Consumption, investment and life insurance strategies with heterogeneous discounting

[cat] En aquest treball s'analitza l'efecte que comporta l'introducció de preferències inconsistents temporalment sobre les decisions òptimes de consum, inversió i compra d'assegurança de vida. En concret, es pretén recollir la creixent importància que un individu dóna a la herència que deixa i a la riquesa disponible per a la seva jubilació al llarg de la seva vida laboral. Amb aquesta finalitat, es parteix d'un model estocàstic en temps continu amb temps final aleatori, i s'introdueix el descompte heterogeni, considerant un agent amb una distribució de vida residual coneguda. Per tal d'obtenir solucions consistents temporalment es resol una equació de programació dinàmica no estàndard. Per al cas de funcions d'utilitat del tipus CRRA i CARA es troben solucions explícites. Finalment, els resultats obtinguts s'il·lustren numèricament.

Consumption, investment and life insurance strategies with heterogeneous discounting

[cat] En aquest treball s'analitza l'efecte que comporta l'introducció de preferències inconsistents temporalment sobre les decisions òptimes de consum, inversió i compra d'assegurança de vida. En concret, es pretén recollir la creixent importància que un individu dóna a la herència que deixa i a la riquesa disponible per a la seva jubilació al llarg de la seva vida laboral. Amb aquesta finalitat, es parteix d'un model estocàstic en temps continu amb temps final aleatori, i s'introdueix el descompte heterogeni, considerant un agent amb una distribució de vida residual coneguda. Per tal d'obtenir solucions consistents temporalment es resol una equació de programació dinàmica no estàndard. Per al cas de funcions d'utilitat del tipus CRRA i CARA es troben solucions explícites. Finalment, els resultats obtinguts s'il·lustren numèricament.

Modelling the disability severity score in motor insurance claims: an application to the Spanish case

Bodily injury claims have the greatest impact on the claim costs of motor insurance companies. The disability severity of motor claims is assessed in numerous European countries by means of score systems. In this paper a zero inflated generalized Poisson regression model is implemented to estimate the disability severity score of victims in-volved in motor accidents on Spanish roads. We show that the injury severity estimates may be automatically converted into financial terms by insurers at any point of the claim handling process. As such, the methodology described may be used by motor insurers operating in the Spanish market to monitor the size of bodily injury claims. By using insurance data, various applications are presented in which the score estimate of disability severity is of value to insurers, either for computing the claim compensation or for claim reserve purposes.

Flash flood evolution in North-Western Mediterranean

The present paper shows an in-depth analysis of the evolution of floods and precipitation in Catalonia for the period 1981-2010. In order to have homogeneous information, and having in mind that not gauge data was available for all the events, neither for all the rivers and stream flows, daily press from a specific newspaper has been systematically analysed for this period. Furthermore a comparison with a longer period starting in 1900 has been done. 219 flood events (mainly flash flood events) have been identified for the period of 30 years (375 starting in 1900), 79 of them were ordinary, 117 of them were extraordinary and 23 of them were catastrophic, being autumn and summer the seasons with the maxima values. 19% of the events caused a total of 110 casualties. 60% of them died when they tried to cross the street or the stream. Factors like the evolution of precipitation, population density and other socio-economical aspects have been considered. The trend analysis shows an increase of 1 flood/decade that probably has been mainly due to inter-annual and intra-annual changes in population density and in land-use and land-cover.

Understanding Flood Regime Changes in Europe: a state-of-the-art assessment

There is growing concern that flooding is becoming more frequent and severe in Europe. A better understanding of flood regime changes and their drivers is therefore needed. The paper reviews the current knowledge on flood regime changes in European rivers that has traditionally been obtained through two alternative research approaches. The first approach is the data-based detection of changes in observed flood events. Current methods are reviewed together with their challenges and opportunities. For example, observation biases, the merging of different data sources and accounting for nonlinear drivers and responses. The second approach consists of modelled scenarios of future floods. Challenges and opportunities associated with flood change scenarios are discussed such as fully accounting for uncertainties in the modelling cascade and feedbacks. To make progress in flood change research, we suggest that a synthesis of these two approaches is needed. This can be achieved by focusing on long duration records and flood-rich and flood-poor periods rather than on short duration flood trends only, by formally attributing causes of observed flood changes, by validating scenarios against observed flood regime dynamics, and by developing low-dimensional models of flood changes and feedbacks. The paper finishes with a call for a joint European flood change research network.

