Modelos determinísticos e estocásticos aplicados ao cálculo de provisões para sinistros

A estimação das provisões para sinistros é de extrema importância na atividade de uma seguradora do ramo Não Vida, porque, por um lado, são necessários recursos suficientes para garantir o pagamento de qualquer sinistro que ocorra e, por outro, o excesso de provisões pode condicionar a rentabilidade da companhia. Assim, faz parte do papel do atuário garantir a adequação destas provisões técnicas. Com esse propósito, é habitualmente utilizado o método determinístico Chain Ladder para a estimação das provisões para sinistros. Contudo, de forma a contornar as limitações desta metodologia, recorre-se a modelos estocásticos, como o modelo proposto por Thomas Mack, uma aplicação dos Modelos Lineares Generalizados, a técnica Bootstrap, entre outros. Dos modelos estocásticos é de salientar um dos mais recentemente estudados, Double Chain Ladder, que está diretamente associado ao método Chain Ladder, trazendo algumas vantagens sobre esse último e possibilitando também a aplicação da técnica Bootstrap e uma simples associação ao método Bornhuetter-Ferguson. O objetivo desta dissertação consiste na aplicação e análise destes modelos na estimação de provisões para sinistros no ramo Não Vida.

Inflation Targeting Matters: Evidence from OECD Economies` Sacrifice Ratios

Using data from OECD economies, we show that inflation targeters suffered smaller output losses during disinflations when compared to nontargeters. We also study why some countries choose to inflation target while others do not and find that higher average inflation and smaller debt levels render the adoption of the regime more likely. Applying Heckman`s procedure to control for selection bias does not alter the link between inflation targeting and less costly disinflations.

Alcohol-attributable injuries in admissions to a swiss emergency room--an analysis of the link between volume of drinking, drinking patterns, and preattendance drinking.

BACKGROUND: An association between alcohol consumption and injury is clearly established from volume of drinking, heavy episodic drinking (HED), and consumption before injury. Little is known, however, about how their interaction raises risk of injury and what combination of factors carries the highest risk. This study explores which of 11 specified groups of drinkers (a) are at high risk and (b) contribute most to alcohol-attributable injuries. METHODS: In all, 8,736 patients, of whom 5,077 were injured, admitted to the surgical ward of the emergency department of Lausanne University Hospital between January 1, 2003, and June 30, 2004, were screened for alcohol use. Eleven groups were constructed on the basis of usual patterns of intake and preattendance drinking. Odds ratios (ORs) comparing injured and noninjured were derived, and alcohol-attributable fractions of injuries were calculated from ORs and prevalence of exposure groups. RESULTS: Risk of injury increased with volume of drinking, HED, and preattendance drinking. For both sexes, the highest risk was associated with low intake, HED, and 4 (women), 5 (men), or more drinks before injury. At the same level of preattendance drinking, high-volume drinkers were at lower risk than low-volume drinkers. In women, the group of low-risk non-HED drinkers taking fewer than 4 drinks suffered 47.5% of the alcohol-attributable injuries in contrast to only 20.4% for men. Low-volume male drinkers with HED had more alcohol-attributable injuries than that of low-volume female drinkers with HED (46.9% vs 23.2%). CONCLUSIONS: Although all groups of drinkers are at increased risk of alcohol-related injury, those who usually drink little but on occasion heavily are at particular risk. The lower risk of chronic heavy drinkers may be due to higher tolerance of alcohol. Prevention should thus target heavy-drinking occasions. Low-volume drinking women without HED and with only little preattendance drinking experienced a high proportion of injuries; such women would be well advised to drink very little or to take other special precautions in risky circumstances.

Probabilistic patterns of interaction: the effects of link-strength variability on food web structure

Patterns of species interactions affect the dynamics of food webs. An important component of species interactions that is rarely considered with respect to food webs is the strengths of interactions, which may affect both structure and dynamics. In natural systems, these strengths are variable, and can be quantified as probability distributions. We examined how variation in strengths of interactions can be described hierarchically, and how this variation impacts the structure of species interactions in predator-prey networks, both of which are important components of ecological food webs. The stable isotope ratios of predator and prey species may be particularly useful for quantifying this variability, and we show how these data can be used to build probabilistic predator-prey networks. Moreover, the distribution of variation in strengths among interactions can be estimated from a limited number of observations. This distribution informs network structure, especially the key role of dietary specialization, which may be useful for predicting structural properties in systems that are difficult to observe. Finally, using three mammalian predator-prey networks ( two African and one Canadian) quantified from stable isotope data, we show that exclusion of link-strength variability results in biased estimates of nestedness and modularity within food webs, whereas the inclusion of body size constraints only marginally increases the predictive accuracy of the isotope-based network. We find that modularity is the consequence of strong link-strengths in both African systems, while nestedness is not significantly present in any of the three predator-prey networks.

