Using one-year claim development to chose a large claim reserving technique

Mestrado em Ciências Actuariais

On the problematic of reserving and stochastic loss models

Abstract Traditionally, the common reserving methods used by the non-life actuaries are based on the assumption that future claims are going to behave in the same way as they did in the past. There are two main sources of variability in the processus of development of the claims: the variability of the speed with which the claims are settled and the variability between the severity of the claims from different accident years. High changes in these processes will generate distortions in the estimation of the claims reserves. The main objective of this thesis is to provide an indicator which firstly identifies and quantifies these two influences and secondly to determine which model is adequate for a specific situation. Two stochastic models were analysed and the predictive distributions of the future claims were obtained. The main advantage of the stochastic models is that they provide measures of variability of the reserves estimates. The first model (PDM) combines one conjugate family Dirichlet - Multinomial with the Poisson distribution. The second model (NBDM) improves the first one by combining two conjugate families Poisson -Gamma (for distribution of the ultimate amounts) and Dirichlet Multinomial (for distribution of the incremental claims payments). It was found that the second model allows to find the speed variability in the reporting process and development of the claims severity as function of two above mentioned distributions' parameters. These are the shape parameter of the Gamma distribution and the Dirichlet parameter. Depending on the relation between them we can decide on the adequacy of the claims reserve estimation method. The parameters have been estimated by the Methods of Moments and Maximum Likelihood. The results were tested using chosen simulation data and then using real data originating from the three lines of business: Property/Casualty, General Liability, and Accident Insurance. These data include different developments and specificities. The outcome of the thesis shows that when the Dirichlet parameter is greater than the shape parameter of the Gamma, resulting in a model with positive correlation between the past and future claims payments, suggests the Chain-Ladder method as appropriate for the claims reserve estimation. In terms of claims reserves, if the cumulated payments are high the positive correlation will imply high expectations for the future payments resulting in high claims reserves estimates. The negative correlation appears when the Dirichlet parameter is lower than the shape parameter of the Gamma, meaning low expected future payments for the same high observed cumulated payments. This corresponds to the situation when claims are reported rapidly and fewer claims remain expected subsequently. The extreme case appears in the situation when all claims are reported at the same time leading to expectations for the future payments of zero or equal to the aggregated amount of the ultimate paid claims. For this latter case, the Chain-Ladder is not recommended.

Nature-based tourism and the valuation of its environmental resources: Economic and other aspects

Nature-based tourism has grown in importance in recent decades, and strong links have been established between it and ecotourism. This reflects rising incomes, greater levels of educational attainment and changing values, especially in the Western world. Nature-based tourism is quite varied. Different types of such tourism are identified and their consequences for sustainability of their resource-base are briefly considered. The development and management of nature-based tourism involves many economic aspects, several of which are discussed. For example, one must consider the economics of reserving or protecting land for this type of tourism. What economic factors should be taken into account? Economists stress the importance of taking into account the opportunity costs involved in such a decision. This concept is explained. However, determining the net economic value of an area used for tourism is not straightforward. Techniques for doing this, such as the travel cost method and stated value methods, are introduced. Natural areas reserved for tourism may have economic value not only for tourism but also jointly for other purposes, such as conserving wildlife, maintaining hydrological cycles and so on. These other purposes, should be taken into account when considering the use of land for nature-based tourism. According to one economic point of view, land should be used in a way that maximises its total economic value. While this approach has its merits, it does not take into account the distribution of benefits from land use and its local impacts on income and employment. These can be quite important politically and for nature conservation, and are discussed. Finally, there is some discussion of whether fees charged to tourists for access to environmental resources should discriminate between domestic tourists and foreigners.

CISNE-P: a global scheduling oriented to NOW environments

In this work, we present an integral scheduling system for non-dedicated clusters, termed CISNE-P, which ensures the performance required by the local applications, while simultaneously allocating cluster resources to parallel jobs. Our approach solves the problem efficiently by using a social contract technique. This kind of technique is based on reserving computational resources, preserving a predetermined response time to local users. CISNE-P is a middleware which includes both a previously developed space-sharing job scheduler and a dynamic coscheduling system, a time sharing scheduling component. The experimentation performed in a Linux cluster shows that these two scheduler components are complementary and a good coordination improves global performance significantly. We also compare two different CISNE-P implementations: one developed inside the kernel, and the other entirely implemented in the user space.

