Financing the embedded value of life insurance portfolios

In May 2004 the CFO Forum harmonized the various efforts of reporting the embedded valueof life insurance companies by issuing the European Embedded Value (EEV) Principles.In this working paper a methodology is proposed to derive a maximum lending amountfrom EEV figures without much additional data requirements from the originating insurer. The approach chosen is similar to that of other financing areas, e.g. real estate finance, where first a prudent best estimate valuation is done and later risk deductions are performed in the form of applying loan to value ratios, e.g. 60-80 % of the prudent amount. Here, this prudent value is called bankable embedded value and the loan to value analysis presented leads to the maximum lending amount. The deductions proposed to arrive at a maximum lending amount are based on parameter adjustments and risk allowances for unexpected risks. There is an analogy with insurers for determining their own capital needs. The methodology proposed is based on the stress test approach which increasingly gains popularity with insurance supervisors in Europe. --European embedded value,embedded value,life insurance policies,maximum lending amount,required capital,risk analysis,risk discount rate,value reporting and analysis,value sensitivity analysis

Internationale Cash Flow-Rechnungen aus Eigner- und Gläubigersicht

Cash flow statements have gained popularity worldwide and are now mandatory also under German GAAP for listed companies. Based on International Accounting Standard No. 7 we review their analytical value from both a shareholder's and a creditor's point of view. Cash flow patterns do vary from earnings patterns. Income earned is not identical with cash received. Enron and some other spectacular insolvency cases are just examples of this. In the first part of this working paper we present the concept of the cash flow statement and discuss cash flow patterns of firms, cash flow ratios and their usefulness, but also the limitations the analyst should be aware of. In the second part we analyse the relevance of cash flow statements for banking institutions. Banks also have to present them in their annual accounts, but interestingly both investment and credit analysts make little use of them. We explore the peculiarities of the business model of banking, its impact on cash flow as well as the information needed for analysing the strategic liquidity of a bank. Based on our findings, we do not recommend investment and credit analysts to change their opinion on the usefulness of cash flow statements for banks

Internationale Cash Flow-Rechnungen aus Eigner- und Gläubigersicht

Cash flow statements have gained popularity worldwide and are now mandatory also under German GAAP for listed companies. Based on International Accounting Standard No. 7 we review their analytical value from both a shareholders and a creditors point of view. Cash flow patterns do vary from earnings patterns. Income earned is not identical with cash received. Enron and some other spectacular insolvency cases are just examples of this. In the first part of this working paper we present the concept of the cash flow statement and discuss cash flow patterns of firms, cash flow ratios and their usefulness, but also the limitations the analyst should be aware of. In the second part we analyse the relevance of cash flow statements for banking institutions. Banks also have to present them in their annual accounts, but interestingly both investment and credit analysts make little use of them. We explore the peculiarities of the business model of banking, its impact on cash flow as well as the information needed for analysing the strategic liquidity of a bank. Based on our findings, we do not recommend investment and credit analysts to change their opinion on the usefulness of cash flow statements for banks. --Cash flow statements for firms,cash flow statements for banks,cash flow analysis,shareholder value analysis,debtholder value analysis,credit analysis,analysis of accounting policy

Financing the embedded value of life insurance portfolios

In May 2004 the CFO Forum harmonized the various efforts of reporting the embedded valueof life insurance companies by issuing the European Embedded Value (EEV) Principles.In this working paper a methodology is proposed to derive a maximum lending amountfrom EEV figures without much additional data requirements from the originating insurer. The approach chosen is similar to that of other financing areas, e.g. real estate finance, where first a prudent best estimate valuation is done and later risk deductions are performed in the form of applying loan to value ratios, e.g. 60-80 % of the prudent amount. Here, this prudent value is called bankable embedded value and the loan to value analysis presented leads to the maximum lending amount. The deductions proposed to arrive at a maximum lending amount are based on parameter adjustments and risk allowances for unexpected risks. There is an analogy with insurers for determining their own capital needs. The methodology proposed is based on the stress test approach which increasingly gains popularity with insurance supervisors in Europe

FEMaLe: The use of machine learning for early diagnosis of endometriosis based on patient self-reported data—Study protocol of a multicenter trial

Introduction: Endometriosis is a chronic disease that affects up to 190 million women and those assigned female at birth and remains unresolved mainly in terms of etiology and optimal therapy. It is defined by the presence of endometrium-like tissue outside the uterine cavity and is commonly associated with chronic pelvic pain, infertility, and decreased quality of life. Despite the availability of various screening methods (e.g., biomarkers, genomic analysis, imaging techniques) intended to replace the need for invasive surgery, the time to diagnosis remains in the range of 4 to 11 years. Aims: This study aims to create a large prospective data bank using the Lucy mobile health application (Lucy app) and analyze patient profiles and structured clinical data. In addition, we will investigate the association of removed or restricted dietary components with quality of life, pain, and central pain sensitization. Methods: A baseline and a longitudinal questionnaire in the Lucy app collects real-world, self-reported information on symptoms of endometriosis, socio-demographics, mental and physical health, economic factors, nutritional, and other lifestyle factors. 5,000 women with confirmed endometriosis and 5,000 women without diagnosed endometriosis in a control group will be enrolled and followed up for one year. With this information, any connections between recorded symptoms and endometriosis will be analyzed using machine learning. Conclusions: We aim to develop a phenotypic description of women with endometriosis by linking the collected data with existing registry-based information on endometriosis diagnosis, healthcare utilization, and big data approach. This may help to achieve earlier detection of endometriosis with pelvic pain and significantly reduce the current diagnostic delay. Additionally, we may identify dietary components that worsen the quality of life and pain in women with endometriosis, upon which we can create real-world data-based nutritional recommendations

