Estimation of parametric and nonparametric models for univariate claim severity distributions - an approach using R

This paper presents an analysis of motor vehicle insurance claims relating to vehicle damage and to associated medical expenses. We use univariate severity distributions estimated with parametric and non-parametric methods. The methods are implemented using the statistical package R. Parametric analysis is limited to estimation of normal and lognormal distributions for each of the two claim types. The nonparametric analysis presented involves kernel density estimation. We illustrate the benefits of applying transformations to data prior to employing kernel based methods. We use a log-transformation and an optimal transformation amongst a class of transformations that produces symmetry in the data. The central aim of this paper is to provide educators with material that can be used in the classroom to teach statistical estimation methods, goodness of fit analysis and importantly statistical computing in the context of insurance and risk management. To this end, we have included in the Appendix of this paper all the R code that has been used in the analysis so that readers, both students and educators, can fully explore the techniques described

Loss risk through fraud in car insurance

Our objective is to analyse fraud as an operational risk for the insurance company. We study the effect of a fraud detection policy on the insurer's results account, quantifying the loss risk from the perspective of claims auditing. From the point of view of operational risk, the study aims to analyse the effect of failing to detect fraudulent claims after investigation. We have chosen VAR as the risk measure with a non-parametric estimation of the loss risk involved in the detection or non-detection of fraudulent claims. The most relevant conclusion is that auditing claims reduces loss risk in the insurance company.

Mixture of bivariate Poisson regression models with an application to insurance

In a recent paper Bermúdez [2009] used bivariate Poisson regression models for ratemaking in car insurance, and included zero-inflated models to account for the excess of zeros and the overdispersion in the data set. In the present paper, we revisit this model in order to consider alternatives. We propose a 2-finite mixture of bivariate Poisson regression models to demonstrate that the overdispersion in the data requires more structure if it is to be taken into account, and that a simple zero-inflated bivariate Poisson model does not suffice. At the same time, we show that a finite mixture of bivariate Poisson regression models embraces zero-inflated bivariate Poisson regression models as a special case. Additionally, we describe a model in which the mixing proportions are dependent on covariates when modelling the way in which each individual belongs to a separate cluster. Finally, an EM algorithm is provided in order to ensure the models’ ease-of-fit. These models are applied to the same automobile insurance claims data set as used in Bermúdez [2009] and it is shown that the modelling of the data set can be improved considerably.

The de facto independence of regulatory agencies and its consequences for policy making and regulatory outcomes

This dissertation focuses on the practice of regulatory governance, throughout the study of the functioning of formally independent regulatory agencies (IRAs), with special attention to their de facto independence. The research goals are grounded on a "neo-positivist" (or "reconstructed positivist") position (Hawkesworth 1992; Radaelli 2000b; Sabatier 2000). This perspective starts from the ontological assumption that even if subjective perceptions are constitutive elements of political phenomena, a real world exists beyond any social construction and can, however imperfectly, become the object of scientific inquiry. Epistemologically, it follows that hypothetical-deductive theories with explanatory aims can be tested by employing a proper methodology and set of analytical techniques. It is thus possible to make scientific inferences and general conclusions to a certain extent, according to a Bayesian conception of knowledge, in order to update the prior scientific beliefs in the truth of the related hypotheses (Howson 1998), while acknowledging the fact that the conditions of truth are at least partially subjective and historically determined (Foucault 1988; Kuhn 1970). At the same time, a sceptical position is adopted towards the supposed disjunction between facts and values and the possibility of discovering abstract universal laws in social science. It has been observed that the current version of capitalism corresponds to the golden age of regulation, and that since the 1980s no government activity in OECD countries has grown faster than regulatory functions (Jacobs 1999). Following an apparent paradox, the ongoing dynamics of liberalisation, privatisation, decartelisation, internationalisation, and regional integration hardly led to the crumbling of the state, but instead promoted a wave of regulatory growth in the face of new risks and new opportunities (Vogel 1996). Accordingly, a new order of regulatory capitalism is rising, implying a new division of labour between state and society and entailing the expansion and intensification of regulation (Levi-Faur 2005). The previous order, relying on public ownership and public intervention and/or on sectoral self-regulation by private actors, is being replaced by a more formalised, expert-based, open, and independently regulated model of governance. Independent regulation agencies (IRAs), that is, formally independent administrative agencies with regulatory powers that benefit from public authority delegated from political decision makers, represent the main institutional feature of regulatory governance (Gilardi 2008). IRAs constitute a relatively new technology of regulation in western Europe, at least for certain domains, but they are increasingly widespread across countries and sectors. For instance, independent regulators have been set up for regulating very diverse issues, such as general competition, banking and finance, telecommunications, civil aviation, railway services, food safety, the pharmaceutical industry, electricity, environmental protection, and personal data privacy. Two attributes of IRAs deserve a special mention. On the one hand, they are formally separated from democratic institutions and elected politicians, thus raising normative and empirical concerns about their accountability and legitimacy. On the other hand, some hard questions about their role as political actors are still unaddressed, though, together with regulatory competencies, IRAs often accumulate executive, (quasi-)legislative, and adjudicatory functions, as well as about their performance.

