Unemployment insurance an analysis of optimal mechanisms under aggregate shocks

The purpose of this work is to provide a brief overview of the literature on the optimal design of unemployment insurance systems by analyzing some of the most influential articles published over the last three decades on the subject and extend the main results to a multiple aggregate shocks environment. The properties of optimal contracts are discussed in light of the key assumptions commonly made in theoretical publications on the area. Moreover, the implications of relaxing each of these hypothesis is reckoned as well. The analysis of models of only one unemployment spell starts from the seminal work of Shavell and Weiss (1979). In a simple and common setting, unemployment benefits policies, wage taxes and search effort assignments are covered. Further, the idea that the UI distortion of the relative price of leisure and consumption is the only explanation for the marginal incentives to search for a job is discussed, putting into question the reduction in labor supply caused by social insurance, usually interpreted as solely an evidence of a dynamic moral hazard caused by a substitution effect. In addition, the paper presents one characterization of optimal unemployment insurance contracts in environments in which workers experience multiple unemployment spells. Finally, an extension to multiple aggregate shocks environment is considered. The paper ends with a numerical analysis of the implications of i.i.d. shocks to the optimal unemployment insurance mechanism.

Determinants for political risk insurance of direct investments in emerging markets

Esta dissertação analisa os principais determinantes para investidores contratarem seguro de proteção de riscos políticos (PRI) para seus investimentos diretos, assim com o racional de sair de um PRI não renovando suas políticas. Esta dissertação contribui para a literatura existente sobre PRI, investigando os principais motivadores para PRI, tais como, riscos políticos, riscos econômicos, capacidade do patrocinador, instrumento utilizado para realizar o investimento (horizonte do investimento) determina combinações de PRI utilizando um modelo binário de resposta não linear. Um banco de dados único da Multilateral Investment Guarantee Agency (MIGA) no período de 1990 até 2010, contendo informações sobre 693 investimentos incluindo sua cobertura para: seguro de risco de conversibilidade, seguro para risco de expropriação, riscos de guerras e distúrbios civis e riscos de quebra de contrato. Entretanto, percebemos que 47% destes seguros não permanecem ativos até o prazo originalmente contratado. Adicionalmente, instituições financeiras como garantidoras utilizam proporcionalmente mais dívida do que capital como instrumento de investimento e são largamente seguradas dentro da União Européia (EU). Por outro lado, investidores nos BRICs tendem a cobrir primariamente seus investimentos em infraestrutura. Resultados empíricos incluem que um aumento nos riscos de quebra de contrato e guerra civil estão totalmente correlacionados com a renovação de contratos de seguro, assim como um aumento da percepção de risco do pais que está recebendo o investimento.

Commodity Taxation and Social Insurance

We investigate optimal commodity taxation in a social insurance framework based on Varian (1980). We show that the tax prescriptions in this moral hazard framework are notably similar to those derive

On the cost of sympathy : a alternative model of insurance markets

The paper provides an alternative model for insurance market with three types of agents: households, providers of a service and insurance companies. Households have uncertainty about future leveIs of income. Providers, if hired by a household, perform a diagnoses and privately learn a signal. For each signal there is a procedure that maximizes the likelihood of the household obtaining the good state of nature. The paper assumes that providers care about their income and also about the likelihood households will obtain the good state of nature (sympathy assumption). This assumption is satisfied if, for example, they care about their reputation or if there are possible litigation costs in case they do not use the appropriate procedure. Finally, insurance companies offer contracts to both providers and households. The paper provides sufficient conditions for the existence of equilibrium and shows that the sympathy assumption 1eads to a 10ss of welfare for the households due to the need to incentive providers to choose the least expensive treatment.

Do insurance defrauders want to be punished?

