Analysis of the claims data of a life insurance portfolio

Mestrado em Ciências Actuariais

The specific shapes of gender imbalance in scientific authorships : a network approach

Gender differences in collaborative research have received little at- tention when compared with the growing importance that women hold in academia and research. Unsurprisingly, most of bibliomet- ric databases have a strong lack of directly available information by gender. Although empirical-based network approaches are often used in the study of research collaboration, the studies about the influence of gender dissimilarities on the resulting topological outcomes are still scarce. Here, networks of scientific subjects are used to characterize patterns that might be associated to five categories of authorships which were built based on gender. We find enough evidence that gen- der imbalance in scientific authorships brings a peculiar trait to the networks induced from papers published in Web of Science (WoS) in- dexed journals of Economics over the period 2010-2015 and having at least one author affiliated to a Portuguese institution. Our re- sults show the emergence of a specific pattern when the network of co-occurring subjects is induced from a set of papers exclusively au- thored by men. Such a male-exclusive authorship condition is found to be the solely responsible for the emergence that particular shape in the network structure. This peculiar trait might facilitate future network analyses of research collaboration and interdisciplinarity.

Interest rate (in)sensitivity of emerging market corporate debt : economic analysis based on 2002-2015 empirical evidence

Interest rate sensitivity assessment framework based on fixed income yield indexes is developed and applied to two types of emerging market corporate debt: investment grade and high yield exposures. Our research advances beyond the correlation analyses focused on co- movements in yields and/or spreads of risky and risk-free assets. We show that correlation- based analyses of interest rate sensitivity could appear rather inconclusive and, hence, we investigate the bottom line profit and loss of a hypothetical model portfolio of corporates. We consider historical data covering the period 2002 – 2015, which enable us to assess interest rate sensitivity of assets during the development, the apogee, and the aftermath of the global financial crisis. Based on empirical evidence, both for investment and speculative grades securities, we find that the emerging market corporates exhibit two different regimes of sensitivity to interest rate changes. We observe switching from a positive sensitivity under the normal market conditions to a negative one during distressed phases of business cycles. This research sheds light on how financial institutions may approach interest rate risk management, evidencing that even plain vanilla portfolios of emerging market corporates, which on average could appear rather insensitive to the interest rate risk in fact present a binary behavior of their interest rate sensitivities. Our findings allow banks and financial institutions for optimizing economic capital under Basel III regulatory capital rules.

Estimation of leaf area in grapevine cv. Syrah using empirical models

Aiming to obtain empirical models for the estimation of Syrah leaf area a set of 210 fruiting shoots was randomly collected during the 2013 growing season in an adult experimental vineyard, located in Lisbon, Portugal. Samples of 30 fruiting shoots were taken periodically from the stage of inflorescences visible to veraison (7 sampling dates). At the lab, from each shoot, primary and lateral leaves were separated and numbered according to node insertion. For each leaf, the length of the central and lateral veins was recorded and then the leaf area was measured by a leaf area meter. For single leaf area estimation the best statistical models uses as explanatory variable the sum of the lengths of the two lateral leaf veins. For the estimation of leaf area per shoot it was followed the approach of Lopes & Pinto (2005), based on 3 explanatory variables: number of primary leaves and area of the largest and smallest leaves. The best statistical model for estimation of primary leaf area per shoot uses a calculated variable obtained from the average of the largest and smallest primary leaf area multiplied by the number of primary leaves. For lateral leaf area estimation another model using the same type of calculated variable is also presented. All models explain a very high proportion of variability in leaf area. Our results confirm the already reported strong importance of the three measured variables (number of leaves and area of the largest and smallest leaf) as predictors of the shoot leaf area. The proposed models can be used to accurately predict Syrah primary and secondary leaf area per shoot in any phase of the growing cycle. They are inexpensive, practical, non-destructive methods which do not require specialized staff or expensive equipment.

Adaptive lighting design as a holistic approach to public lighting

Dissertação para obtenção do grau de Doutor em Design, apresentada na Universidade de Lisboa - Faculdade de Arquitetura.