Solvency considerations in the gamma-omega surplus model

Ce mémoire de maîtrise traite de la théorie de la ruine, et plus spécialement des modèles actuariels avec surplus dans lesquels sont versés des dividendes. Nous étudions en détail un modèle appelé modèle gamma-omega, qui permet de jouer sur les moments de paiement de dividendes ainsi que sur une ruine non-standard de la compagnie. Plusieurs extensions de la littérature sont faites, motivées par des considérations liées à la solvabilité. La première consiste à adapter des résultats d’un article de 2011 à un nouveau modèle modifié grâce à l’ajout d’une contrainte de solvabilité. La seconde, plus conséquente, consiste à démontrer l’optimalité d’une stratégie de barrière pour le paiement des dividendes dans le modèle gamma-omega. La troisième concerne l’adaptation d’un théorème de 2003 sur l’optimalité des barrières en cas de contrainte de solvabilité, qui n’était pas démontré dans le cas des dividendes périodiques. Nous donnons aussi les résultats analogues à l’article de 2011 en cas de barrière sous la contrainte de solvabilité. Enfin, la dernière concerne deux différentes approches à adopter en cas de passage sous le seuil de ruine. Une liquidation forcée du surplus est mise en place dans un premier cas, en parallèle d’une liquidation à la première opportunité en cas de mauvaises prévisions de dividendes. Un processus d’injection de capital est expérimenté dans le deuxième cas. Nous étudions l’impact de ces solutions sur le montant des dividendes espérés. Des illustrations numériques sont proposées pour chaque section, lorsque cela s’avère pertinent.

Solvency considerations in the gamma-omega surplus model

Ce mémoire de maîtrise traite de la théorie de la ruine, et plus spécialement des modèles actuariels avec surplus dans lesquels sont versés des dividendes. Nous étudions en détail un modèle appelé modèle gamma-omega, qui permet de jouer sur les moments de paiement de dividendes ainsi que sur une ruine non-standard de la compagnie. Plusieurs extensions de la littérature sont faites, motivées par des considérations liées à la solvabilité. La première consiste à adapter des résultats d’un article de 2011 à un nouveau modèle modifié grâce à l’ajout d’une contrainte de solvabilité. La seconde, plus conséquente, consiste à démontrer l’optimalité d’une stratégie de barrière pour le paiement des dividendes dans le modèle gamma-omega. La troisième concerne l’adaptation d’un théorème de 2003 sur l’optimalité des barrières en cas de contrainte de solvabilité, qui n’était pas démontré dans le cas des dividendes périodiques. Nous donnons aussi les résultats analogues à l’article de 2011 en cas de barrière sous la contrainte de solvabilité. Enfin, la dernière concerne deux différentes approches à adopter en cas de passage sous le seuil de ruine. Une liquidation forcée du surplus est mise en place dans un premier cas, en parallèle d’une liquidation à la première opportunité en cas de mauvaises prévisions de dividendes. Un processus d’injection de capital est expérimenté dans le deuxième cas. Nous étudions l’impact de ces solutions sur le montant des dividendes espérés. Des illustrations numériques sont proposées pour chaque section, lorsque cela s’avère pertinent.

O impacto da implementação do Basel III no capital dos bancos portugueses

Este trabalho é uma análise dos efeitos da implementação das últimas recomendações do Basel Committee on Banking Supervision (BCBS) também conhecidas como o Basel III de 2010 que deverão ser faseadamente implementadas desde 1 de Janeiro de 2013 até 1 de Janeiro de 2019, no capital próprio dos bancos Portugueses. Neste trabalho assume-se que os ativos pesados pelo risco de 2012 mantêm-se constantes e o capital terá de ser aumentado segundo as recomendações ano após ano até ao fim de 2018. Com esta análise, pretende-se entender o nível de robustez do capital próprio dos bancos Portugueses e se os mesmos têm capital e reservas suficientes para satisfazer as recomendações de capital mínimo sugeridas pelo BCBS ou caso contrário, se necessitarão de novas injeções de capital ou terão de reduzir a sua atividade económica. O Basel III ainda não foi implementado em Portugal, pois a União Europeia está no processo de desenvolvimento e implementação do Credit Requirement Directive IV (CRD IV) que é uma recomendação que todos os bancos centrais dos países da zona Euro deverão impor aos respetivos bancos. Esta diretiva da União Europeia é baseada totalmente nas recomendações do Basel III e deverá ser implementada em 2014 ou nos anos seguintes. Até agora, os bancos Portugueses seguem um sistema com base no aviso 6/2010 do Banco de Portugal que recomenda o cálculo dos rácios core tier 1, tier 1 e tier 2 usando o método notações internas (IRB) de avaliação da exposição do banco aos riscos de crédito, operacional, etc. e onde os ativos ponderados pelo risco são calculados como 12,5 vezes o valor dos requisitos totais de fundos calculados pelo banco. Este método é baseado nas recomendações do Basel II que serão substituídas pelo Basel III. Dado que um dos principais motivos para a crise económica e financeira que assolou o mundo em 2007 foi a acumulação de alavancagem excessiva e gradual erosão da qualidade da base do capital próprio dos bancos, é importante analisar a posição dos bancos Portugueses, que embora não sejam muito grandes a nível global, controlam a economia do país. Espera-se que com a implementação das recomendações do Basel III não haja no futuro uma repetição dos choques sistémicos de 2007. Os resultados deste estudo usando o método padrão recomendado pelo BCBS mostram que de catorze bancos Portugueses incluídos neste estudo, apenas seis (BES, Montepio, Finantia, BIG, Invest e BIC) conseguem enquadrar nas recomendações mínimas do Basel III até 1-1- 2019 e alguns outros estão marginalmente abaixo dos rácios mínimos (CGD, Itaú e Crédito Agrícola).

