Deciding the sale of a life policy in the viatical market: Implications on individual welfare

[cat] En aquest article, es presenta un model econòmic que permet determinar la venda o no d'una pòlissa de vida (total o en part) per part d'un assegurat malalt terminal en el mercat dels viatical settlements. Aquest mercat va aparèixer a finals de la dècada dels 80 a conseqüència de l'epidèmia de la SIDA. Actualment, representa una part del mercat dels life settlements. Les pòlisses que es comercialitzen en el mercat dels viaticals són aquelles on l'assegurat és malalt terminal amb una esperança de vida de dos anys o menys. El model és discret i considera només dos períodes (anys), ja que aquesta és la vida residual màxima que contempla el mercat. L'agent posseix una riquesa inicial que ha de repartir entre consum i herència. S'introdueix en primer lloc la funció d'utilitat esperada del decisor i, utilitzant programació dinàmica, es dedueix l'estratègia que reporta una utilitat més gran (no vendre/vendre (en part) la pòlissa en el moment zero/vendre (en part) la pòlissa en el moment ú). L'òptim depèn del preu de la pòlissa venuda i de paràmetres personals de l'individu. Es troba una expressió analítica per l'estratègia òptima i es realitza un anàlisi de sensibilitat.

Optimal fiscal policy in overlapping generations models

[eng] This paper provides, from a theoretical and quantitative point of view, an explanation of why taxes on capital returns are high (around 35%) by analyzing the optimal fiscal policy in an economy with intergenerational redistribution. For this purpose, the government is modeled explicitly and can choose (and commit to) an optimal tax policy in order to maximize society's welfare. In an infinitely lived economy with heterogeneous agents, the long run optimal capital tax is zero. If heterogeneity is due to the existence of overlapping generations, this result in general is no longer true. I provide sufficient conditions for zero capital and labor taxes, and show that a general class of preferences, commonly used on the macro and public finance literature, violate these conditions. For a version of the model, calibrated to the US economy, the main results are: first, if the government is restricted to a set of instruments, the observed fiscal policy cannot be disregarded as sub optimal and capital taxes are positive and quantitatively relevant. Second, if the government can use age specific taxes for each generation, then the age profile capital tax pattern implies subsidizing asset returns of the younger generations and taxing at higher rates the asset returns of the older ones.

The Unemployment Benefit System: a Redistributive or an Insurance Institution?

[eng] In this paper we analyze how the composition of labor taxation affects unemployment in a unionized economy with capital accumulation and an unemployment benefit system. We show that if the unemployment benefit system is gross Bismarckian then the unemployment rate is reduced if wage taxes are decreased (and thus payroll taxes are increased). However, if the unemployment benefit system is net Bismarckian then the unemployment rate does not depend on how the system is financed. Besides, in a Beveridgean system the labor tax composition does not affect the unemployment rate if and only if the unemployed do not pay taxes and the employed pay a constant marginal tax rate. We also analyze when an unemployment benefit budget-balanced rule makes the economy to have a hysteresis process.

Interiority of the optimal population growth rate with endogenous fertility

This paper analyzes the issue of the interiority of the optimal population growth rate in a two-period overlapping generations model with endogenous fertility. Using Cobb-Douglas utility and production functions, we show that the introduction of a cost of raising children allows for the possibility of the existence of an interior global maximum in the planner¿s problem, contrary to the exogenous fertility case

Audit report on the Northeast Iowa Schools Insurance Trust for the year ended June 30, 2010

Audit report on the Northeast Iowa Schools Insurance Trust for the year ended June 30, 2010

Discrete analysis of dividend payments in a non-life insurance portfolio

The process of free reserves in a non-life insurance portfolio as defined in the classical model of risk theory is modified by the introduction of dividend policies that set maximum levels for the accumulation of reserves. The first part of the work formulates the quantification of the dividend payments via the expectation of their current value under diferent hypotheses. The second part presents a solution based on a system of linear equations for discrete dividend payments in the case of a constant dividend barrier, illustrated by solving a specific case.

The aggregate claims distribution of a life insurance portfolio with a pairwise positive dependence structure

The individual life model has always been considered as the one closest to the real situation of the total claims of a life insurance portfolio. It only makes the ¿nearly inevitable assumption¿ of independence of the lifelenghts of insured persons in the portfolio. Many clinical studies, however, have demonstrated positive dependence of paired lives such as husband and wife. In our opinion, it won¿t be unrealistic expecting a considerable number of married couples in any life insurance portfolio (e.g. life insurance contracts formalized at the time of signing a mortatge) and these dependences materially increase the values for the stop-loss premiums associated to the aggregate claims of the portfolio. Since the stop-loss order is the order followed by any risk averse decison maker, the simplifying hypothesis of independence constitute a real financial danger for the company, in the sense that most of their decisions are based on the aggregated claims distribution. In this paper, we will determine approximations for the distribution of the aggregate claims of a life insurance portfolio with some married couples and we will describe how to make safe decisions when we don¿t know exactly the dependence structure between the risks in each couple. Results in this paper are partly based on results in Dhaene and Goovaerts (1997)

Willigness to pay for long-term care coverage: the role of private information and self-insurance

Both public and private insurance for long-term care is undeveloped in some European countries such as in Spain and empirical evidence is still limited. This paper aims at exmining the determinants of the demand for Long Term Care (LTC) coverage in Spain using contingent valuation techniques. Our findings indicate that only one-fifth of the population is willing to pay to assure coverage decisions are significantly affected by private information asymmetry and housing tenure in giving rise to self-insurance reduces the probability of insurance being hypothetically purchased.

Iowa Insurance Division Report to the Governor, December 31, 2010

Statistical Report of Insurance in the State of Iowa.

Optimal generalized quantum measurements for arbitrary spin systems

Positive-operator-valued measurements on a finite number of N identically prepared systems of arbitrary spin J are discussed. Pure states are characterized in terms of Bloch-like vectors restricted by a SU(2J+1) covariant constraint. This representation allows for a simple description of the equations to be fulfilled by optimal measurements. We explicitly find the minimal positive-operator-valued measurement for the N=2 case, a rigorous bound for N=3, and set up the analysis for arbitrary N.

Optimal Usage of De-Icing Chemicals when Scraping Ice, November 2003

One of the challenges that faces the winter maintainer is how much chemical to apply to the road under given conditions. Insufficient chemical can lead to the road surface becoming slick, and the road thus becoming unsafe. In all likelihood, additional applications will have to be made, requiring additional effort and use of resources. However, too much chemical can also be bad. While an excess of chemical will ensure (in most circumstances) that a safe road condition is achieved, it may also result in a substantial waste of chemical (with associated costs for this waste) and in ancillary damage to the road itself and to the surrounding environment. Ideally, one should apply what might be termed the “goldilocks” amount of chemical to the road: Not too much, and not too little, but just right. Of course the reality of winter maintenance makes achieving the “goldilocks” application rate somewhat of a fairy tale. In the midst of a severe storm, when conditions are poor and getting worse, the last thing on a plow operator’s mind is a minute adjustment in the amount of chemical being applied to the road. However, there may be considerable benefit and substantial savings to be achieved if chemical applications can be optimized to some degree, so that wastage is minimized without compromising safety. The goal of this study was to begin to develop such information through a series of laboratory studies in which the force needed to scrape ice from concrete blocks was measured, under a variety of chemical application conditions.