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 Elasticity of Substitution in Demand for Non-Tradable Goods in Uruguay

This paper`s main goal is to estimate the elasticity of substitution of non-tradable goods, paying special attention to empirical problems related to time-varying parameters, missing regressors and model misspecification. To that end, the paper creates a database and estimates, via three alternative methods, quarterly series of consumption and prices of tradable and non-tradable goods for Uruguay for the period 1983-2002. The econometric estimations of the parameter of interest were performed with VEC models. These estimates give a long-run elasticity of substitution of %0. 46 in the principal model and %0. 71 and %0. 75 in the two alternative models. Parametric stability tests are performed on the principal model, and the predictive ability of the model is also tested. It is concluded that, not only is the parameter of interest stable over time, but the model also has good predictive properties, even when tested in a very demanding environment: the period following Uruguay`s change of exchange rate regime in mid-2002.

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

The role of microRNAs in thyroid carcinomas

Thyroid cancers (TCs) are the most common malignancies of endocrine organs. They originate from cells of different origin within the thyroid gland, which is located at the base of the neck. Several forms of TCs have been classified and great variability is observed in molecular, cellular and clinical features. The most common forms have favorable prognosis but a number of very aggressive TCs, which are characterized by a less differentiated cellular phenotype, have no effective treatment at the moment. While TC causes are not completely understood, many genetic factors involved in their onset have been discovered. In particular, activating mutations of BRAF, RET or RAS genes are known to be specifically associated with TC initiation, progression and outcome. The involvement of microRNAs in thyroid neoplasms has recently changed the paradigm for biomarker discovery in TC, suggesting that these small non-coding RNAs could be used to develop, refine or strengthen strategies for diagnosis and management of TCs. In this review, the importance of microRNA profiling in TC is explored suggesting that these molecules can be included in procedures that can perform better than any known clinical index in the identification of adverse outcomes

Reassessing the projections of the World Water Development Report

Abstract The 2018 edition of the United Nations World Water Development Report stated that nearly 6 billion peoples will suffer from clean water scarcity by 2050. This is the result of increasing demand for water, reduction of water resources, and increasing pollution of water, driven by dramatic population and economic growth. It is suggested that this number may be an underestimation, and scarcity of clean water by 2050 may be worse as the effects of the three drivers of water scarcity, as well as of unequal growth, accessibility and needs, are underrated. While the report promotes the spontaneous adoption of nature-based-solutions within an unconstrained population and economic expansion, there is an urgent need to regulate demography and economy, while enforcing clear rules to limit pollution, preserve aquifers and save water, equally applying everywhere. The aim of this paper is to highlight the inter-linkage in between population and economic growth and water demand, resources and pollution, that ultimately drive water scarcity, and the relevance of these aspects in local, rather than global, perspective, with a view to stimulating debate

On the impact of lattice parameter accuracy of atomistic simulations on the microstructure of Ni-Ti shape memory alloys

Ni-Ti is a key shape memory alloy (SMA) system for applications, being cheap and having good mechanical properties. Recently, atomistic simulations of Ni-Ti SMAs have been used with the purpose of revealing the nano-scale mechanisms that control superelasticity and the shape memory effect, which is crucial to guide alloying or processing strategies to improve materials performance. These atomistic simulations are based on molecular dynamics modelling that relies on (empirical) interatomic potentials. These simulations must reproduce accurately the mechanism of martensitic transformation and the microstructure that it originates, since this controls both superelasticity and the shape memory effect. As demonstrated by the energy minimization theory of martensitic transformations [Ball, James (1987) Archive for Rational Mechanics and Analysis, 100:13], the microstructure of martensite depends on the lattice parameters of the austenite and the martensite phases. Here, we compute the bounds of possible microstructural variations based on the experimental variations/uncertainties in the lattice parameter measurements. We show that both density functional theory and molecular dynamics lattice parameters are typically outside the experimental range, and that seemingly small deviations from this range induce large deviations from the experimental bounds of the microstructural predictions, with notable cases where unphysical microstructures are predicted to form. Therefore, our work points to a strategy for benchmarking and selecting interatomic potentials for atomistic modelling of shape memory alloys, which is crucial to modelling the development of martensitic microstructures and their impact on the shape memory effect

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

Conducting a virtual ensemble with a kinect device

This paper presents a gesture-based interaction technique for the implementation of an orchestra conductor and a virtual ensemble, using a 3D camera-based sensor to capture user’s gestures. In particular, a human-computer interface has been developed to recognize conducting gestures using a Microsoft Kinect device. The system allows the conductor to control both the tempo in the piece played as well as the dynamics of each instrument set independently. In order to modify the tempo in the playback, a time-frequency processing-based algorithmis used. Finally, an experiment was conducted to assess user’s opinion of the system as well as experimentally confirm if the features in the system were effectively improving user experience or not.This work has been funded by the Ministerio de Economia y Competitividad of the Spanish Government under Project No. TIN2010-21089-C03-02 and Project No. IPT-2011-0885-430000 and by the Junta de Andalucia under Project No. P11-TIC-7154. The work has been done at Universidad de Malaga. Campus de Excelencia Internacional Andalucia Tech

Human capital and international portfolio diversification:a reappraisal

We study the implications of human capital hedging for international portfolio choice. First, we document that, at the household level, the degree of home country bias in equity holdings is increasing in the labor income to financial wealth ratio. Second, we show that a heterogeneous agent model in which households face short selling constraints and labor income risk, calibrated to match both micro and macro labor income and asset returns data, can both rationalize this finding and generate a large aggregate home country bias in portfolio holdings. Third, we find that the empirical evidence supporting the belief that the human capital hedging motive should skew domestic portfolios toward foreign assets, is driven by an econometric misspecification rejected by the data

Unexpected effect of Ru-substitution in lightly doped manganites

In this Communication we report about the unexpected effect of ruthenium doping in sodium ligthly-doped manganites. This effect seems to be in contrast with the usual model applied to describe the effect of this magnetic ion into the manganite structure. We propose a possible compensation mechanism which seems also able to describe other peculiar features encountered in these materials.Comment: 3 pages, 2 Figures to appear in ChemCom