Tietotekniikan osaston osastokirjaston varausjärjestelmän suunnittelu ja toteutus

Tietotekniikan osaston osastokirjaston nykyinen varausjärjestelmä toimii paperilapuin merkittävin varauksin. Kirjojen lainaus- ja saatavuustilanne halutaan selkeämmäksi, sekä lainausprosessi helpommaksi. Työssä suunnitellaan varausjärjestelmä vanhan kirjojen hakuun jo olemassa olevan järjestelmän pohjalta, kaikki ohjelmakoodi kirjoitetaan kuitenkin uusiksi, jotta järjestelmä olisi yhtenäinen. Uusina toimintoina lisätään kirjojen varaus ja lainaus, sekä admin-käyttäjälle mahdollisuus tarkastella lainoja ja varauksia. Työn toteutuksessa edetessä sitä testataan jatkuvasti, ennen käyttöönottoa järjestelmää testataan oikeassa käyttöympäristössään. Työn tuloksena on järjestelmä, joka mahdollistaa kirjojen varaamisen ja lainaamisen sekä selkeyttää kirjojen lainaustilannetta. Lisäksi tässä dokumentissa selvitetään lyhyesti järjestelmän jatkokehitysmahdollisuuksia.

Promoting while checking self-interest : a conflict-based governance approach to rebalance corporate power disequilibria in Canada and the United States

La délégation du pouvoir de gestion aux administrateurs et aux gestionnaires, une caractéristique intrinsèque à la gestion efficace de grandes entreprises dans un contexte de capitalisme, confère une grande discrétion à l’équipe de direction. Cette discrétion, si elle n’est pas surveillée, peut mener à des comportements opportunistes envers la corporation, les actionnaires et les autres fournisseurs de capital qui n’ont pas de pouvoir de gestion. Les conflits entre ces deux classes d’agents peuvent émerger à la fois de décisions de gouvernance générale ou de transactions particulières (ie. offre publique d’achat). Dans les cas extrêmes, ces conflits peuvent mener à la faillite de la firme. Dans les cas plus typiques, ils mènent l’extraction de bénéfices privés pour les administrateurs et gestionnaires, l’expropriation des actionnaires, et des réductions de valeur pour la firme. Nous prenons le point de vue d’un petit actionnaire minoritaire pour explorer les méchanismes de gouvernance disponibles au Canada et aux États‐Unis. Après une synthèse dans la Partie 1 des théories sous‐jacentes à l’étude du pouvoir dans la corporation (séparation de la propriété et du contrôle et les conflits d’agence), nous concentrons notre analyse dans la Partie 2 sur les différents types de méchanismes (1) de gouvernance interne, (2) juridiques et (3) marchands, qui confèrent du pouvoir aux deux classes d’agents. Nous examinons comment les intérêts de ces deux classes peuvent être réalignés afin de prévenir et résoudre les conflits au sein de la firme. La Partie 3 explore un équilibre dynamique de pouvoir corporatif qui cherche à minimiser le potentiel d’opportunisme toute en préservant une quantité de discrétion suffisante pour la gestion efficace de la firme. Nous analysons des moyens pour renforcer les protections des actionnaires minoritaires et proposons un survol des pistes de réforme possibles.