We analyze a Principal-Agent model of an insurer who faces an adverse selection problem. He is unable to observe if his client has a high risk or a low risk of having an accident. At the underwriting of the contract, the insurer requests the client to declare his risk. After that, the former can costly audit the truthfulness of this announcement. If the audit confirms a false declaration, the insurer is legally allowed to punish the defrauder. We characterize the efRcient contracts when this punishment is bounded from above by a legal restriction. Then, we do some comparative statics on the efRcient contracts and on the agent's utility. The most important result of this paper concerns the legal limit to a defrauder's punishment. We prove that there exists a uni que value of this legal limit that maximizes the expected utility of a high risk type. Facing this particular value of the legal limit to a defrauder's punishment, the insurer will effectively audit a low risk reporto We also show that this particular value increases with the probability of facing a high risk policyholder. Therefore, when this probability is sufRciently high, the nullity of the contract is not enough. From the point of view of a potential defrauder, the law should allow harder sanctions. This is an striking result because the nullity of the contract is a common sanction for this kind of fraud in the USA and in some European countries.

Project portfolio management: an analysis from the insurance industry IT area

This paper aims to bring more information related to the critical question "how IT areas of insurance companies are defining and delivering their strategic initiatives Portfolios?" and make conclusions based on the collected data. To reach these interpretations, it is composed of a theoretical investigation on the theme, a strategy delineation for the research methodology and a conclusion presentation based on the findings. In this last part, this study concluded that explored organization does not applied a sufficient number of best practices answering the critical question as "the company is not mature on this subject".

Optimal unemployment insurance for couples

This work analyzes the optimal design of an unemployment insurance program for couples, whose joint search problem in the labor market differ significantly from the problem faced by single agents. We use a version of the sequential search model of the labor market adapted to married agents to compare optimal constant policies for single and married agents, as well as characterize the optimal constant policy when the agency faces single and married agents simultaneously. Our main result is that an agency that gives equal weights to single and married agents will want to give equal utility promises to both types of agents and spend more on the single agent.

Financial guarantees in Brazilian life insurance and pension plans

Recently regulated Brazilian life and pension products offer a benefit structure composed of minimum guaranteed annual rate, in°ation adjustment according to a price index and participation on an investment fund performance. We present a valuation model for these products. We establish a fair condition relationship between minimum guarantees and participation rates, and explore its behavior over a space of maturities, interest rates, and also fund and price index volatilities and correlation. Besides consistency to reference models, we found that the effect of the fund volatility is conditioned to the price index volatility level and the correlation between them.

The effects of the coexistence of weed communities on table beet yield during early crop development

Objetivando avaliar efeitos de períodos de infestação inicial na comunidade infestante e na produtividade da beterraba em sistema de semeadura direta e transplantio, conduziu-se um experimento em delineamento de blocos casualizados, esquema fatorial 2 x 13. Métodos de semeadura direta e transplante de mudas foram avaliados dentro de 13 períodos semanais crescentes de infestação. Importância relativa, densidade e matéria seca acumulada pelas plantas daninhas foram analisadas por regressão não-linear, assim como produtividade e estande da cultura de beterraba, que foram submetidos à análise de variância. Amaranthus viridis, Coronopus didymus, Cyperus rotundus, Digitaria nuda, Galinsoga parviflora e Nicandra physaloides foram as plantas daninhas mais importantes, destacando-se C. didymus. O acúmulo de matéria seca das plantas daninhas foi maior na cultura em semeadura direta, embora a densidade de plantas daninhas tenha sido mais alta em sistema de transplantio. A produtividade da beterraba transplantada foi maior que a da semeadura direta no tratamento livre de plantas daninhas. A convivência das plantas daninhas com a cultura pode permanecer por quatro e sete semanas depois da semeadura/transplantio, respectivamente, antes de reduzir a produtividade. A cultura em sistema de semeadura direta foi mais susceptível à interferência das plantas daninhas que a cultura sob sistema de transplantio.

Geostatistical analysis of the spatial distribution of Rotylenchulus reniformis on cotton cultivated under crop rotation

The spatial distribution of Rotylenchulus reniformis on cotton cultivated in crop rotation with sorghum-peanut-velvetbean was studied using geostatistics. The experimental field, which had been continuously cropped with cotton for 20 years, comprised two 32 x 48 m-grids, each divided in sixty-four 4 x 6 in sampling plots. For all crops, 300 cm(3) soil samples were taken at the center of each plot at crop germination (Pi) and again at harvest (Pf), from which the numbers of nematodes were determined. The results revealed that the spatial distribution of R. reniformis was highly aggregated and with the aid of geostatistical techniques the nematode intensities were mapped and the risk areas accurately identified. Consequently, geostatistics is here considered a useful tool for planning nematode control strategies, particularly in precision agriculture.