Ciclos económicos, capital bancario y nuevas opciones de política económica

El objetivo de este trabajo es utilizar algunos hechos estilizados de la "Gran recesión", específicamente la drástica caída en el nivel de capitalización bancario, para analizar la relación entre los ciclos financieros y los ciclos reales, así como la efectividad de la política monetaria no convencional y las políticas macroprudenciales. Para esto, en el primer capítulo se desarrolla una microfundamentación de la banca a partir de un modelo de Costly State Verification, que es incluido posteriomente en distintas especificaciones de modelos DSGE. Los resultados muestran que: (i) los ciclos financieros y los ciclos económicos pueden relacionarse a partir del deterioro del capital bancario; (ii) Las políticas macroprudenciales y no convencionales son efectivas para moderar los ciclos económicos, pero son costosas en términos de recursos e inflación.

Práticas preventivas de detecção de câncer em mulheres: comparação das estimativas dos inquéritos de saúde (ISA - Capital) e vigilância de fatores de risco e proteção para doenças crônicas por inquérito telefônico (VIGITEL - São Paulo)

OBJETIVO: O objetivo deste estudo foi comparar estimativas obtidas em inquéritos domiciliar e telefônico, da realização dos exames de Papanicolaou e mamografia em mulheres residentes no município de São Paulo em 2008, segundo características sociodemográficas, bem como dimensionar as diferenças observadas. MÉTODOS: Foram utilizados os dados do ISA - Capital 2008, inquérito domiciliar realizado no município de São Paulo pela Universidade de São Paulo (USP), Universidade Estadual de Campinas (UNICAMP) e Secretaria de Estado da Saúde com apoio da Secretaria Municipal de Saúde de São Paulo, e do VIGITEL - São Paulo, inquérito telefônico realizado pelo Ministério da Saúde para Vigilância de Fatores de Risco e Proteção para Doenças Crônicas. Estimativas da realização do exame de Papanicolaou e mamografia na vida, bem como a realização no último ano foram comparadas segundo o tipo de inquérito (domiciliar/telefone) por meio de regressão de Poisson ajustada por idade e escolaridade. RESULTADOS: Não foram encontradas diferenças estatisticamente significantes entre as estimativas obtidas pelo VIGITEL e ISA - Capital para as prevalências de realização de mamografia no último ano. No entanto, para as estimativas globais de realização do exame de Papanicolaou alguma vez na vida e no último ano e da mamografia na vida, foi possível verificar diferenças estatisticamente significantes, com prevalências de cobertura superiores entre as entrevistadas pelo inquérito telefônico. CONCLUSÃO: Os resultados sinalizam a tendência de superestimação de alguns indicadores de cobertura de mamografia e de exame de Papanicolaou nos dados de pesquisa via telefone, apontando a necessidade de novos estudos que também contribuam para o melhor entendimento das diferenças observadas com o uso de diferentes modalidades de inquéritos.

Sequential injections as an alternative to gradient exploitation for implementing differential kinetic analysis in a flow injection system

A novel flow-based strategy for implementing simultaneous determinations of different chemical species reacting with the same reagent(s) at different rates is proposed and applied to the spectrophotometric catalytic determination of iron and vanadium in Fe-V alloys. The method relies on the influence of Fe(II) and V(IV) on the rate of the iodide oxidation by Cr(VI) under acidic conditions, the Jones reducing agent is then needed Three different plugs of the sample are sequentially inserted into an acidic KI reagent carrier stream, and a confluent Cr(VI) solution is added downstream Overlap between the inserted plugs leads to a complex sample zone with several regions of maximal and minimal absorbance values. Measurements performed on these regions reveal the different degrees of reaction development and tend to be more precise Data are treated by multivariate calibration involving the PLS algorithm The proposed system is very simple and rugged Two latent variables carried out ca 95% of the analytical information and the results are in agreement with ICP-OES. (C) 2010 Elsevier B V. All rights reserved.