Sulfur Isotopic Ratios at 67P/Churyumov-Gerasimenko and Characterization of ROSINA-DFMS FM & FS

Comets are thought to be the most pristine bodies present in the Solar System. In consequence of spending the majority of their existence beyond 30 AU, their composition can give insights on the physical and chemical conditions during their formation. Since August 2014 the European Space Agency spacecraft Rosetta accompanies the Jupiter family comet 67P/Churyumov-Gerasimenko on its way to perihelion and beyond. In this study the isotope fractionation of 34S are reported in H2S, OCS, SO2, S2, and CS2 at 67P. In addition for the first time the isotope fractionation for 33S is presented for cometary volatiles. The ratio 32S/33S is given for H2S, SO2 and a tentative value is given for CS2. With a mean value of -50 ± 22‰ and -306 ± 31‰ for δ34S and δ33S respectively, H2S shows a significant depletion in both 34S and 33S. For SO2 the depletion is less distinct with δ34S and δ33S being -67 ± 40‰ and -130 ± 53‰, respectively. The strongest depletion is present for CS2 with -114 ± 21‰and -276 ± 55‰, respectively. For OCS and S2 only δ34S could be determined which is -252 ± 77‰ and -357 ± 145‰, respectively. A comparison with sulfur isotopic ratios measured in SiC grains revealed that both SiC grains and the five volatile species have similar sulfur isotopic ratios. However, it is beyond the scope of this work to investigate the possibility of a link between SiC grains and cometary ices. Nevertheless, mass-dependent or mass-independent fractionation due to photo dissociation can be ruled out as sole cause of the seen depletion of 33S and 34S. Furthermore, an upper limit of (9.64 ± 0.19)·10.4 for D/H in HDS has been determined. This value is about a factor two higher than D/H in H2O for the same comet reported by (Altwegg et al., 2015). Besides the investigation concerning isotopic ratios of sulfur bearing species in this work the calibration and characterization of ROSINA/DFMS has been continued. Here it is reported about the deviation of the mass scale for MCP/LEDA low resolution spectra and the calibration measurements performed in the laboratory. Furthermore the outcome of the attempt to describe the sensitivity of DFMS with an empirical function will be discussed. The last part of the characterization of DFMS is dedicated to determine the so-called individual pixel gain for the laboratory and the flight model. Moreover, correlation between the depletion’s manifestation of the MCP with respect to the applied voltages has been investigated for both models. It has been found that further measurements are needed to understand the manifestation of depletion at the laboratory model. For the model on board of Rosetta it could be shown that most of the present feature are due to the usage of the MCP and suggestions have been made in order to answer the remaining question considering the depletion of the MCP.

Geochemistry and Nd-Pb isotope ratios of sediments from the Lesser Antilles arc

The Lesser Antilles arc is a particularly interesting island arc because it is presently very active, it is located perpendicular to the South American continent and its chemical and isotopic compositions display a strong north-south gradient. While the presence in the south of a thick pile of sedimentary material coming from the old South American continent has long been suspected to explain the geochemical gradient, previous studies failed to demonstrate unambiguously a direct link between the arc lava compositions and the subducted sediment compositions. Here, we present new Nd, Sm, Th, U and Pb concentrations and Nd-Pb isotopic data for over 60 sediments from three sites located in the fore arc region of the Lesser Antilles arc. New data for DSDP Site 543 drill core located east of Dominica Island complement the data published by White et al. (1985, doi:10.1016/0016-7037(85)90082-1) and confirm their relatively uniform isotopic compositions (i.e., 206Pb/204Pb between 19.13 and 19.53). In contrast, data obtained on DSDP Site 144 located further south, on the edge of the South American Rise and on sediments from Barbados Island are much more variable (206Pb/204Pb ranges from 18.81 to 27.69). The very radiogenic Pb isotopic compositions are found in a 60 m thick black shale unit, which has no age equivalent in the Site 543 drill core. We interpret the peculiar composition of the southern sediments as being due to two factors, (a) the proximity of the South American craton, which contributes coarse grain old detrital material that does not travel far from the continental shelf, and (b) the presence of older sediments including the thick black shale unit formed during Oceanic Anoxic events 2 and 3. The north-south isotopic change known along the Lesser Antilles arc can be explained by the observed geographical changes in the composition of the subducted sediments. About 1% contamination of the mantle wedge by Site 543 sediments explains the composition of the northern islands while up to 10% sediments like those of Site 144 is required in the source of the southern island lavas. The presence of black shales in the subducted pile provides a satisfactory explanation for the very low Delta8/4 values that characterize the Lesser Antilles arc.

