A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation

This paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the Solvency Capital Requirement (SCR), under Solvency II regulations. A case study is presented and the SCR is calculated according to the Standard Model approach. Alternatively, the requirement is then calculated using an Internal Model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas being used to model the dependence between lines of business. To address the impact of these model assumptions on the SCR we conduct a sensitivity analysis. We examine changes in the correlation matrix between lines of business and address the choice of copulas. Drawing on aggregate historical data from the Spanish non-life insurance market between 2000 and 2009, we conclude that modifications of the correlation and dependence assumptions have a significant impact on SCR estimation.

Solvency Capital estimation and Risk Measures

This paper examines why a financial entity’s solvency capital estimation might be underestimated if the total amount required is obtained directly from a risk measurement. Using Monte Carlo simulation we show that, in some instances, a common risk measure such as Value-at-Risk is not subadditive when certain dependence structures are considered. Higher risk evaluations are obtained for independence between random variables than those obtained in the case of comonotonicity. The paper stresses, therefore, the relationship between dependence structures and capital estimation.

Entrevista y urgencia social: un reto para las competencias profesionales del educador social

Si decimos que los seres humanos sólo son capaces de vivir como tales mediante la reconstrucción narrativa de sus experiencias, estamos teniendo en cuenta conceptos e ideas que recuerdan a algunos autores contemporáneos (Ricoeur, Gadamer) que defienden la importancia de ser reconocido como una creatura hecha de palabras. En la medida en que son interpretadas, traducidas, contextualizadas y ordenadas por los profesionales, la situación dialogal significativa cobra importancia. Desde esta perspectiva hemos planteado las asignaturas: Habilidades Sociales, Técnicas de Entrevista y Gestión de Situación de Crisis diseñadas para integrar los diferentes modelos teóricos y las variables que se presentan en la relación comunicativa con el usuario y en particular en la situación de entrevista. Se mostrará también el modo cómo en nuestro proceso formativo, basado en la simulación de situaciones, se fomenta el compromiso con el trabajo en equipo, la autocomprensión y enseña a crear un clima de trabajo cooperativo en el que se hace más eficaz la relación de ayuda. A través de la presentación en clase de un caso práctico en el cual se describen todos los procedimientos y las fases del que se compone el ejercicio de la práctica profesional –paso a paso-, se busca poner de manifiesto las competencias adquiridas, los modelos empleados y las habilidades sociales que han sido necesarias para afrontar con éxito la situación de urgencia social. Finalmente se deja abierta la cuestión sobre la manera en que incide y beneficia este aprendizaje en las futuras situaciones de manejo del estrés profesional (burn out).

Prediction of Childhood Asthma Using Conditional Probability and Discrete Event Simulation

Abstract: Asthma prevalence in children and adolescents in Spain is 10-17%. It is the most common chronic illness during childhood. Prevalence has been increasing over the last 40 years and there is considerable evidence that, among other factors, continued exposure to cigarette smoke results in asthma in children. No statistical or simulation model exist to forecast the evolution of childhood asthma in Europe. Such a model needs to incorporate the main risk factors that can be managed by medical authorities, such as tobacco (OR = 1.44), to establish how they affect the present generation of children. A simulation model using conditional probability and discrete event simulation for childhood asthma was developed and validated by simulating realistic scenario. The parameters used for the model (input data) were those found in the bibliography, especially those related to the incidence of smoking in Spain. We also used data from a panel of experts from the Hospital del Mar (Barcelona) related to actual evolution and asthma phenotypes. The results obtained from the simulation established a threshold of a 15-20% smoking population for a reduction in the prevalence of asthma. This is still far from the current level in Spain, where 24% of people smoke. We conclude that more effort must be made to combat smoking and other childhood asthma risk factors, in order to significantly reduce the number of cases. Once completed, this simulation methodology can realistically be used to forecast the evolution of childhood asthma as a function of variation in different risk factors.

Preface: Extreme events induced by weather and climate change: evaluation, forecasting and proactive planning

This special issue of Natural Hazards and Earth System Sciences (NHESS) contains eight papers presented as oral or poster contributions in the Natural Hazards NH-1.2 session on"Extreme events induced by weather and climate change: evaluation, forecasting and proactive planning", held at the European Geosciences Union (EGU) General Assembly in Vienna, Austria, on 13-18 April 2008. The aim of the session was to provide an international forum for presenting new results and for discussing innovative ideas and concepts on extreme hydro-meteorological events, including: (i) the assessment of the risk posed by the extreme events, (ii) the expected changes in the frequency and intensity of the events driven by a changing climate and by multiple human- induced causes, (iii) new modelling approaches and original forecasting methods to predict extreme events and their consequences, and (iv) strategies for hazard mitigation and risk reduction, and for a improved adaptation to extreme hydro-meteorological events ...

Disentangling the formation of contrasting tree line physiognomies combining model selection and Bayesian parameterization for simulation models.

Alpine tree-line ecotones are characterized by marked changes at small spatial scales that may result in a variety of physiognomies. A set of alternative individual-based models was tested with data from four contrasting Pinus uncinata ecotones in the central Spanish Pyrenees to reveal the minimal subset of processes required for tree-line formation. A Bayesian approach combined with Markov chain Monte Carlo methods was employed to obtain the posterior distribution of model parameters, allowing the use of model selection procedures. The main features of real tree lines emerged only in models considering nonlinear responses in individual rates of growth or mortality with respect to the altitudinal gradient. Variation in tree-line physiognomy reflected mainly changes in the relative importance of these nonlinear responses, while other processes, such as dispersal limitation and facilitation, played a secondary role. Different nonlinear responses also determined the presence or absence of krummholz, in agreement with recent findings highlighting a different response of diffuse and abrupt or krummholz tree lines to climate change. The method presented here can be widely applied in individual-based simulation models and will turn model selection and evaluation in this type of models into a more transparent, effective, and efficient exercise.

A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation

This paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the Solvency Capital Requirement -SCR-, under Solvency II regulations. A case study is presented and the SCR is calculated according to the Standard Model approach. Alternatively, the requirement is then calculated using an Internal Model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas being used to model the dependence between lines of business. To address the impact of these model assumptions on the SCR we conduct a sensitivity analysis. We examine changes in the correlation matrix between lines of business and address the choice of copulas. Drawing on aggregate historical data from the Spanish non-life insurance market between 2000 and 2009, we conclude that modifications of the correlation and dependence assumptions have a significant impact on SCR estimation.