0000000000482053
AUTHOR
M. Tumminello
Designing and pricing guarantee options in defined contribution pension plans
Abstract The shift from defined benefit (DB) to defined contribution (DC) is pervasive among pension funds, due to demographic changes and macroeconomic pressures. In DB all risks are borne by the provider, while in plain vanilla DC all risks are borne by the beneficiary. However, for DC to provide income security some kind of guarantee is required. A minimum guarantee clause can be modeled as a put option written on some underlying reference portfolio and we develop a discrete model that selects the reference portfolio to minimize the cost of a guarantee. While the relation DB–DC is typically viewed as a binary one, the model shows how to price a wide range of guarantees creating a continu…
Correlation filtering in financial time series
We apply a method to filter relevant information from the correlation coefficient matrix by extracting a network of relevant interactions. This method succeeds to generate networks with the same hierarchical structure of the Minimum Spanning Tree but containing a larger amount of links resulting in a richer network topology allowing loops and cliques. In Tumminello et al. \cite{TumminielloPNAS05}, we have shown that this method, applied to a financial portfolio of 100 stocks in the USA equity markets, is pretty efficient in filtering relevant information about the clustering of the system and its hierarchical structure both on the whole system and within each cluster. In particular, we have…
Autism spectrum disorder in Italy: demand for an integrated epidemiological surveillance system.
Autism spectrum disorder (ASD) is a complex neurodevelopmental syndrome of emerging public health concern, according to a documented significant increase of diagnosed cases of ASD in Europe and USA. In Italy, actually, it is not possible to estimate at national level a reliable ASD occurrence by using existing health and scholastic data flows. The lack of information has implications on social and healthcare services dedicated to subjects affected by ADS. The database of the Italian institute in charge of social and security assistance was accessed at the provincial level to investigate the ASD cases occurred in the Palermo province. The official reports of all subjects visited in 2013 by I…