Evaluación de fondos de inversión garantizados por medio de portfolio insurance

La elaboración de un índice de performance para la evaluación de carteras de inversión tiene como base la correcta definición de la medida de riesgo a emplear. Este trabajo tiene como objetivo proponer una medida de performance adecuada a la evaluación de carteras de fondos de inversión garantizados. Las particularidades de este tipo de fondos hacen necesario definir una medida explicativa de las características especificas de riesgo de este tipo de carteras. Partiendo de la estrategia de porfolio insurance se define una nueva medida de riesgo basada en el downside risk. Proponemos como medida de downside risk aquella parte del riesgo total de una cartera de títulos que se elimina con la estrategia de portfolio insurance. Por contraposición, proponemos como medida de upside risk aquella otra parte del riesgo total de la cartera que no desaparece con la estrategia de portfolio insurance. De este modo, la suma del upside risk y del downside risk es el riesgo total. Partiendo de la medida de riesgo upside risk y del modelo de valoración de activos C.A.P.M. se propone una medida de performance específica para evaluar los fondos de inversión garantizados.

Resum de la tasca realitzada al Center Biomedical Engineering (CBE) del Massachussets Institute of Technology (MIT). Juliol-Agost 2005

Estudi elaborat a partir d’una estada al Center Biomedical Engineering (CBE) del Massachussets Institute of Technology (MIT), durant els mesos de juliol i agost del 2005. S’investiga una metodologia amb l’objectiu d’obtenir biomaterials que puguin actuar de bastida en la interfície os/cartílag, afavorint la diferenciació i creixement cel·lular de cartílag ossificat que pugui actuar d’unió entre l’articulació i l’os. S’experimenta una metodologia per a establir quins són els péptids afavoridors de la formació de teixit ossi utilitzats en materials d’hidroxiapatita. Es conclou que la tecnologia desenvolupada permet disposar d’una plataforma per assajar l’estudi del signaling sobre cèl·lules embrionàries, que permeti desenvolupar materials amb més capacitat diferenciadora.

Thermal tests on the LISA pathfinder engineering model

Report for the scientific sojourn carried out at Albert Einstein Institut in Germany, from April to July 2006.

Fiscal insurance and debt management in OECD economies

Assuming the role of debt management is to provide hedging against fiscal shocks we consider three questions: i) what indicators can be used to assess the performance of debt management? ii) how well have historical debt management policies performed? and iii) how is that performance affected by variations in debt issuance? We consider these questions using OECD data on the market value of government debt between 1970 and 2000. Motivated by both the optimal taxation literature and broad considerations of debt stability we propose a range of performance indicators for debt management. We evaluate these using Monte Carlo analysis and find that those based on the relative persistence of debt perform best. Calculating these measures for OECD data provides only limited evidence that debt management has helped insulate policy against unexpected fiscal shocks. We also find that the degree of fiscal insurance achieved is not well connected to cross country variations in debt issuance patterns. Given the limited volatility observed in the yield curve the relatively small dispersion of debt management practices across countries makes little difference to the realised degree of fiscal insurance.

Changes in the demand for private medical insurance following a shift in tax incentives

The 1998 Spanish reform of the Personal Income Tax eliminated the 15% deduction for private medical expenditures including payments on private health insurance (PHI) policies. To avoid an undesirable increase in the demand for publicly funded health care, tax incentives to buy PHI were not completely removed but basically shifted from individual to group employer-paid policies. In a unique fiscal experiment, at the same time that the tax relief for individually purchased policies was abolished, the government provided for tax allowances on policies taken out through employment. Using a bivariate probit model on data from National Health Surveys, we estimate the impact of said reform on the demand for PHI and the changes occurred within it. Our findings suggest that the total probability of buying PHI was not significantly affected. Indeed, the fall in the demand for individual policies (by 10% between 1997 and 2001) was offset by an increase in the demand for group employer-paid ones, so that the overall size of the market remained virtually unchanged. We also briefly discuss the welfare effects on the state budget, the industry and society at large.

An Introduction to parametric and non-parametric models for bivariate positive insurance claim severity distributions

We present a real data set of claims amounts where costs related to damage are recorded separately from those related to medical expenses. Only claims with positive costs are considered here. Two approaches to density estimation are presented: a classical parametric and a semi-parametric method, based on transformation kernel density estimation. We explore the data set with standard univariate methods. We also propose ways to select the bandwidth and transformation parameters in the univariate case based on Bayesian methods. We indicate how to compare the results of alternative methods both looking at the shape of the overall density domain and exploring the density estimates in the right tail.

How much risk is mitigated by LTC Insurance? A case study of the public system in Spain

We present a methodology that allows to calculate the impact of a given Long-Term Care (LTC) insurance protection system on the risk of incurring extremely large individual lifetime costs. Our proposed methodology is illustrated with a case study. According to our risk measure, the current Spanish public LTC system mitigates individual risk by more than 30% compared to the situation where no public protection were available. We show that our method can be used to compare risk reduction of alternative LTC insurance plans.

Loss risk through fraud in car insurance

Our objective is to analyse fraud as an operational risk for the insurance company. We study the effect of a fraud detection policy on the insurer's results account, quantifying the loss risk from the perspective of claims auditing. From the point of view of operational risk, the study aims to analyse the effect of failing to detect fraudulent claims after investigation. We have chosen VAR as the risk measure with a non-parametric estimation of the loss risk involved in the detection or non-detection of fraudulent claims. The most relevant conclusion is that auditing claims reduces loss risk in the insurance company.