Stress testing practices in risk management - Empirical evidence from the Finnish banking and insurance sectors

The main purpose of this study was to analyze how stress tests are used in risk management in the Finnish banking and insurance sectors. In order to enhance understanding of the topic, stress testing was explored in the context of corporate governance and regulato-ry implications of Basel II and Solvency II on stress testing were examined. In addition, the effects of the global financial crisis on stress testing were mapped and the differences in stress testing practices between the banking and insurance sector were discussed. The research method was qualitative case study and it was conducted by interviewing risk managers from ten institutions and a representative from FIN-FSA. Findings pointed out that stress testing practices vary significantly between different institutions. Interesting observations were made in terms of stress testing practices in the banking and insurance sectors. The increasing importance and use of stress tests were recognized as a result of the financial crisis. Stress testing was even considered more like art than science given the amount of challenges it involves. In general, improvements in stress tests were suggested, with an emphasis on stress concentration between different types of risks.

IT service catalog : a case study of the implementation need in a Pan-Nordic Insurance Company

IT service catalog is an increasingly important issue as many IT organizations have been realizing it as a central communication and visualization tool to bridge the gap between IT and the business. This study reviews relevant literature on IT service catalog and related issues on IT services delivery. Furthermore, the study shows how IT service catalog can enhance IT effectiveness as well as provide more benefits when integrating with Configuration Management Database. In order to analyze whether IT service catalog is needed to be implemented in a Pan-Nordic Insurance Company, this study also investigates the current IT services delivery of a case study. The findings of the study show the problems in the current situation of IT services delivery in the case. The characteristics of IT service catalog are recommended in order to help with the mentioned flaws.

Configuration management process improvement : a case study of a Pan-Nordic insurance company

Configuration management is often seen as an enabler for the main IT Service Management (ITSM) processes such as Incident and Problem management. A decent level of quality of IT configuration data is required in order to carry out routines of these processes. This case study examines the state of configuration management in a multinational organization and aims at identification of methods for its improvement. The author has stayed five months with this company in order to collect different sources of evidence and to make observations. The main source of data for this study is interviews with some of the key employees of the assigned organization who are involved into the ITSM processes. This study concludes the maturity level of the existing configuration management process to be repeatable but intuitive, and outlines the principal requirements for its improvement. A match between the requirements identified in the organization and the requirements stated in the ISO/IEC 20000 standard indicates the possibility of adopting ITIL guidelines as a method for configuration management process improvement. The outcome of the study presents a set of recommendations for improvement that considers the process, the information model and the information system for configuration management in the case organization.

The succession dynamics of a macroalgal community after a flood disturbance in a tropical stream from São Paulo State, southeastern Brazil

The succession dynamics of a macroalgal community in a tropical stream (20º58' S and 49º25' W) was investigated after disturbance by a sequence of intensive rains. High precipitation levels caused almost complete loss of the macroalgal community attached to the substratum and provided a strong pressure against its immediate re-establishment. After this disturbance, a weekly sampling program from May 1999 to January 2000 was established to investigate macroalgal recolonization. The community changed greatly throughout the succession process. The number of species varied from one to seven per sampling. Global abundance of macroalgal community did not reveal a consistent temporal pattern of variation. In early succession stages, the morphological form of tufts dominated, followed by unbranched filaments. Latter succession stages showed the almost exclusive occurrence of gelatinous forms, including filaments and colonies. The succession trajectory was mediated by phosphorus availability in which community composition followed a scheme of changes in growth forms. However, we believe that deterministic and stochastic processes occur in lotic ecosystems, but they are dependent on the length of time considered in the succession analyses.