Groupage et protection du trafic dynamique dans les réseaux WDM

Avec les nouvelles technologies des réseaux optiques, une quantité de données de plus en plus grande peut être transportée par une seule longueur d'onde. Cette quantité peut atteindre jusqu’à 40 gigabits par seconde (Gbps). Les flots de données individuels quant à eux demandent beaucoup moins de bande passante. Le groupage de trafic est une technique qui permet l'utilisation efficace de la bande passante offerte par une longueur d'onde. Elle consiste à assembler plusieurs flots de données de bas débit en une seule entité de données qui peut être transporté sur une longueur d'onde. La technique demultiplexage en longueurs d'onde (Wavelength Division Multiplexing WDM) permet de transporter plusieurs longueurs d'onde sur une même fibre. L'utilisation des deux techniques : WDM et groupage de trafic, permet de transporter une quantité de données de l'ordre de terabits par seconde (Tbps) sur une même fibre optique. La protection du trafic dans les réseaux optiques devient alors une opération très vitale pour ces réseaux, puisqu'une seule panne peut perturber des milliers d'utilisateurs et engendre des pertes importantes jusqu'à plusieurs millions de dollars à l'opérateur et aux utilisateurs du réseau. La technique de protection consiste à réserver une capacité supplémentaire pour acheminer le trafic en cas de panne dans le réseau. Cette thèse porte sur l'étude des techniques de groupage et de protection du trafic en utilisant les p-cycles dans les réseaux optiques dans un contexte de trafic dynamique. La majorité des travaux existants considère un trafic statique où l'état du réseau ainsi que le trafic sont donnés au début et ne changent pas. En plus, la majorité de ces travaux utilise des heuristiques ou des méthodes ayant de la difficulté à résoudre des instances de grande taille. Dans le contexte de trafic dynamique, deux difficultés majeures s'ajoutent aux problèmes étudiés, à cause du changement continuel du trafic dans le réseau. La première est due au fait que la solution proposée à la période précédente, même si elle est optimisée, n'est plus nécessairement optimisée ou optimale pour la période courante, une nouvelle optimisation de la solution au problème est alors nécessaire. La deuxième difficulté est due au fait que la résolution du problème pour une période donnée est différente de sa résolution pour la période initiale à cause des connexions en cours dans le réseau qui ne doivent pas être trop dérangées à chaque période de temps. L'étude faite sur la technique de groupage de trafic dans un contexte de trafic dynamique consiste à proposer différents scénarios pour composer avec ce type de trafic, avec comme objectif la maximisation de la bande passante des connexions acceptées à chaque période de temps. Des formulations mathématiques des différents scénarios considérés pour le problème de groupage sont proposées. Les travaux que nous avons réalisés sur le problème de la protection considèrent deux types de p-cycles, ceux protégeant les liens (p-cycles de base) et les FIPP p-cycles (p-cycles protégeant les chemins). Ces travaux ont consisté d’abord en la proposition de différents scénarios pour gérer les p-cycles de protection dans un contexte de trafic dynamique. Ensuite, une étude sur la stabilité des p-cycles dans un contexte de trafic dynamique a été faite. Des formulations de différents scénarios ont été proposées et les méthodes de résolution utilisées permettent d’aborder des problèmes de plus grande taille que ceux présentés dans la littérature. Nous nous appuyons sur la méthode de génération de colonnes pour énumérer implicitement les cycles les plus prometteurs. Dans l'étude des p-cycles protégeant les chemins ou FIPP p-cycles, nous avons proposé des formulations pour le problème maître et le problème auxiliaire. Nous avons utilisé une méthode de décomposition hiérarchique du problème qui nous permet d'obtenir de meilleurs résultats dans un temps raisonnable. Comme pour les p-cycles de base, nous avons étudié la stabilité des FIPP p-cycles dans un contexte de trafic dynamique. Les travaux montrent que dépendamment du critère d'optimisation, les p-cycles de base (protégeant les liens) et les FIPP p-cycles (protégeant les chemins) peuvent être très stables.

Classification of recycled sands and their applications as fine aggregates for concrete and bituminous mixtures

As a result of the drive towards waste-poor world and reserving the non-renewable materials, recycling the construction and demolition materials become very essential. Now reuse of the recycled concrete aggregate more than 4 mm in producing new concrete is allowed but with natural sand a fine aggregate while. While the sand portion that represent about 30\% to 60\% of the crushed demolition materials is disposed off. To perform this research, recycled concrete sand was produced in the laboratory while nine recycled sands produced from construction and demolitions materials and two sands from natural crushed limestone were delivered from three plants. Ten concrete mix designs representing the concrete exposition classes XC1, XC2, XF3 and XF4 according to European standard EN 206 were produced with partial and full replacement of natural sand by the different recycled sands. Bituminous mixtures achieving the requirements of base courses according to Germany standards and both base and binder courses according to Egyptian standards were produced with the recycled sands as a substitution to the natural sands. The mechanical properties and durability of concrete produced with the different recycled sands were investigated and analyzed. Also the volumetric analysis and Marshall test were performed hot bituminous mixtures produced with the recycled sands. According to the effect of replacement the natural sand by the different recycled sands on the concrete compressive strength and durability, the recycled sands were classified into three groups. The maximum allowable recycled sand that can be used in the different concrete exposition class was determined for each group. For the asphalt concrete mixes all the investigated recycled sands can be used in mixes for base and binder courses up to 21\% of the total aggregate mass.

A relação histórica entre democracia e liberalismo. Um diálogo crítico com Norberto Bobbio.

