Managing marginal capital requirements in solvency II: Analysis of a real insurance portfolio

This thesis provides a complete analysis of the Standard Capital Requirements given by Solvency II for a real insurance portfolio. We analyze the investment portfolio of BPI Vida e Pensões, an insurance company affiliated with a Portuguese bank BPI, both at security, sub-portfolio and asset class levels. By using the Standard Formula from EIOPA, Total SCR amounts to 239M€. This value is mostly explained by Market and Default Risk whereas the former is driven by Spread and Concentration Risks. Following the methodology of Leblanc (2011), we examine the Marginal Contribution of an asset to the SCR which allows for the evaluation of the risks of each security given its characteristics and interactions in the portfolio. The top contributors to the SCR are Corporate Bonds and Term Deposits. By exploring further the composition of the portfolio, our results show that slight changes in allocation of Term and Cash Deposits have severe impacts on the total Concentration and Default Risks, respectively. Also, diversification effects are very relevant by representing savings of 122M€. Finally, Solvency II represents an opportunity for the portfolio optimization. By constructing efficient frontiers, we find that as the target expected return increases, a shift from Term Deposits/ Commercial Papers to Eurozone/Peripheral and finally Equities occurs.

Development of a fundus camera for analysis of photoreceptor directionality in the healthy retina

The Stiles-Crawford effect (SCE) is the well-known phenomenon in which the brightness of light perceived by the human eye depends upon its entrance point in the pupil. This physiological characteristic is due to the directional sensitivity of the cone photoreceptors in the retina and it displays an approximately Gaussian dependency which is altered in a number of pathologies. Retinal imaging, a widely spread clinical practice, may be used to evaluate the SCE and thus serve as diagnostic tool. Nonetheless, its use for such a purpose is still underdeveloped and far from the clinical reality. In this project a fundus camera was built and used to assess the cone photoreceptor directionality by reflective imaging of the retina in healthy individuals. The physical and physiological implications of its development are addressed in detail in the text: the optical properties of the human eye, illumination issues, acquiring a retinal image formed by the eye, among others. A full description of the developmental process that led to the final measuring method and results is also given. The developed setup was successfully used to obtain high quality images of the eye fundus and in particular the parafoveal cone photoreceptors. The SCE was successfully observed and characterized. Even though considerable improvements could be done to the measurement method, the project showed the feasibility of using retinal imaging to evaluate the SCE thus motivating its usage in a clinical environment.

Covered interest parity

This report aims to study the evolution of the Covered Interest Rate Parity (CIP) over the course of the last years. With the 2007 financial crisis many fundamental relationships changed, and CIP was not an exception. To infer whether or not this was an isolate event, the behaviour of the CIP during the European Sovereign debt crisis was studied. Currency pairs such as EURUSD showed significant CIP deviations during both crises. This work shows that currently, spreads are mostly explained by counterparty risk and market sentiment factors, which are extremely different factors from the ones explaining the spread during 2003-06. Key

O espaço das informações no combate ao terrorismo

The management of terrorism presents an added importance because of the ignorance and uncertainty that this threat to peace launches in societies. From the globalization process has resulted a capacity of mobility and communication which allowed the spread of terrorism globally and hence the ability to be in the international agenda. Thus it became necessary a synergy between the main international organizations and states, in the common interest of managing terrorism to acceptable levels. This thesis aims to assess how much space is reserved for intelligence on combating terrorism. To this end, it carried out a literature review related to intelligence, security and terrorism, such as legislation and official documents, national and international. These allowed realize the strategies for combating terrorism of major international organizations and the Portuguese, the institutions that are in charge of fighting terrorism and related crimes, highlighting the intelligence institutions within the European Union and Portugal. Intelligence should enter on this panel by the need to meet the threat and its contours. On the one hand lies to understand the framework which establishes terrorism, tracing relevant scenarios to reduce uncertainty in decision-making and, on the other hand, also be responsible for disseminating information to other stakeholders on security, allowing its commands to use the means efficiently.

Damage propagation in composite Materials meso-mechanical models

Composite materials have a complex behavior, which is difficult to predict under different types of loads. In the course of this dissertation a methodology was developed to predict failure and damage propagation of composite material specimens. This methodology uses finite element numerical models created with Ansys and Matlab softwares. The methodology is able to perform an incremental-iterative analysis, which increases, gradually, the load applied to the specimen. Several structural failure phenomena are considered, such as fiber and/or matrix failure, delamination or shear plasticity. Failure criteria based on element stresses were implemented and a procedure to reduce the stiffness of the failed elements was prepared. The material used in this dissertation consist of a spread tow carbon fabric with a 0°/90° arrangement and the main numerical model analyzed is a 26-plies specimen under compression loads. Numerical results were compared with the results of specimens tested experimentally, whose mechanical properties are unknown, knowing only the geometry of the specimen. The material properties of the numerical model were adjusted in the course of this dissertation, in order to find the lowest difference between the numerical and experimental results with an error lower than 5% (it was performed the numerical model identification based on the experimental results).