Evaluation of subsidies programs to sell green cars: Impact on prices, quantities and efficiency

During the recent period of economic crisis, many countries have introduced scrappage schemes to boost the sale and production of vehicles, particularly of vehicles designed to pollute less. In this paper, we analyze the impact of a particular scheme in Spain (Plan2000E) on vehicle prices and sales figures as well as on the reduction of polluting emissions from vehicles on the road. We considered the introduction of this scheme an exogenous policy change and because we could distinguish a control group (non-subsidized vehicles) and a treatment group (subsidized vehicles), before and after the introduction of the Plan, we were able to carry out our analysis as a quasi-natural experiment. Our study reveals that manufacturers increased vehicle prices by the same amount they were granted through the Plan (1,000 €). In terms of sales, econometric estimations revealed an increase of almost 5% as a result of the implementation of the Plan. With regard to environmental efficiency, we compared the costs (inverted quantity of money) and the benefits of the program (reductions in polluting emissions and additional fiscal revenues) and found that the Plan would only be beneficial if it boosted demand by at least 30%.

The impact of agglomeration effects and accessibility on wages

This paper contributes to the empirical literature on the effects of agglomeration and road accessibility on productivity of firms by looking at the case of Spain. We approach productivity indirectly by using individual wages allocated at the NUTS III level. We use a repeated cross-section of individual micro-data for the years 1995, 2002 and 2006. The availability of interprovincial travel time data for each of the three years allows controlling for transport improvements over the period by using a market potential variable. Additionally, agglomeration is approached by employment density and we control for localization economies, human capital externalities and a large set of individual and workplace characteristics. Estimating by instrumental variables, our results show a positive and significant effect of market accessibility on wages and non linear effect for employment density.

The Innovation and Imitation Dichotomy in Spanish firms: do absorptive capacity and the technological frontier matter?

This paper analyses whether a firm’s absorptive capacity and its distance from the technological frontier affect the choice between innovation and imitation in innovative Spanish firms. From an extensive survey of 5,575 firms during the 2004-2009 period, we found two significant results. With regard to the role of absorptive capacity, the empirical evidence shows that when innovative firms have difficulties in accessing external information and hire skilled workers, their innovative capacity is reduced. Meanwhile, with regard to distance from the technological frontier, the firms that reduce this gap manage to increase their innovative capacity at the expense of imitation. To summarise, when we studied firms’ absorptive capacity and their relative position to the technological frontier in tandem, we found that the two factors directly affected firms' ability to innovate or imitate.

Frequency of human toxocariasis in Jos, Plateau State, Nigeria

The enzyme-linked immunosorbent assay (Elisa) was used to examine sera of 104 children and adults in Jos, Plateau State, Nigeria for anti-toxocaral antibodies, out of which 31 (29.8%) were reactive. The seropositive rates were 30.4% for adults, 29.6% for children, 34% for females and 25.9% for males. However, the differences were not significant by age and sex. A highly significant association (p < 0.001) was observed between seropositivity and geophagia but none between seropositivity and dog ownership (p > 0.05).

Prevalence and intensity of infections of Ascaris lumbricoides and Trichuris trichiura and associated socio-demographic variables in four rural Honduran communities

Between January and March 1998, a cross-sectional survey was carried out in four rural communities in Honduras, Central America. We examined the prevalence and intensity of Ascaris lumbricoides and Trichuris trichiura infections among 240 fecal specimens, and the association between selected socio-demographic variables and infection for 62 households. The overall prevalence of A. lumbricoides and T. trichiura was 45% (95% CI 39.0-51.9) and 38% (95% CI 31.8-44.4) respectively. The most intense infections for Ascaris and Trichuris were found in children aged 2-12 years old. By univariate analysis variables associated with infections of A. lumbricoides were: number of children 2-5 years old (p=0.001), level of formal education of respondents (p=0.01), reported site of defecation of children in households (p=0.02), households with children who had a recent history of diarrhea (p=0.002), and the location of households (p=0.03). Variables associated with both A. lumbricoides and T. trichiura infection included: number of children 6-14 years old (p=0.01, p=0.04, respectively), ownership of a latrine (p=0.04, p=0.03, respectively) and coinfection with either helminth (p=0.001, p=0.001, respectively). By multivariate analysis the number of children 2-5 years living in the household, (p=0.01, odds ratio (OR)=22.2), children with a recent history of diarrhea (p=0.0, OR=39.8), and infection of household members with T. trichiura (p=0.02, OR=16.0) were associated with A. lumbricoides infection. The number of children 6-14 years old in the household was associated with both A. lumbricoides and T. trichiura infection (p=0.04, p=0.01, OR=19.2, OR=5.2, respectively).