Misallocation of capital in a model of endogenous financial intermediation and insurance

In this paper we analyze productivity and welfare losses from capital misallocation in a general equilibrium model of occupational choice and endogenous financial intermediation. We study the effects of borrowing and lending, insurance, and risk sharing on the optimal allocation of resources. We find that financial markets together with general equilibrium effects have large impact on entrepreneurs' entry and firm-size decisions. Efficiency gains are increasing in the quality of financial markets, particularly in their ability to alleviate a financing constraint by providing insurance against idiosyncratic risk.

Mixture of bivariate Poisson regression models with an application to insurance

In a recent paper Bermúdez [2009] used bivariate Poisson regression models for ratemaking in car insurance, and included zero-inflated models to account for the excess of zeros and the overdispersion in the data set. In the present paper, we revisit this model in order to consider alternatives. We propose a 2-finite mixture of bivariate Poisson regression models to demonstrate that the overdispersion in the data requires more structure if it is to be taken into account, and that a simple zero-inflated bivariate Poisson model does not suffice. At the same time, we show that a finite mixture of bivariate Poisson regression models embraces zero-inflated bivariate Poisson regression models as a special case. Additionally, we describe a model in which the mixing proportions are dependent on covariates when modelling the way in which each individual belongs to a separate cluster. Finally, an EM algorithm is provided in order to ensure the models’ ease-of-fit. These models are applied to the same automobile insurance claims data set as used in Bermúdez [2009] and it is shown that the modelling of the data set can be improved considerably.

A logistic regression approach to estimating customer profit loss due to lapses in insurance

This article focuses on business risk management in the insurance industry. A methodology for estimating the profit loss caused by each customer in the portfolio due to policy cancellation is proposed. Using data from a European insurance company, customer behaviour over time is analyzed in order to estimate the probability of policy cancelation and the resulting potential profit loss due to cancellation. Customers may have up to two different lines of business contracts: motor insurance and other diverse insurance (such as, home contents, life or accident insurance). Implications for understanding customer cancellation behaviour as the core of business risk management are outlined.

Price policies and Price dispersion in the private healthcare insurance industry: The Catalan case

We present an overlapping generations model that explains price dispersion among Catalonian healthcare insurance firms. The model shows that firms with different premium policies can coexist. Furthermore, if interest rates are low, firms that apply equal premium to all insureds can charge higher average prices than insurers that set premiums according to the risk of insured. Economic theory, health insurance, health economics.

Discrete time Non-homogeneous Semi-Markov Processes applied to Models for Disability Insurance

In this paper, we present a stochastic model for disability insurance contracts. The model is based on a discrete time non-homogeneous semi-Markov process (DTNHSMP) to which the backward recurrence time process is introduced. This permits a more exhaustive study of disability evolution and a more efficient approach to the duration problem. The use of semi-Markov reward processes facilitates the possibility of deriving equations of the prospective and retrospective mathematical reserves. The model is applied to a sample of contracts drawn at random from a mutual insurance company.

Engineering the thermal emission of macroporous silicon

Todos los cuerpos emiten luz espontaneamente al ser calentados. El espectro de radiacion es una funcion de la temperatura y el material. Sin embargo, la mayoria de los materiales irradia, en general, en una banda espectral amplia. Algunas matereiales, por el contrario, son capaces de concentrar la radiacion termica en una banda espectral mucho mas estrecha. Estos materiales se conocen como emisores selectivos y su uso tiene un profundo impacto en la eficiencia de sistemas sistemas tales como iluminacion y conversion de energia termofotovoltaica. De los emisores selectivos se espera que sean capaces de operar a altas temperaturas y que emitan en una banda espectral muy concisa. Uno de los metodos mas prometedores para controlar y disenar el espectro de emision termico es la utilizacion de cristales fotonicos. Los cristales fotonicos son estructuras periodicas artificiales capaces de controlar y confinar la luz de formas sin precedentes. Sin embargo, la produccion de dichas estructuras con grandes superficies y capaces de soportar altas temperaturas sigue siendo una dificil tarea. Este trabajo esta dedicada al estudio de las propiedades de emision termica de estructuras 3D de silicio macroporoso en el rango espectral mid-IR (2-30 m). En particular, este trabajo se enfoca en reducir la elevada emisividad del silicio cristalino. Las muestras estudiadas en este trabajo tienen una periodicidad de 4 m, lo que limitan los resultados obtenidos a la banda del infrarrojo medio, aunque estructuras mucho mas pequenas son tecnologicamente realizables con el metodo de fabricacion utilizado. Hemos demostrado que el silicio macroporoso 3D puede inhibir completamente la emision termica en su superficie. Mas aun, esta banda se puede ajustar en un amplio margen mediante pequenos cambios durante la formacion de los macroporos. Tambien hemos demostrado que tanto el ancho como la frecuencia de la banda de inhibicion se puede doblar mediante la aplicacion de tecnicas de postprocesado adecuadas. Finalmente hemos mostrado que es posible crear bandas de baja emisividad arbitrariamente anchas mediante estructuras macroporosas aperiodicas.

Applying recommendations to aligncompetences, methodology and assessment in Telematics, Computing and Electronic Engineering courses

The alignment between competences, teaching-learning methodologies and assessment is a key element of the European Higher Education Area. This paper presents the efforts carried out by six Telematics, Computer Science and Electronic Engineering Education teachers towards achieving this alignment in their subjects. In a joint work with pedagogues, a set of recommended actions were identified. A selection of these actions were applied and evaluated in the six subjects. The cross-analysis of the results indicate that the actions allow students to better understand the methodologies and assessment planned for the subjects, facilitate (self-) regulation and increase students’ involvement in the subjects.