A Dynamic Solvency Approach for Life Insurance

The paper investigates risk management processes in life insurance, in a perspective consistent with the framework of Solvency II. The paper starts with the breakdown of the business dynamics. This analysis provides for a complete depiction of risk and value driver within life business. The corresponding map is then put into the solvability context, in order to formally identify the equilibrium conditions. Considerations about the technical equilibrium of an insurance portfolio and the financial regulation lead to a dynamic system of solvency assessment. The formal model is applied to a life annuity cohort in a stochastic context in order to exemplify the potential of the model, especially referred to the need to frame solvency assessment in a dynamic perspective.Life insurance, financial risk, insolvency risk, capital adequacy, financial regulation

The current value of the mathematical provision: a financial risk prospect

The paper addresses the question of the calculation of the current value of the mathematical provision and moulds it in a deterministic and stochastic scenario, using a proper term structure of interest rates estimated by means of a Cox-Ingersoll-Ross model. It provides a complete and original year-by-year evaluation model for the business performance, and a closed solution for the current evaluation of the reserve, together with a comprehensive insight into the dynamics of the reserve connected to the selection of a defined term structure of interest rates. Moreover, the calculation of the VaR of the mathematical provision is prospected as risk measure useful to appreciate also the evaluation rate risk. Future research prospects concern the selection of the stochastic process used to describe the dynamics of the interest rates and the possible managerial and regulatory application of a VaR measure. The modelling has been applied, as an exemplification, to a life annuity portfolio but it can be easily replicated for any kind of policy and any kind of portfolios even non homogeneous.Risk indicators, life insurance, solvency, financial risk, demographic risk

Solvency of Life Insurance Companies: Methodological Issues

The paper deals with solvency assessment for life insurance business; some methodological issues concerning the solvency of life insurance companies, particularly connected to the investment risk, are suggested. Considerations about the technical equilibrium of an insurance portfolio and the financial regulation lead to a dynamic system involving risk measure and solvency assessment. The formal model is applied to a life annuity cohort in a stochastic context in order to exemplify the potential of the model, especially referred to the need to frame solvency assessment in a dynamic perspective

Effect of the Counterion on Circularly Polarized Luminescence of Europium(III) and Samarium(III) Complexes

Each enantiopure europium(III) and samarium(III) nitrate and triflate complex of the ligand L, with L = N,N'-bis(2-pyridylmethylidene)-1,2-(R,R + S,S)-cyclohexanediamine ([LnL(tta)2]·NO3 and [LnL(tta)2(H2O)]·CF3SO3, where tta = 2-thenoyltrifluoroacetylacetonate) has been synthesized and characterized from a spectroscopic point of view, using a chiroptical technique such as electronic circular dichroism (ECD) and circularly polarized luminescence (CPL). In all cases, both ligands are capable of sensitizing the luminescence of both metal ions upon absorption of light around 280 and 350 nm. Despite small differences in the total luminescence (TL) and ECD spectra, the CPL activity of the complexes is strongly influenced by a concurrent effect of the solvent and counterion. This particularly applies to europium(III) complexes where the CPL spectra in acetonitrile can be described as a weighed linear combination of the CPL spectra in dichloromethane and methanol, which show nearly opposite signatures when their ligand stereochemistries are the same. This phenomenon could be related to the presence of equilibria interconverting solvated, anion-coordinated complexes and isomers differing by the relative orientation of the tta ligands. The difference between some bond lengths (M-N bonds, in particular) in the different species could be at the basis of such an unusual CPL activity

On the impact of recycling strategies on energy demand and CO2 emissions when manufacturing Al-based components

The industrial world is facing the challenge of reducing emissions by means of energy- and resource-efficient manufacturing strategies. In some cases, the exerted emissions and the energy demands related to conventional manufacturing processes are not as intensive as those required to extract and produce the raw materials of which the workpieces are made. Therefore, the consciousness of the impact of material usage and the eco-informed choice of the end-of-life scenarios are both needed in view of sustainable development. Aim of this paper is to offer a contribution to a better understanding of the environmental impact of forming and machining processes, for the production of Al-based components, when varying the aluminum recycling strategy