This work seeks to examine the historical relationships established between liberalism and democracy, questioning the apparent inseparability between the two ideologies. Methodologically construct a hypothetical dialogue with the Italian thinker Norberto Bobbio, one of the most important systematizers of liberal democracy, defending a theoretical and conceptual complementarity between the two ideologies. Following the Bobbio theoretical propose, it presents the political contributions of classical liberalism that the Italian thinker identify as logical and axiological antecedent of the modern democracy, naturalizing and universalizing the principles and ideals of classical liberalism. Going counter, it problematizes the political contributions of classical liberalism, emphasizing the tension between liberal theory and its practice, between the declared political principles and their translation into concrete historical reality, reserving rights and freedoms to property minority and severe restrictions to the majority. The critical analysis of classical liberalism allows questioning the privilege position that Bobbio reserves to the liberalism in the democracy history, to restore the important contribution of illiberal politics currents in the civil, political and social rights history, advocating the democracy with its social character, inclusive and participatory

A legitimidade da jurisdição de primeiro grau na concretização dos direitos fundamentais: proposta de um novo modelo jurídico-administrativo para o segundo grau de jurisdição

The current study is about the legitimacy of lower court jurisdiction as a way of exercising basic legal rights, proposing, therefore, a new legal-administrative model for appellate court. In order to achieve that, a demonstration of the importance of basic legal rights in the Brazilian legal system and an open interpretation in light of the Constitution, as a way to affirm said rights, among which are accessibility to the justice system and proper legal protection, is required. As a result, the legitimacy to access the legal system resides in the Constitution, where the interpreter should seek its basic principles to achieve basic legal rights. It is observed that the lack of credibility regarding lower court decisions comes from the dogmatic view of truth born from power, and therefore, that the truth resides in decisions from appellate court and not from lower court judges. A lower court judge holds a privileged position in providing basic legal rights for citizens, considering his close contact to the parties, the facts, and the evidences brought forth. Class action suit is presented as an important instrument able to lead the lower court judge to provide basic legal rights. Small Claims Courts may be used as paradigm to the creation of Appellate State Courts formed by lower court judges, reserving to higher jurisdiction courts and Federal Circuit Courts, the decisions of original competency and the management and institutional representation of the judiciary system. Instilling an internal democratization of the judiciary is also required, which means the participation of lower court judges in electing their peers to chief positions in the court system, as well as establishing a limited mandate to higher court judges.

Educação superior no período noturno no Brasil: políticas, intenções e omissões

Neste artigo analisa-se a oferta de vagas para o período noturno nos cursos de graduação da educação superior no país, com foco nas universidades públicas estaduais paulistas, a fim de se verificar como estas têm atendido à exigência da Constituição Paulista no sentido de se ofertar pelo menos um terço do total de suas vagas a este período. Avalia-se o impacto dessa exigência no contexto maior da oferta de vagas para a educação superior no país, considerando que a Reforma Universitária em trâmite propõe este mesmo índice para as universidades federais. Uma retrospectiva histórica apresenta a origem da educação superior no país, a presença exclusiva das instituições públicas até meados do século XX, a entrada das instituições religiosas no setor privado em 1946, e os desdobramentos da Reforma Universitária de 1968, marco da expansão do setor privado, que contempla atualmente 71,7% das 4,1 milhões de matrículas em cursos de graduação no país. As reflexões indicam que a expansão da educação superior deve priorizar o crescimento da oferta de vagas no sistema público, buscando uma melhor relação de vagas entre o sistema público e o privado, com ênfase nas demandas crescentes do período noturno, visando a um projeto maior de desenvolvimento do país, ordenado pelo Estado e alicerçado na valorização da Educação.

Inserção e atuação profissional do psicólogo no campo das políticas sociais no Rio Grande do Norte

Since the first years of the regulation of Psychology as a profession in Brazil, it has been carried out studies on the academic graduation, practice, workplace and the social commitment of the category. Despite the diversity of goals and propositions, these studies show that psychologists have been significantly inserted into the social policies field, implying changes in the profession. Since the 1980s, researches in Rio Grande do Norte corroborate the results of national studies. The aim of this paper is to study the insertion and professional career of psychologists in the social policies field in Rio Grande do Norte. In order to accomplish the final results of this paper, it was developed an exploratory research, with the use of a questionnaire, comprised of four parts: general data, academic graduation, complementary graduation and professional experience. The results show three groups of information: characterization, insertion and professional performance. It has been verified expressive insertion of psychologists into the social policies field (41%). The socio-demographic and graduation characteristics are not different from those shown by literature: women, young, from families with an average of 7 to 15 minimum wages. Most of them graduated from public institutions and with post-graduation studies in clinical area. The professionals studied seem to be in worse working conditions compared to the rest of the category, which are also in unfavorable conditions, especially the psychologists who work in social assistance institutions, which present greater problems in its structure. The activities developed do not show anything new, reserving conservative practices instead of effective innovations, emphasizing the discussion on the profession for not considering demands presented to the psychologists in the social policies field. With unique scenario, the eproduction of liberal values corroborates classic performance standards; an unpolitical and uncritical practice is diffused. It is then reconsidered the importance of critical studies that organize goals to the category, with the aim of political transformation concerning the current scenario.

