On insurance markets with endogenous information acquisition: A robust mechanism design approach

Neste trabalho propomos a aplicação das noções de equilíbrio da recente literatura de desenho de mecanismo robusto com aquisição de informação endógena a um problema de divisão de risco entre dois agentes. Através deste exemplo somos capazes de motivar o uso desta noção de equilíbrio, assim como discutir os efeitos da introdu ção de uma restrição de participação que seja dependente da informação. A simplicidade do modelo nos permite caracterizar a possibilidade de implementar a alocação Pareto efiente em termos do custo de aquisição da informação. Além disso, mostramos que a precisão da informação pode ter um efeito negativo sobre a implementação da alocação efi ciente. Ao final, sao dados dois exemplos específicos de situações nas quais este modelo se aplica.

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.

WHO disability grade does not influence physical activity in Brazilian leprosy patients

Disability caused by leprosy may be associated with stigma. The aim of this work is to describe the degree of disability, quality of life and level of physical activity of individuals with leprosy and to identify possible correlations between these factors. Ninety-seven patients from two referral centres were studied. A complete medical history was taken and the World Health Organization degree of physical disability classification (WHO-DG), the International Physical Activity Questionnaire (IPAQ) and the Medical Outcome Study 36-item Short-form health Survey (SF36) were applied. The mean age of patients was 51 +/- 14.9 years old; participants were predominantly men, married, unemployed, had concluded treatment and had had lepromatous leprosy. The WHO-DG and the level of physical activity (P-value = 0.36) were not correlated. The WHO-DG showed that 72.2% of patients had disabilities, 37-1% of whom performed vigorous physical activities. No significant association was observed between the WHO-DG and the domains of the QoL SF-36 except for functional capacity (P-value = 0.02); the physical capacity is generally 'very good' when individuals have no disabilities and 'bad' with severe disabilities. In conclusion, the WHO-DG of leprosy patients does not affect the level of physical activities or quality of life except functional capacity. There is no significant association between physical activities and quality of life in these individuals.

Physical disability, recent illnesses and health self-assessment in a population-based study in São Paulo, Brazil

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Social disability of Brazilian mood disorder patients

Mood disorders cause many social problems, often involving family relationships. Few studies are available in the literature comparing patients with bipolar, unipolar, dysthymic, and double depressive disorders concerning these aspects. In the present study, demographic and disease data were collected using a specifically prepared questionnaire. Social adjustment was assessed using the Disability Adjustment Scale and family relationships were evaluated using the Global Assessment of Relational Functioning Scale. One hundred patients under treatment for at least 6 months were evaluated at the Psychiatric Outpatient Clinic of the Botucatu School of Medicine, UNESP. Most patients were women (82%) more than 50 (49%) years old with at least two years of follow-up, with little schooling (62% had less than 4 years), and of low socioeconomic level. Logistic regression analysis showed that a diagnosis of unipolar disorder (P = 0.003, OR = 0.075, CI = 0.014-0.403) and dysthymia (P = 0.001, OR = 0.040, CI = 0.006-0.275) as well as family relationships (P = 0.002, OR = 0.953, CI = 0914-0.992) played a significant role in social adjustment. Unipolar and dysthymic patients presented better social adjustment than bipolar and double depressive patients (P < 0.001), results that were not due to social class. These patients, treated at a teaching hospital, may represent the severest mood disorder cases. Evaluations were made knowing the diagnosis of the patients, which might also have influenced some of the results. Social disabilities among mood disorder patients are very frequent and intensive.

Millennium development goals: progress towards the right to health in Latin america and the Caribbean

Includes bibliography

Public policy for pensions, health and sickness insurance

Includes bibliography