Consumption and portfolio rules whit stochastic hyperbolic discounting

We extend the classic Merton (1969, 1971) problem that investigates the joint consumption-savings and portfolio-selection problem under capital risk by assuming sophisticated but time-inconsistent agents. We introduce stochastic hyperbolic preferences as in Harris and Laibson (2013) and find closed-form solutions for Merton's optimal consumption and portfolio selection problem in continuous time. We find that the portfolio rule remains identical to the time-consistent solution with power utility and no borrowing constraints. However,the marginal propensity to consume out of wealth is unambiguously greater than the time-consistent, exponential case and,importantly, it is also more responsive to changes in risk. These results suggest that hyperbolic discounting with sophisticated agents offers promise for contributing to explaining important aspects of asset market data.

Elements of Decision under Uncertainty with Applications

This work presents the basic elements for the analysis of decision under uncertainty: Expected Utility Theory and its citicisms and risk aversion and its measurement. The concepts of certainty equivalent, risk premium, absolute risk aversion and relative risk aversion, and the "more risk averse than" relation are discussed. The work is completed with several applications of decision making under uncertainty to different economic problems: investment in risky assets and portfolio selection, risk sharing, investment to reduce risk, insurance, taxes and income underreporting, deposit insurance and the value of information.

Gender equality in life insurance

[EN]This project is going to study the implications of the gender of an individual in the rate-setting process of life insurance. In order to do so there is a review of the continuous changes that have taken place in the national and European legislation following the enactment of the Directive 2004/113/EC, as well as its consequences from the prohibition to differentiate the premiums and benefits on the grounds of gender. In this area, the evolution of the Spanish insurance sector and the influence of the new legislation are examined. Furthermore, there is an analysis of the differences between men and women, which to some extent have a direct impact in the management and development of the life insurance companies. Finally, methods to calculate the premium and the benefits are proposed with the purpose of preventing the restrictions imposed by the Directive 2004/113/EC. In order to check the repercussions of the use of unisex tables a comparison is made between the premiums obtained for a whole life insurance by allocating the same weighing to the actuarial male and female mortality tables and those that would result if the distinction by gender were allowed.

Proceso de creación del “Competitor and Market Report” para cubrir las necesidades de información de la alta dirección de Zurich Insurance Ltd.

Proceso del Competitor and Market Report para cubrir las necesidades de información de la Alta Dirección de Zurich Insurance plc, para la unidad de negocio Global Corporate (GC) en la región de Europa Medio Oriente y África (EMEA) “ El Competitor and Market Report surge de la situación de desinformación en la que los altos directivos y los representantes de CD&M GCiEMEA de cada país se encuentran. Este trabajo consiste en estudiar todo el proceso de creación del Competitor and Market Report, empezando por la identificación del problema, búsqueda de soluciones e implementación y puesta en marcha de la solución. Este proceso nos obligara a inventariar y analizar los estudios que hasta el momento la empresa de seguros Zurich Insurance Ltd, recibía procedentes de fuentes externas o de distintos departamentos que rara vez estaban coordinados en la producción de estos informes. Analizaremos cuales son las áreas de información que estos informes no cubren. El proceso nos obligara a realizar un trabajo de campo. Haremos entrevistas que nos ayudaran a comprender mejor las necesidades de información de los altos directivos. A partir de los resultados anteriores se justificará la creación del Competitor and Market Report, y se estudiará todo el proceso de creación y puesta en marcha de un informe que cubra las necesidades anteriores.