Anomalias eletromagnéticas de corpos tubulares inclinados em contato com o manto de intemperismo usando diferentes arranjos de bobinas-modelamento analógico

A principal aplicação dos métodos eletromagnéticos é a prospecção de sulfetos maciços que pela própria natureza geológica são corpos longos e delgados, encrustados em rocha encaixante resistiva, permitindo a interpretação através de curvas de modelos reduzidos usando semi-planos em meio resistivo (ar-livre). No entanto, com a extensão do uso dos métodos eletromagnéticos em regiões que tem um manto de intemperismo de parcialmente condutivo a condutivo, como na região Amazônica e nas regiões semi-áridas ou de climas tropicais , esta técnica de interpretação tem levado a resultados bem diferentes da situação real. O objetivo deste trabalho é estudar a influência do manto de intemperismo em contato ôhmico com o corpo-alvo, utilizando os arranjos de bobinas horizontal coplanar (HCP), vertical coplanar (VCP), vertical coaxial (VCA) e mínimo (PERP), através do modelagem analógico. Para simular o corpo foram utilizadas placas de grafite, cujas dimensões satisfazem a condição de semi-plano. Para simular o manto foi usada uma solução de cloreto de amônia. De forma geral, os resultados obtidos com os diversos arranjos apresentaram as mesmas características, ressalvada as diferenças peculiares de cada arranjo. De forma resumida tem-se as seguintes alterações na anomalia atribuídas à um manto condutivo em contato ôhmico com o corpo-alvo: i) Há rotação de fase, que inicialmente é em sentido anti-horário, mas mais adiante, com o aumento do número de indução do manto , torna-se horária; ii) Alteração na forma padrão do perfil de quadratura devido ao surgimento do pico extra no lado a favor do mergulho; iii) Só há uniformidade de comportamento para o pico-a-pico contra da quadratura, que cresce com o aumento número de indução do manto. Maiores anomalias são obtidas com o sistema horizontal coplanar e as menores com o vertical coplanar. Neste estudo não foi observado formação de pico extra nas anomalias do arranjo vertical coplanar. Ainda, os efeitos de cobertura são mais acentuados no sistema horizontal coplanar comparados aos sistemas de bobina vertical e em anomalias de semi-planos menos inclinados e em menor profundidade.

Writers Write! University Creative - Writing Workshop with Author

Admission: LU Students, Faculty and Staff interested in reserving a seat to participate must sign up by November 1, 2015 here: http://goo.gl/forms/WDqM7RXlic

The work situation and class position of Brazilian engineers

This thesis analyses the work situation and class position of Brazilian engineers through a Marxist perspective. The research is based on two case studies, one focused on a large German steel company based in Brazil and the other on a large Brazilian energy corporation. The fieldwork involved 114 interviews, with engineers from different hierarchical positions in these two companies. Data was also gathered through interviews with representatives from the companies, the Council of Engineering, the Engineering Education System and the Engineers Trade Unions. The findings show that the engineering profession in Brazil has shifted from its initial condition as a liberal profession to an organizational profession, with the country's industrial deployment. Both companies consider all salaried workers as employees, including managers. Hence they are subject to the company's general personnel policies. The multinational company controls labour more rigidly than the national company, as well as reserving its top positions for its home country's executives. Although no deskilling process was found, engineers of both companies performed simple work, which required less engineering knowledge than they had learned from school. Engineers have little autonomy, authority and participation in decision making and are subject to direct supervision, performance evaluation, time control, overtime work, productivity and to poor working conditions in the multinational company. The majority of the engineers supervised other workers without being in a managerial position. They found that to move into management, was a good way to improve their autonomy, authority, prestige, salary, status, power and professional pride. Despite ideological divisions between capital and labour, most of the engineers were unionised and saw unions as the right way to deal with the employer.