip test Dx (p < 0.05; d = 0.57), Handgrip test Sx (p < 0.01; d = 0.87), and CMJ (p < 0.05; d = 0.59). Pearson's analysis of the results of the tests showed significant strong correlations between: Handgrip test Dx and Handgrip test Sx (R = 0.959; p < 0.001), Handgrip test Dx and CMJ (R = 0.881; p < 0.001), Handgrip test Sx and CMJ (R = 0.893; p < 0.001). The same analysis showed significant but moderate correlations between: Surface foot Sx and CMJ (R = 0.489; p < 0.01), Surface foot Sx and y-mean (R = 0.485; p < 0.01), Surface foot Dx and CMJ (R = 0.444; p < 0.05). Conclusions: This study is in agreement with the literature showing that the quarantine period and the NPIs for COVID-19 caused a decrease in fitness levels in adolescents. Our results showed that students of SHS recorded higher strength performance both in the Handgrip test and in the CMJ.

Modeling pandemic mortality risk and its application to mortality-linked security pricing.

To provide insights for how to deal with pandemic mortality risk, this article introduces a mortality model that depicts the relevant pandemic effects on pricing mortality-linked securities, using a threshold jump approach. That is, to capture pandemic mortality dynamics across countries, we consider mortality jumps related to the pandemic shock and to a specific country shock. Pandemic jump occurs only when a pandemic event causes significant deaths worldwide, such as 1918 Spanish flu or COVID-19. Then the proposed pandemic mortality model can be adjusted according to country-specific mortality experiences. We further analyze the effect of pandemic mortality risk on pricing a mortality-linked bond. Using the first Swiss Re mortality bond as an example, a further derivation obtains the closed-form solution for the fixed-coupon mortality-linked bond in the pandemic mortality framework. Finally, this study details the impacts of pandemic mortality risk numerically by fitting the model to the United States, England and Wales, France, Italy, and Switzerland and calculating the fair spread of the mortality-linked bond.

Change in BMI and Fitness among Primary School Children in Austria: A 24-Month Follow-Up Study of 303 Children Measured before and during the Ongoing COVID-19 Pandemic.

The ongoing COVID-19 pandemic not only impacted the health of school children directly through SARS-CoV-2 infections, but the associated closures of schools and sports facilities also resulted in long-term negative side effects. The aim of this study was to investigate the effects of COVID-19-related mitigation measures on the health and fitness status of primary school children in Austria. A total of 303 primary school children participated in the longitudinal study. Data on height, weight, and fitness were collected before the COVID-19 pandemic (September 2019) and at one-year intervals (September 2020 and September 2021) during the course of the pandemic. In the first year, from September 2019 to September 2020, there were alarming increases in body mass index (BMI) standard deviation scores (SDSs) (from 0.32 to 0.49) and dramatic decreases in both cardiorespiratory endurance (CRE) (from 0.49 to -0.43) and action speed (from -0.31 to -0.64). In the second year (September 2020 to September 2021), the BMI scores stabilized, and improvements in CRE were observed, especially in the subgroup of children who were members of sports clubs. In the future, more initiatives and projects, in addition to sports club activities, should be started and expanded, particularly in schools, to specifically counteract the observed health damage and, thus, have a positive effect on the development of all children, especially those without sports club membership.

Are ESG-committed hotels financially resilient to the COVID-19 pandemic? An autoregressive jump intensity trend model.

Given that the United Nations views environmental, social, and governance (ESG) as a practical framework for anchoring responsible corporate behavior to achieve its sustainable development goals, this study constructs an autoregressive jump intensity trend (ARJI-trend) model to determine if ESG can improve future resilience and create crisis-resilient value for chained-brand hotel corporations from the effects of COVID-19. The findings indicate that the ARJI-trend model indeed captures both the permanent and transitory components of the hotel corporation's ESG performance related to stock return dynamics. When ESG rating is taken into account, the following conclusions emerge: 1) the transitory component of time-varying return variance decreases but the permanent component does not; 2) the hotel corporation portfolios with a lower transitory component experiences a higher return, implying that the hotel corporations with a higher ESG rating appear to be more defensiveness; and 3) with proper asset reallocation, a portfolio centered on strong ESG-conscious hotel corporations is a safe-haven asset during market turmoil.

Is COVID-19 infection decreasing the sports performance of the volleyball players? A pilot study

Background: Coronavirus (COVID-19) infection has made restrictions on every sports level, from the audience to athletes worldwide. Volleyball players' life were affected by COVID-19 infection, the layout of training, and competitions. This study aims to show the effect of COVID-19 infection on the performance of volleyball players. Methods: Nineteen volleyball players aged 15-20 in the same volleyball club and infected with COVID-19 in the first league of their country were included in the study. Weight, height, fat percentage, muscle mass, countermovement jump, Squat jump, Spike jump tests, and agility T-tests records were compared before (1 and 2 measures) and after the COVID-19 infection (3 and 4 measures). The team physician asked and recorded the players' feelings about changes in their sports performance after the COVID-19 infection. Results: The mean number of PCR (+) days was 13.4 +/- 2.6. All the median differences of the vertical jump tests had a statistically significant increase at every measure except for the Countermovement jump and squat jump' last two measures, squat jump' first two measures, and spike jump' between twice and third measures. The median differences between the first and last agility T-tests were not statistically significant (p = 0.277). The feeling of volleyball players about the sports performance level was decreased by 57.9%, increase 10.5%, no change 31.6%. Conclusions: Volleyball players' vertical jump performance was getting better despite the COVID-19 infection in our study. Inactivity might be more harmful than COVID-19 infection on sports performance.