Magnesium/Calcium ratios measured on planktonic foraminifera of the LGM

As part of the Multi-proxy Approach for the Reconstruction of the Glacial Ocean (MARGO) incentive, published and unpublished temperature reconstructions for the Last Glacial Maximum (LGM) based on planktonic foraminiferal Mg/Ca ratios have been synthesised and made available in an online database. Development and applications of Mg/Ca thermometry are described in order to illustrate the current state of the method. Various attempts to calibrate foraminiferal Mg/Ca ratios with temperature, including culture, trap and core-top approaches have given very consistent results although differences in methodological techniques can produce offsets between laboratories which need to be assessed and accounted for where possible. Dissolution of foraminiferal calcite at the sea-floor generally causes a lowering of Mg/Ca ratios. This effect requires further study in order to account and potentially correct for it if dissolution has occurred. Mg/Ca thermometry has advantages over other paleotemperature proxies including its use to investigate changes in the oxygen isotopic composition of seawater and the ability to reconstruct changes in the thermal structure of the water column by use of multiple species from different depth and or seasonal habitats. Presently available data are somewhat limited to low latitudes where they give fairly consistent values for the temperature difference between Late Holocene and the LGM (2-3.5 °C). Data from higher latitudes are more sparse, and suggest there may be complicating factors when comparing between multi-proxy reconstructions.

Stable carbon isotope ratios and the formation of dolomite in ODP Leg 175 sites

We examine the link between organic matter degradation, anaerobic methane oxidation (AMO), and sulfate depletion and explore how these processes potentially influence dolomitization. We determined rates and depths of AMO and dolomite formation for a variety of organic-rich sites along the west African Margin using data from Ocean Drilling Program (ODP) Leg 175. Rates of AMO are calculated from the diffusive fluxes of CH4 and SO4, and rates of dolomite formation are calculated from the diffusive flux of Mg. We find that the rates of dolomite formation are relatively constant regardless of the depth at which it is forming, indicating that the diffusive fluxes of Mg and Ca are not limiting. Based upon the calculated log IAP values, log K(sp) values for dolomite were found to narrowly range between -16.1 and -16.4. Dolomite formation is controlled in part by competition between AMO and methanogenesis, which controls the speciation of dissolved CO2. AMO increases the concentration of CO3[2-] through sulfate reduction, favoring dolomite formation, while methanogenesis increases the pCO2 of the pore waters, inhibiting dolomite formation. By regulating the pCO2 and alkalinity, methanogenesis and AMO can regulate the formation of dolomite in organic-rich marine sediments. In addition to providing a mechanistic link between AMO and dolomite formation, our findings provide a method by which the stability constant of dolomite can be calculated in modern sediments and allow prediction of regions and depth domains in which dolomite may be forming.

Chronology and stable carbon isotopic ratios of sediments from the Western Pacific Warm Pool region

Instrumental data suggest that major shifts in tropical Pacific atmospheric dynamics and hydrology have occurred within the past century, potentially in response to anthropogenic warming. To better understand these trends, we use the hydrogen isotopic ratios of terrestrial higher plant leaf waxes (DDwax) in marine sediments from southwest Sulawesi, Indonesia, to compile a detailed reconstruction of central Indo-Pacific Warm Pool (IPWP) hydrologic variability spanning most of the last two millennia. Our paleodata are highly correlated with a monsoon reconstruction from Southeast Asia, indicating that intervals of strong East Asian summer monsoon (EASM) activity are associated with a weaker Indonesian monsoon (IM). Furthermore, the centennial-scale oscillations in our data follow known changes in Northern Hemisphere climate (e.g., the Little Ice Age and Medieval Warm Period) implying a dynamic link between Northern Hemisphere temperatures and IPWP hydrology. The inverse relationship between the EASM and IM suggests that migrations of the Intertropical Convergence Zone and associated changes in monsoon strength caused synoptic hydrologic shifts in the IPWP throughout most of the past two millennia.