Validation of an HPLC analytical method for determination of pancuronium bromide in pharmaceutical injections

Pancuronium bromide is used with general anesthesia in surgery for muscle relaxation and as an aid to intubation. A high performance liquid chromatographic method was fully validated for the quantitative determination of pancuronium bromide in pharmaceutical injectable solutions. The analytical method was performed on an amino column (Luna 150mm4.6mm, 5m). The mobile phase was composed of acetonitrile:water containing 50mmol L-1 of 1-octane sulfonic acid sodium salt (20:80v/v) with a flow rate of 1.0mL min-1 and ultraviolet (UV) detection at 210nm. The proposed analytical method was compared with that described in the British Pharmacopoeia.

On the threshold of forgetting: Amnesiac identities and the Brazilian capital

Centuries after Locke asserted the importance of memory to identity, Freudian psychology argued that what was forgotten was of equal importance as to what was remembered. The closing decades of the nineteenth century saw a rising interest in the nature of forgetting, resulting in a reassessment and newfound distrust of the long revered faculty of memory. The relationship between memory and identity was inverted, seeing forgetting also become a means for forging identity. This newfound distrust of memory manifested in the writings of Nietzsche who in 1874 called for society to learn to feel unhistorically and distance itself from the past - in what was essentially tantamount to a cultural forgetting. Following the Nietzschean call, the architecture of Modernism was also compelled by the need to 'overcome' the limits imposed by history. This paper examines notions of identity through the shifting boundaries of remembering and forgetting, with particular reference to the construction of Brazilian identity through the ‘repression’ of history and memory in the design of the Brazilian capital. Designed as a forward-looking modernist utopia, transcending the limits imposed by the country's colonial heritage, the design for Brasilia exploited the anti-historicist agenda of modernism to emancipate the country from cultural and political associations with the Portuguese Empire. This paper examines the relationship between place, memory and forgetting through a discussion of the design for Brasilia.

Food habits of young and middle-aged women living outside the capital cities of Australia

Young (18-22 years) and middle-aged (45-49 years) women living in urban and rural areas of New South Wales completed a brief food frequency questionnaire as part of a wider health survey. Urban women in both age groups consumed meat less frequently than women in rural areas; and women in the less populated rural areas were more likely to eat green and yellow vegetables and least likely to eat dried beans. There were few other geographic differences in food habits. Middle-aged women consumed reduced-fat milk, fruit, vegetables, fish, biscuits and cakes significantly more frequently, and rice, pasta, full-cream milk, fried food and take-away food less frequently than younger women. Smokers in both age groups consumed fresh fruit, vegetables and breakfast cereals significantly less frequently than non-smokers, and women with low levels of habitual physical activity consumed fresh fruit and cereals less frequently than more active women. The findings suggest that strategies aimed at changing eating behaviours should be age-group-specific and targeted specifically to smokers and less active women.

Hierarchical determinants of capital structure

We analyze the influence of time-, firm-, industry- and country-level determinants of capital structure. First, we apply hierarchical linear modeling in order to assess the relative importance of those levels. We find that time and firm levels explain 78% of firm leverage. Second, we include random intercepts and random coefficients in order to analyze the direct and indirect influences of firm/industry/country characteristics on firm leverage. We document several important indirect influences of variables at industry and country-levels on firm determinants of leverage, as well as several structural differences in the financial behavior between firms of developed and emerging countries. (C) 2010 Elsevier B.V. All rights reserved.

Heterogeneity, saving-investment dynamics and capital mobility in Latin America

The purpose of this paper is to analyze the dynamics of national saving-investment relationship in order to determine the degree of capital mobility in 12 Latin American countries. The analytically relevant correlation is the short-term one, defined as that between changes in saving and investment. Of special interest is the speed at which variables return to the long run equilibrium relationship, which is interpreted as being negatively related to the degree of capital mobility. The long run correlation, in turn, captures the coefficient implied by the solvency constraint. We find that heterogeneity and cross-section dependence completely change the estimation of the long run coefficient. Besides we obtain a more precise short run coefficient estimate compared to the existent estimates in the literature. There is evidence of an intermediate degree of capital mobility, and the coefficients are extremely stable over time.

ON THE DIFFERENCES BETWEEN THE MARGINAL PRODUCT OF CAPITAL ACROSS COUNTRIES

We extended the standard neoclassical model of investment for the case of an open economy. Our model shows that risk premium not only creates a wedge between the marginal product of capital across countries but also reduces an economy`s savings rate. A riskier market thus presents a lower income per capita, ceteris paribus. Our empirical analysis, from 1950 to 2003, lends support to the conclusion that both risk and the correction for output price to investment ratio help to explain the differentials.

A model of migrants' remittances with human capital investment and intrafamilial transfers

This study analyzes data on migrants' remittances using a two-period theory of intergenerational transfers based on an informal, intrafamilial loan arrangement using weak altruism, a behavior between strong altruism and pure self-interest. The model provides an integrated theory of migrants' remittances, human capital investment decisions, and intrafamilial transfers applicable to low-income countries with no official pension schemes and imperfect capital markets. Propositions, derived from the theory, are tested, re-analyzing original survey data on remittances of Pacific island migrants in Sydney. When weak altruism and strong altruism yield opposite predictions, the econometric results tend to confirm the former hypothesis and invalidate the latter.