Misallocation of capital in a model of endogenous financial intermediation and insurance

In this paper we analyze productivity and welfare losses from capital misallocation in a general equilibrium model of occupational choice and endogenous financial intermediation. We study the effects of borrowing and lending, insurance, and risk sharing on the optimal allocation of resources. We find that financial markets together with general equilibrium effects have large impact on entrepreneurs' entry and firm-size decisions. Efficiency gains are increasing in the quality of financial markets, particularly in their ability to alleviate a financing constraint by providing insurance against idiosyncratic risk.

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.

Haar wavelets-based approach for quantifying credit portfolio losses

This paper proposes a new methodology to compute Value at Risk (VaR) for quantifying losses in credit portfolios. We approximate the cumulative distribution of the loss function by a finite combination of Haar wavelet basis functions and calculate the coefficients of the approximation by inverting its Laplace transform. The Wavelet Approximation (WA) method is specially suitable for non-smooth distributions, often arising in small or concentrated portfolios, when the hypothesis of the Basel II formulas are violated. To test the methodology we consider the Vasicek one-factor portfolio credit loss model as our model framework. WA is an accurate, robust and fast method, allowing to estimate VaR much more quickly than with a Monte Carlo (MC) method at the same level of accuracy and reliability.

A New open economy macroeconomic model with endogenous portfolio diversification and firms entry

This paper provides a new benchmark for the analysis of the international diversi…cation puzzle in a tractable new open economy macroeconomic model. Building on Cole and Obstfeld (1991) and Heathcote and Perri (2009), this model speci…es an equilibrium model of perfect risk sharing in incomplete markets, with endogenous portfolios and number of varieties. Equity home bias may not be a puzzle but a perfectly optimal allocation for hedging risk. In contrast to previous work, the model shows that: (i) optimal international portfolio diversi…cation is driven by home bias in capital goods, independently of home bias in consumption, and by the share of income accruing to labour. The model explains reasonably well the recent patterns of portfolio allocations in developed economies; and (ii) optimal portfolio shares are independent of market dynamics.

How to use the standard model with own data?

In this work discuss the use of the standard model for the calculation of the solvency capital requirement (SCR) when the company aims to use the specific parameters of the model on the basis of the experience of its portfolio. In particular, this analysis focuses on the formula presented in the latest quantitative impact study (2010 CEIOPS) for non-life underwriting premium and reserve risk. One of the keys of the standard model for premium and reserves risk is the correlation matrix between lines of business. In this work we present how the correlation matrix between lines of business could be estimated from a quantitative perspective, as well as the possibility of using a credibility model for the estimation of the matrix of correlation between lines of business that merge qualitative and quantitative perspective.

Price policies and Price dispersion in the private healthcare insurance industry: The Catalan case

We present an overlapping generations model that explains price dispersion among Catalonian healthcare insurance firms. The model shows that firms with different premium policies can coexist. Furthermore, if interest rates are low, firms that apply equal premium to all insureds can charge higher average prices than insurers that set premiums according to the risk of insured. Economic theory, health insurance, health economics.

Acute Hospital Portfolio Year 3 Regional Summary (PDF 1153 KB)

February 2006 - report providing an overview of the performance of the Northern Ireland Trusts

Acute Hospital Portfolio - Catering Services in Northern Ireland Regional Summary (PDF 105 KB)

March 2003 - sets out the main findings from the study and key conclusions

Acute Hospital Portfolio - Accicent & Emergency in Northern Ireland Regional Summary (PDF 80 KB)

October 2003 - main findings arising from the study and the key conclusions

Acute Hospital Portfolio - Day Surgery in Northern Ireland Regional Summary (PDF 80 KB)

October 2003 - main findings arising from the study and the key conclusions

Dynamique réflexive et transférabilité des compétences : un usage intégré du e-Portfolio en spécialisation

Dernière étape avant le monde professionnel, un cursus de spécialisation est un lieu de discussion, au carrefour des savoirs et des savoir-faire, permettant aux étudiants d'envisager sous un angle nouveau les contenus enseignés à l'université. Il ne s'agit plus seulement d'acquérir des connaissances mais aussi de développer des compétences transférables à d'autres types d'activité. L'équipe en charge de la spécialisation en Analyse du discours et de la communication publics proposée par la Faculté des Lettres de l'Université de Lausanne a oeuvré à l'intégration d'un nouvel outil informatique, le e-Portfolio, destiné à faciliter l'expression et la documentation des compétences individuelles développées par l'étudiant lors de son parcours de formation.

Discrete time Non-homogeneous Semi-Markov Processes applied to Models for Disability Insurance

In this paper, we present a stochastic model for disability insurance contracts. The model is based on a discrete time non-homogeneous semi-Markov process (DTNHSMP) to which the backward recurrence time process is introduced. This permits a more exhaustive study of disability evolution and a more efficient approach to the duration problem. The use of semi-Markov reward processes facilitates the possibility of deriving equations of the prospective and retrospective mathematical reserves. The model is applied to a sample of contracts drawn at random from a mutual insurance company.

White Paper on Private Health Insurance

This White Paper, which arises from commitments in the Action Programme for the New Millennium, sets out the Government’s policy objectives and proposals regarding the role of private health insurance in the overall healthcare system, the regulation of the health insurance market, and the corporate structure and status of the Voluntary Health Insurance Board Download the Report here

Private Medical Insurance in Ireland

Private Medical Insurance in Ireland On 17 January 2007 The Minister for Health and Children announced that she had appointed a three person group comprising Colm Barrington (chair), Seamus Creedon and Dorothea Dowling (the Group) to carry out a business appraisal of the private medical insurance (PMI) market in Ireland and to report back to her on the subject by 31 March 2007. The Ministerâ?Ts announcement included the following terms of reference for the Group: Click here to download PDF 351kb