Analysis of the Priestley-Taylor alpha parameter for a bean crop

This work deals with the Priestley-Taylor model for evapotranspiration in different grown stages of a bean crop. Priestley and Taylor derived a practical Formulation for energy partitioning between the sensible and latent heat fluxes through the a parameter. Bowen ratio energy balance (BREB) was carried out for daily sensible and latent heat flux estimations in three different crop stages. Mean daily values of Priestley-Taylor a parameter were determined for eleven days during the crop cycle. Diurnal variation patterns of a are presented for the growing, flowering and graining periods. The mean values of 1.13 +/- 0.33, 1.26 +/- 0.74, 1.22 +/- 0.55 were obtained for a day in the growing, in the flowering and for graining periods, respectively. Eleven days values of a are shown and gave a mean value of 1.23 +/- 0.10 which agree on the reported literature.

Validation of the Deardorff model for estimating energy balance components for a sugarcane crop

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Spatial analysis of the distribution of Spodoptera frugiperda (J.E. Smith) (Lepidoptera: Noctuidae) and losses in maize crop productivity using geostatistics

A lagarta-do-cartucho, Spodoptera frugiperda (J.E. Smith), é uma das principais pragas do milho nas Américas. O estudo de sua distribuição espacial é fundamental para a utilização de estratégias de controle, otimização de técnicas de amostragens, determinação de danos econômicos e incorporação de um programa de agricultura de precisão. em uma área cultivada com milho foram realizadas amostragens com intervalo semanal, correspondendo ao estádio vegetativo que compreende desde a germinação até o pendoamento. Foram amostradas 10 plantas ao acaso por parcela, no total de 2000 plantas em cada amostragem. A produtividade foi obtida através da colheita de todas as parcelas que eram pesadas separadamente no campo e em cada parcela foram coletadas 15 espigas aleatoriamente para estimar o comprimento e o diâmetro médio. As análises espaciais, utilizando geoestatística, mostraram que o modelo esférico apresentou o melhor ajuste às lagartas pequenas. À medida que as lagartas foram se desenvolvendo sua distribuição foi tornando aleatória, representada por um modelo ajustado por uma reta, não tendo sido detectado nenhum tipo de dependência espacial nos pontos de amostragem. A produtividade e o diâmetro e comprimento da espiga foram descritos por modelos esféricos, indicando uma variabilidade espacial nos parâmetros de produtividade na área cultivada. A geoestatística mostrou-se promissora para a aplicação de métodos precisos no controle integrado de pragas.

Soil CO2 emission as related to incorporation of sugarcane crop residues and aggregate breaking after rotary tiller

O preparo do solo é um dos processos que aceleram a decomposição da matéria orgânica, transferindo carbono para atmosfera, principalmente na forma de CO2. Neste trabalho, investigou-se o efeito do preparo com enxada rotativa sobre as emissões de CO2 do solo durante 02 semanas após o preparo do solo, incluindo-se a presença de resíduos vegetais sobre a superfície. As emissões foram avaliadas por 15 dias após preparo em 3 parcelas: 1) sem preparo e sem palha superficial (SPs); 2) preparo com enxada rotativa sem a presença de palha na superfície (ERs), e 3) preparo com enxada rotativa com a presença de palha superficial (ERc). As emissões provenientes da ERc foram superiores às demais (0,777 g CO2 m-2 h-1), sendo as menores emissões registradas na parcela SPs (0,414 g CO2 m-2 h-1). As emissões totais indicaram que a diferença de C-CO2 emitida à atmosfera corresponde a 3% do total de carbono adicional presente na palha, na parcela ERc, quando comparado à parcela ERs. O aumento da emissão da parcela SPs para ERs foi acompanhado de uma modificação na distribuição do tamanho de agregados, especialmente aqueles com diâmetro médio inferior a 2 mm. O aumento da emissão da parcela ERs para ERc esteve relacionado a uma diminuição da massa de palha na superfície, com fragmentação e incorporação da mesma no interior do solo. Quando se analisa a correlação linear entre emissão de CO2 versus temperatura e umidade do solo, somente a emissão da ERc foi significativamente correlacionada (p<0,05) à umidade do solo.