Profitability, uncertainty and multi-product firm product proliferation: The Spanish car industry

This article studies how product introduction decisions relate to profitability and uncertainty in the context of multi-product firms and product differentiation. These two features, common to many modern industries, have not received much attention in the literature as compared to the classical problem of firm entry, even if the determinants of firm and product entry are quite different. The theoretical predictions about the sign of the impact of uncertainty on product entry are not conclusive. Therefore, an econometric model relating firms’ product introduction decisions with profitability and profit uncertainty is proposed. Firm’s estimated profits are obtained from a structural model of product demand and supply, and uncertainty is proxied by profits’ variance. The empirical analysis is carried out using data on the Spanish car industry for the period 1990-2000. The results show a positive relationship between product introduction and profitability, and a negative one with respect to profit variability. Interestingly, the degree of uncertainty appears to be a driving force of entry stronger than profitability, suggesting that the product proliferation process in the Spanish car market may have been mainly a consequence of lower uncertainty rather than the result of having a more profitable market. Keywords: Product introduction, entry, uncertainty, multiproduct firms, automobile JEL codes: L11, L13

Clarification of the Meaning of "Beneficial Owner" in the OECD Model Tax Convention: Comment on the April 2011 Discussion Draft

In April 2011, the OECD released an important discussion draft that is intended to clarify the meaning of the term "beneficial ownership" under articles 10, 11 and 12 of the OECD Model (2010). This article discusses these proposals and demonstrates that some refinement is necessary.

Els estancs de tabac : el canvi de titulars a la posguerra

Recerca sobre les causes i les conseqüències dels canvis de la titularitat d'unes concessions públiques: els estancs.

The frequency of Toxocara infection in mental retarded children

Human toxocariasis is commonly seen in places where stray and Toxocara canis-infected dog population is high. There is a strong correlation between frequency of Toxocara infection, life style, and infection risk. Institutionalization of mental retarded patients increases to risk of toxocariasis. In this study, we aimed at investigating the frequency of Toxocara infection among children with mental retardation not requiring institutionalization. The study included 96 cases, who had educatable mental retardation and 85 healthy subjects who comprised the control group. Anti-Toxocara IgG or IgM antibodies were investigated in all serum samples, using ELISA method. The frequency of Toxocara infection was found significantly higher in mental retarded cases than in those in the control group (18.8% and 7.1% respectively) (p < 0.05). There was no significant difference between mental retarded children and the control group in terms of mean age, age groups, gender, owning dogs and cats and duration of their ownership, socio-economic level and behavioural factors, and personal hygiene (p > 0.05). We did not find any significant difference between Toxocara seropositive and seronegative mental retarded children in terms of demographic factors and epidemiological factors that could increase the risk of Toxocara infection (p > 0.05). The present study is the first seroprevalence study carried out with a mental retarded group not requiring institutionalization. Determination of high frequency of Toxocara infection suggests that these subjects constitute a risk factor for Toxocara infection, which may be attributed to their behavioural patterns.

Promoting Corporate Responsibility in Private Banking: Necessary and Sufficient Conditions for Joining the Wolfsberg Initiative Against Money Laundering

In recent years, the fight against money laundering has emerged as a key issue of financial regulation. The Wolfsberg Group is an important multistakeholder agreement establishing corporate responsibility (CR) principles against money laundering in a domain where international coordination remains otherwise difficult. The fact that 10 out of the 25 top private banking institutions joined this initiative opens up an interesting puzzle concerning the conditions for the participation of key industry players in the Wolfsberg Group. The article presents a fuzzy-set analysis of seven hypotheses based on firm-level organizational factors, the macro-institutional context, and the regulatory framework. Results from the analysis of these 25 financial institutions show that public ownership of the bank and the existence of a code of conduct are necessary conditions for participation in the Wolfsberg Group, whereas factors related to the type of financial institution, combined with the existence of a black list, are sufficient for explaining participation.

Protecció del copyright

La protecció del copyright mitjançant un sistema de marca d'aigua és una de les qüestions que cal solucionar en el món actual, en què la comunicació i l'intercanvi de material per mitjà de la xarxa estan a l'abast de tothom. D?acord amb això, aquest treball fa un estudi dels mètodes possibles per a poder introduir dins una imatge en format BMP un codi que, de manera inequívoca, permeti assegurar que la propietat d'aquella imatge és nostra.