The Influence of Maximum Squatting Strength on Jump and Sprint Performance: A Cross-Sectional Analysis of 492 Youth Soccer Players.

This study aims to analyze the influence of relative strength performance, determined by parallel back squats (REL SQ), on 30 m sprinting (LS) and on jumping performance (squat [SJ], countermovement [CMJ]) in a large sample (n = 492) of elite youth soccer players. The soccer players were divided into subgroups based on their strength performance: strength level 1 (0.0-0.5 REL SQ), strength level 2 (>0.5-1.0 REL SQ), strength level 3 (>1.0 to 1.5 REL SQ), strength level 4 (>1.5 to 2.0 REL SQ), and strength level 5 (>2.0 REL SQ). The results of this study show that REL SQ explains 45-53% (r = |0.67-0.73|) of the variance of SJ, CMJ, and LS for the total sample. Strength levels 2-4 showed similar coefficients of correlation in jumping performance (r = |0.42-0.55|) and strength levels 2 and 3 in sprint performance (r = |0.41|). The respective extreme strength levels showed lower coefficients of correlation with the sprinting and jumping performance variables (r = |0.11-0.29|). No coefficients could be calculated for strength level 5 because no athlete achieved an appropriate strength level (>2.0 REL SQ). The data from this study show a clear influence of REL SQ on sprint and jump performance, even in a large sample.

Understanding how ESG-focused airlines reduce the impact of the COVID-19 pandemic on stock returns.

Incorporating environmental-social-governance (ESG) into a company's operations is an innovation strategy for contemporary businesses and a countermeasure for airline companies under COVID-19's influence. This research employs an autoregressive jump intensity trend (ARJI-trend) model to analyze the effects of COVID-19 and ESG ratings on the stock performance of the U.S. airline industry. We find that the ARJI-trend model captures the short- and long-run impacts of COVID-19 and ESG on stock return dynamics. Moreover, short-run stock return volatility converges to the original equilibrium level faster when a company has a higher ESG score, implying that promoting ESG does offer a defense mechanism to airline companies and that ESG performance is suitable for integration into business operational goals. The results lay the groundwork for understanding how an ESG focus might help airline companies to suffer less of an economic/financial impact during crises such as the COVID-19 pandemic.

Bayesian inference for asymptomatic COVID-19 infection rates.

To strengthen inferences meta-analyses are commonly used to summarize information from a set of independent studies. In some cases, though, the data may not satisfy the assumptions underlying the meta-analysis. Using three Bayesian methods that have a more general structure than the common meta-analytic ones, we can show the extent and nature of the pooling that is justified statistically. In this article, we reanalyze data from several reviews whose objective is to make inference about the COVID-19 asymptomatic infection rate. When it is unlikely that all of the true effect sizes come from a single source researchers should be cautious about pooling the data from all of the studies. Our findings and methodology are applicable to other COVID-19 outcome variables, and more generally.

Effects of Jump-Rope-Specific Footwear Selection on Lower Extremity Biomechanics.

Footwear is among the most important equipment in sports to decrease injuries and enhance performance during exercise. In this study, we investigated differences in lower extremity plantar pressure and muscle activations during jump rope activities. Ten participants performed jump rope under two landing conditions with different footwear. A force platform (AMTI, 1000 Hz), a Novel Pedar-X system (Nove, 100 Hz), and a wireless electromyography (EMG) system (Noraxon, 1500 Hz) were used to measure biomechanical parameters during the jump rope exercise. Vertical ground reaction forces (vGRF), plantar pressure, and lower extremity muscle activations were analyzed. One-leg landing resulted in a significantly greater vGRF and shorter fly time than two-leg landing (p < 0.05). A significantly higher peak pressure and lesser toe (LT) area pressure was shown with the jumping shoe (all p < 0.05), but lower plantar pressure resulted in the middle foot area (p < 0.05). The EMG results of tibialis anterior (TA) were significantly greater with one-leg landing (all p < 0.05) during the pre- and background activity (BGA) phases. The results suggest that plantar pressure distribution should be considered when deciding on footwear during jump rope exercises, but care should be taken with regards to recovery after repeated collisions and fatigue. The jumping shoe provides benefits in terms of decreased plantar pressure sustained during jump rope exercises.

Jumps and stock market variance during the COVID-19 pandemic: Evidence from international stock markets.

Based on the work of Buncic and Gisler (2017), this paper investigates whether the roles of jump components will change in forecasting the volatility of international equity markets during the COVID-19 pandemic. Interestingly, in contrast to the conclusions of Buncic and Gisler (2017), we find jump components of the international equity indices are useful to predict the international stock markets' volatility during the COVID-19 pandemic. Our study tries to provide new evidence of jump components in stock markets.