ANTITHROMBOTIC PROPHYLAXIS IN MICROSURGERY

Background. The most common complication of microsurgical reconstruction is graft failure secondary to thrombosis. It is clear that thromboprophylaxis is helpful for a successful microsurgery. However, it's also obvious that thrombosis can't be avoided in cases of poor microsurgical technique. There is no consensus regarding the use of anticoagulation therapy during and after microsurgery. The authors compared two different antithrombotic prophylaxis protocols used in the past ten years, and analyzed the effectiveness and risks of different pharmacological protocols. Materials and methods. The authors performed a retrospective review of microsurgical patients operated between 2005-2014 by the same surgical team. 37 patients (Group A) operated between 2005-2010 and 45 patients (Group B) operated between 2011-2014 were selected. The majority of patients had generic and specific risk factors. Different thromboprophylaxis therapies were used in the two groups. While reviewing medical records, the authors compared Hb values before and after surgery, the free flap success rate, the need for blood transfusions intra and post-op in order to assess the efficacy (failure rate), and safety of the administered antithrombotic therapies (bleeding complications). Results. The pharmacological protocol used for the patients from Group B was more effective and less risky compared to results obtained from Group A. The therapy used in Group B did not increase the risk of bleeding and postoperative blood loss, and the flap success rate in Group B was significantly higher than that of Group A (p<0.000). Discussion and Conclusion. This study suggests that even in a perfect microanastomosis, prothrombotic mechanisms are activated, which lead to flap failure. A reasoned and balanced drug therapy can counteract the natural tendency of pedicle thrombosis, without exposing the patient to bleeding complications. Vasoactive drugs, although still experimental in microsurgery, may be used in the near future in order to further improve the success rates of free flap

Some empirical results on nearest-neighbour pseudo-populations for resampling from spatial populations

In finite populations, pseudo-population bootstrap is the sole method preserving the spirit of the original bootstrap performed from iid observations. In spatial sampling, theoretical results about the convergence of bootstrap distributions to the actual distributions of estimators are lacking, owing to the failure of spatially balanced sampling designs to converge to the maximum entropy design. In addition, the issue of creating pseudo-populations able to mimic the characteristics of real populations is challenging in spatial frameworks where spatial trends, relationships, and similarities among neighbouring locations are invariably present. In this paper, we propose the use of the nearest-neighbour interpolation of spatial populations for constructing pseudo-populations that converge to real populations under mild conditions. The effectiveness of these proposals with respect to traditional pseudo-populations is empirically checked by a simulation stud

A Dynamic Solvency Approach for Life Insurance

The paper investigates risk management processes in life insurance, in a perspective consistent with the framework of Solvency II. The paper starts with the breakdown of the business dynamics. This analysis provides for a complete depiction of risk and value driver within life business. The corresponding map is then put into the solvability context, in order to formally identify the equilibrium conditions. Considerations about the technical equilibrium of an insurance portfolio and the financial regulation lead to a dynamic system of solvency assessment. The formal model is applied to a life annuity cohort in a stochastic context in order to exemplify the potential of the model, especially referred to the need to frame solvency assessment in a dynamic perspective

An Effective Method for Borehole Imaging of Buried Tunnels

Detection and imaging of buried tunnels is a challenging problem which is relevant to both geophysical surveys and security monitoring. To comply with the need of exploring large portions of the underground, electromagnetic measurements carried out under a borehole configuration are usually exploited. Since this requires to drill holes in the soil wherein the transmitting and receiving antennas have to be positioned, low complexity of the involved apparatus is important. On the other hand, to effectively image the surveyed area, there is the need for adopting efficient and reliable imaging methods. To address these issues, in this paper we investigate the feasibility of the linear sampling method (LSM), as this inverse scattering method is capable to provide almost real-time results even when 3D images of very large domains are built, while not requiring approximations of the underlying physics. In particular, the results of the reported numerical analysis show that the LSM is capable of performing the required imaging task while using a quite simple measurement configuration consisting of two boreholes and a few number of multiview-multistatic acquisitions

A quasi-complete mechanical model for a double torsion pendulum

We present a dynamical model for the double torsion pendulum nicknamed PETER, where one torsion pendulum hangs in cascade, but off-axis, from the other. The dynamics of interest in these devices lies around the torsional resonance, that is at very low frequencies (mHz). However, we find that, in order to properly describe the forced motion of the pendulums, also other modes must be considered, namely swinging and bouncing oscillations of the two suspended masses, that resonate at higher frequencies (Hz). Although the system has obviously 6+6 Degrees of Freedom, we find that 8 are sufficient for an accurate description of the observed motion. This model produces reliable estimates of the response to generic external disturbances and actuating forces or torques. In particular, we compute the effect of seismic floor motion (tilt noise) on the low frequency part of the signal spectra and show that it properly accounts for most of the measured low frequency noise.Comment: 15 pages, 6 figure