Whole life health insurance

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do Grau de mestre em Matemática e Aplicações

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.

O impacto da variação do preço na procura de cuidados de saúde

RESUMO - Assiste-se a um crescimento exponencial das despesas em saúde, quer na Europa como nos Estados Unidos. Em Portugal, os gastos totais com a saúde ascenderam a 10,2% do PIB, em 2006, contra os 8,8% registados no início da década anterior. É importante perceber o que motiva este crescimento quer em termos globais, quer no que diz respeito ao consumo de recursos, bem como até em termos da despesa pública. Este projecto tem dois objectivos fundamentais: em primeiro lugar, contribuir para o estudo dos factores determinantes da procura de cuidados de saúde em Portugal e, consequentemente, determinar as elasticidades procura – preço para diferentes tipos de cuidados de saúde. Metodologia: Estudo observacional baseado na análise empírica de dados administrativos (claims) respeitantes à utilização dos cuidados de saúde por parte de 12.230 indivíduos detentores de um plano de seguro de saúde individual, numa seguradora privada em Portugal. As elasticidades procura – preço para os diferentes tipos de cuidados de saúde obtiveram-se utilizando as variações percentuais das quantidades dos diferentes cuidados de saúde, antes e depois da variação do preço pago pelo indivíduo, para cada tipo de cuidado de saúde. Resultados: De acordo com a teoria económica tradicional o aumento do preço a pagar reduz o consumo de cuidados de saúde, e a procura é elástica, ou seja, os valores da elasticidade procura – preço obtidos são superiores a 1, em valor absoluto, logo o aumento do preço levou a uma redução mais do que proporcional das quantidades procuradas. A procura de cuidados de saúde em ambulatório é mais sensível à variação do preço do que a procura de cuidados de internamento. ------- ABSTRACT - We are witnessing an exponential growth of health care expenditures around the world. In Portugal, the total expenditure on health amounted to 10.2% of GDP in 2006, against 8.8% at the beginning of previous decade. It is important to understand what motivates this growth both in overall terms, with respect to resource consumption, and even in terms of public spending. This study was designed two achieve two objectives: first, to contribute to the study of demand for health care and, more specifically, to analyze the effect of price changes on the utilization of health care services; and secondly, to estimate the demand elasticity for different types of heath care. Methodology: Observational study based on empirical analysis of administrative data (claims) from a private health insurance Company in Portugal. The sample used had information regarding 12.230 individuals. Demand elasticity for the different types of health care services was obtained by the quotient between the percentage changes in the quantity of health care services, before and after the change in the price paid by the corresponding percentage change in the price. Results: This study showed that, for all medical services, price increases were associated with reductions in the quantity of care consumed as predicted by neoclassical demand theory, and we are in the presence of an elastic demand. This means that price elasticity is greater than 1 in absolute value so the increase in the price led to a more than proportional reduction in the quantity demanded. Demand elasticity was more responsive to changes in the price of specialist and emergency care than to changes in the price of inpatient care.

Seguros de pessoas

1. Personal insurances in the Portuguese law: life insurance and health insurance. 2. The protection of personal data in the Portuguese law, particularly the health data. 3. The access to the health data of the insured person in general and of the deceased in particular. 4. Typical cases.

Environmental quality of life index incorporationg MCA & GIS : case study Lisbon Metropolitan Area, Portugal

The study of Quality of Life (Qol) has been conducted on various scales throughout the years with focus on assessing overall quality of living amongst citizens. The main focus in these studies have been on economic factors, with the purpose of creating a Quality of Life Index (QLI).When it comes down to narrowing the focus to the environment and factors like Urban Green Spaces (UGS) and air quality the topic gets more focused on pointing out how each alternative meets this certain criteria. With the benefits of UGS and a healthy environment in focus a new Environmental Quality of Life Index (EQLI) will be proposed by incorporating Multi Criteria Analysis (MCA) and Geographical Information Systems (GIS). Working with MCA on complex environmental problems and incorporating it with GIS is a challenging but rewarding task, and has proven to be an efficient approach among environmental scientists. Background information on three MCA methods will be shown: Analytical Hierarchy Process (AHP), Regime Analysis and PROMETHEE. A survey based on a previous study conducted on the status of UGS within European cities was sent to 18 municipalities in the study area. The survey consists of evaluating the current status of UGS as well as planning and management of UGS with in municipalities for the purpose of getting criteria material for the selected MCA method. The current situation of UGS is assessed with use of GIS software and change detection is done on a 10 year period using NDVI index for comparison purposes to one of the criteria in the MCA. To add to the criteria, interpolation of nitrogen dioxide levels was performed with ordinary kriging and the results transformed into indicator values. The final outcome is an EQLI map with indicators of environmentally attractive municipalities with ranking based on predefinedMCA criteria using PROMETHEE I pairwise comparison and PROMETHEE II complete ranking of alternatives. The proposed methodology is applied to Lisbon’s Metropolitan Area, Portugal.

Customer Lifetime Value: a framework for application in the insurance industry - Building a Business Process to Generate and Maintain an Automatic Estimation Agent

Research Project submited as partial fulfilment for the Master Degree in Statistics and Information Management