Latin Hypercube Sampling with Dependence and Applications in Finance

In Monte Carlo simulation, Latin hypercube sampling (LHS) [McKay et al. (1979)] is a well-known variance reduction technique for vectors of independent random variables. The method presented here, Latin hypercube sampling with dependence (LHSD), extends LHS to vectors of dependent random variables. The resulting estimator is shown to be consistent and asymptotically unbiased. For the bivariate case and under some conditions on the joint distribution, a central limit theorem together with a closed formula for the limit variance are derived. It is shown that for a class of estimators satisfying some monotonicity condition, the LHSD limit variance is never greater than the corresponding Monte Carlo limit variance. In some valuation examples of financial payoffs, when compared to standard Monte Carlo simulation, a variance reduction of factors up to 200 is achieved. LHSD is suited for problems with rare events and for high-dimensional problems, and it may be combined with Quasi-Monte Carlo methods

Embedded Interests and the Managerial Local State: Methanol Fuel-Switching in China

This paper analyzes the determinants of alternative automobile fuel regulation and development support with a particular focus on methanol fuel. We find that embedded interests, bureaucratic reforms, and political circumstances in the Chinese national, provincial, and municipal governments have all shaped policy outcomes in this area. The paper seeks to explain why at, the national level, support for alternative fuels has waned and finds that the concerns of state oil majors and disorganization during the process of national bureaucratic restructuring have been the deciding factors. Interestingly, at the sub-national level promotion of methanol continues unabated in some places. At the local level, business relationships as well as the embedded economic and personal interests of local leaders help to explain managerial local government behavior and sheds light on why government officials actively create and manage methanol fuel business opportunities through local standardization, subsidies, and hands-on management of SOE opposition. The switch towards methanol fuel was more successful in localities where individuals, either government officials or enterprise managers, formed an alliance and made this their 'pet projects'. The analysis draws on 55 interviews conducted between June and October 2010 in Shanxi, a major coal-producing province which has supported methanol fuel-switching programs for over ten years. The findings contribute to debates about the condition of the local state in China. The argument put forward in this paper is that because of limited state capacity at the central level and insufficient concerns for the development of alternative fuels in the short-term, some sub-national governments with strong embedded interests promote certain alternative fuels by taking on active managerial roles, adopting creative and ad-hoc strategies to fill in the national level policy gap at the local level

Impure Public Goods and Technological Interdependencies

Impure public goods represent an important group of goods. Almost every public good exerts not only effects which are public to all but also effects which are private to the producer of this good. What is often omitted in the analysis of impure public goods is the fact that – regularly – these private effects can also be generated independently of the public good. In our analysis we focus on the effects alternative technologies – independently generating the private effects of the public good – may have on the provision of impure public goods. After the investigation in an analytical impure public good model, we numerically simulate the effects of alternative technologies in a parameterized model for climate policy in Germany

A Spatial Interpretation of the Persistency of China's Provincial Inequality

China's rapid economic growth in recent decades has not led to balanced income distribution: inter- and intra-provincial income inequality have been increasing and their respective contribution to the total income inequality remains relatively stable. Based on a new set of prefectural database during a relatively longer period from 1994 to 2008 on Chinese economic development, this paper investigates the nexus between the spatial dependence and income inequality in China on a prefectural level. Using the decomposition results of the inequality and spatial dependence of inter- and intra-provincial groups, and also the choropleth maps of clusters in China, this paper reaches the conclusion that clusters of prefectures and provinces with high positive spatial association are persistent over years in China, and the resulting highly correlated income disparity on both inter- and intra-provincial levels might be lasting for a relatively longer period, implying that spatial dependence is a contributing factor to the regional income inequality in a spatial context

Demographic, clinical and antibody characteristics of patients with digital ulcers in systemic sclerosis: data from the DUO Registry

OBJECTIVES: The Digital Ulcers Outcome (DUO) Registry was designed to describe the clinical and antibody characteristics, disease course and outcomes of patients with digital ulcers associated with systemic sclerosis (SSc). METHODS: The DUO Registry is a European, prospective, multicentre, observational, registry of SSc patients with ongoing digital ulcer disease, irrespective of treatment regimen. Data collected included demographics, SSc duration, SSc subset, internal organ manifestations, autoantibodies, previous and ongoing interventions and complications related to digital ulcers. RESULTS: Up to 19 November 2010 a total of 2439 patients had enrolled into the registry. Most were classified as either limited cutaneous SSc (lcSSc; 52.2%) or diffuse cutaneous SSc (dcSSc; 36.9%). Digital ulcers developed earlier in patients with dcSSc compared with lcSSc. Almost all patients (95.7%) tested positive for antinuclear antibodies, 45.2% for anti-scleroderma-70 and 43.6% for anticentromere antibodies (ACA). The first digital ulcer in the anti-scleroderma-70-positive patient cohort occurred approximately 5 years earlier than the ACA-positive patient group. CONCLUSIONS: This study provides data from a large cohort of SSc patients with a history of digital ulcers. The early occurrence and high frequency of digital ulcer complications are especially seen in patients with dcSSc and/or anti-scleroderma-70 antibodies