Arshile Gorky: An Armenian in New York

Born in Armenia, the oldest Christian country in the world but nevertheless one of the youngest reinstated republics (1991) after the collapse of the Soviet Union, Arshile Gorky flew to the United States in 1920, where he chose to reinvent himself in the struggle to become an artist. This reinvention meant the creation of a persona with, or behind, which Gorky kept alive the artistic flame inside himself. Gorky became one of the most learned voices lecturing on contemporary European modernist artists and movements of the late nineteenth and early twentieth centuries in the United States (New York) without ever visiting Europe. Moreover, he was able to survive the traumatic events he underwent during the Armenian Genocide (1915-1919) to adapt to his new country and identity, to live through the years of the Depression and, eventually, to become the protagonistof a major artistic breakthrough. This paper proposes an insight into the experience of life and frame of work of this Armenian-American artist, whose simultaneously rich, traumatic, dislocated and reenacted life and work established one of the most fertile links between his middle‑eastern origins, his dreamed of Europe and the particular transit of his American artistic creation.

Travestis brasileiras em Portugal : percursos, identidades e ambiguidades

Os séculos XX e XXI corresponderam ao agudizar de processos globalizantes potenciados pelas novas tecnologias, quer no âmbito comunicacional, quer industrial, sublinhando dinâmicas de desruralização e de construção de tecidos urbanos densos onde o anonimato se tornou possível na vivência de experiências, outrora reconduzidas ao silêncio do sujeito socialmente isolado. A diferença, enquanto experiência vivida, tornou-se comunitariamente possível, surgindo grupos que delimitam geograficamente determinadas áreas urbanas a que correspondem afinidades eróticas ou de práticas sexuais, inicialmente de gays e lésbicas. Quebra-se na prática a uni-direccionalidade entre sexo e género, entre sexo e sexualidade, questionando-se esquemas de relações assimétricas e modelos de pensamento enraizados (heterossexualidade, patriarcado, machismo, etc.). Rubin (1975 in Lewin 2006, in Vance, 1984) propõe a existência de dois sistemas diferenciados de sexo e género que tornam plausível, sob o ponto de vista analítico, a não correspondência entre sexo, género e sexualidade. O paradigma máximo desta autonomia sistémica alcança-se na construção de uma identidade travesti. Esta identidade mutante, mutável e instável parece acompanhar um mundo de fluxos intensos e interdependências múltiplas. É na sociedade global que as travestis encontram espaço para a vivência comunitária da sua experiência, constituindo-se como um grupo com práticas transnacionais, marcado pela mobilidade de género e geográfica, primeiramente dentro das fronteiras brasileiras e depois para a Europa. Cidade, prostituição e migração surgem como factores chave da disseminação geográfica e identitária desta comunidade. Este projecto tomado sob uma perspectiva global mantêm ou reinventa relações com a estrutura, que aparentemente as apaga enquanto actores sociais e da qual, aparentemente, se auto-excluem.

Frequency-domain receiver design for doubly-selective channels

This work is devoted to the broadband wireless transmission techniques, which are serious candidates to be implemented in future broadband wireless and cellular systems, aiming at providing high and reliable data transmission and concomitantly high mobility. In order to cope with doubly-selective channels, receiver structures based on OFDM and SC-FDE block transmission techniques, are proposed, which allow cost-effective implementations, using FFT-based signal processing. The first subject to be addressed is the impact of the number of multipath components, and the diversity order, on the asymptotic performance of OFDM and SC-FDE, in uncoded and for different channel coding schemes. The obtained results show that the number of relevant separable multipath components is a key element that influences the performance of OFDM and SC-FDE schemes. Then, the improved estimation and detection performance of OFDM-based broadcasting systems, is introduced employing SFN (Single Frequency Network) operation. An initial coarse channel is obtained with resort to low-power training sequences estimation, and an iterative receiver with joint detection and channel estimation is presented. The achieved results have shown very good performance, close to that with perfect channel estimation. The next topic is related to SFN systems, devoting special attention to time-distortion effects inherent to these networks. Typically, the SFN broadcast wireless systems employ OFDM schemes to cope with severely time-dispersive channels. However, frequency errors, due to CFO, compromises the orthogonality between subcarriers. As an alternative approach, the possibility of using SC-FDE schemes (characterized by reduced envelope fluctuations and higher robustness to carrier frequency errors) is evaluated, and a technique, employing joint CFO estimation and compensation over the severe time-distortion effects, is proposed. Finally, broadband mobile wireless systems, in which the relative motion between the transmitter and receiver induces Doppler shift which is different or each propagation path, is considered, depending on the angle of incidence of that path in relation to the direction of travel. This represents a severe impairment in wireless digital communications systems, since that multipath propagation combined with the Doppler effects, lead to drastic and unpredictable fluctuations of the envelope of the received signal, severely affecting the detection performance. The channel variations due this effect are very difficult to estimate and compensate. In this work we propose a set of SC-FDE iterative receivers implementing efficient estimation and tracking techniques. The performance results show that the proposed receivers have very good performance, even in the presence of significant Doppler spread between the different groups of multipath components.