Strontium isotope ratios of plant and soil samples from France

The dataset consists of 87Sr/86Sr isotope ratios of plant samples and soil leachates covering the major geologic regions of France. In addition to the isotope data it provides the spatial context for each sample, including background geology, field observations and soil descriptions. The dataset can be used to create Sr isoscapes for France, which can be applied in a wide range of fields including archaeology, ecology, soil, food, and forensic sciences.

Sedimentology and Cd/Ca ratios of benthic foraminifera from ODP Site 172-1060 in the western Nort Atlantic

The Western Boundary Undercurrent (WBUC), off eastern America, is an important component of the Atlantic Meridional Overturning circulation and is the principal route for southward transport of North Atlantic waters and southward return of Southern Source Water (SSW). Here a direct flow speed proxy (mean grain size of the sortable silt) is used to infer the vigour of flow of the palaeo-WBUC at Blake Outer Ridge, (ODP Site 1060, depth 3481 m) during Marine Isotope Stage (MIS) 3. The overall shape of the flow speed proxy record shows a complex pattern of variability, with generally more vigorous flow and larger-scale flow variations between 35 and 60 ka than in the younger part of MIS 3 and MIS 2 (b35 ka). Six events of reduced bottom flow vigour (Slow Events, SEs) occur. These appear uncorrelated with Heinrich events, but are instead synchronous with the warming phases of Antarctic Warm Events A-1 to A-4 (with one new one, A-1a and one poorly defined, 'A-0'). This indicates that Antarctic climate exerts a stronger control on deep flow vigour in the North Atlantic during MIS 3 than Northern Hemisphere climate. The correspondence of SEs with Antarctic warming suggests a weaker WBUC flow due to reduced volume flux at SSW source or reduced SSW density. Because the variability of the lower limb of the WBUC was not connected to sharp North Atlantic changes in temperature, it is unlikely that the Dansgaard/Oeschger cycles were associated with a mode of MOC variation involving wholeocean overturn, but more likely with perturbations of only the shallow Glacial Gulf Stream-Glacial Northern Source Intermediate Water cell. Nutrient proxies (benthic carbon isotopes and Cd/Ca of Uvigerina peregrina) at this site show similar trends to the GRIP delta18O record. This correlation has previously been attributed mainly to hydrographic and flow changes but is here shown to be better explained by variations in surface ocean productivity and subsequent decomposition of 12C rich organic material on the sea floor.

Stable isotope record and trace element ratios of Eocene and Oligocene foraminifers from ODP Site 120-748

Stable carbon and oxygen isotope analyses were conducted on well-preserved planktonic and benthic foraminifers from a continuous middle Eocene to Oligocene sequence at Ocean Drilling Program (ODP) Site 748 on the Kerguelen Plateau. Benthic foraminifer d18O values show a 1.0 per mil increase through the middle and upper Eocene, followed by a rapid 1.2 per mil increase in the lowermost Oligocene (35.5 Ma). Surface-dwelling planktonic foraminifer d18O values increase in the lowermost Oligocene, but only by 0.6 per mil whereas intermediate-depth planktonic foraminifers show an increase of about l.0 per mil. Benthic foraminifer d13C values increase by 0.9 per mil in the lowermost Oligocene at precisely the same time as the large d18O increase, whereas planktonic foraminifer d13C values show little or no change. Site 748 oxygen isotope and paleontological records suggest that southern Indian Ocean surface and intermediate waters underwent significant cooling from the early to late Eocene. The rapid 1.2 per mil oxygen isotope increase recorded by benthic foraminifers just above the Eocene/Oligocene boundary represents the ubiquitous early Oligocene d18O event. The shift here is unique, however, as it coincided with the sudden appearance of ice-rafted debris (IRD), providing the first direct link between Antarctic glacial activity and the earliest Oligocene d18O increase. The d18O increase caused by the ice-volume change in the early Oligocene is constrained by (1) related changes in the planktonic to benthic foraminifer d18O gradient at Site 748 and (2) comparisons of late Eocene and early Oligocene planktonic foraminifer d18Ovalues from various latitudes. Both of these records indicate that 0.3 per mil to 0.4 per mil of the early Oligocene d18O increase was ice-volume related.