Prospective Lifetables: Life Insurance Pricing and Hedging in a Stochastic Mortality Environment

In life insurance, actuaries have traditionally calculated premiums and reserves using a deterministic mortality intensity, which is a function of the age of the insured only. Over the course of the 20th century, the population of the industrialized world underwent a major mortality transition, with a dramatic decline in mortality rates. The mortality decline has been dominated by two major trends: a reduction in mortality due to infectious diseases affecting mainly young ages, and a decrease in mortality at old ages. These mortality improvements have to be taken into account to price long-term life insurance products and to analyse the sustainability of social security systems. In this paper, we argue that pricing and reserving for pension and life insurance products requires dynamic (or prospective) lifetables. We briefly review classic and recent projection methods and adopt a Poisson log-bilinear approach to estimate Portuguese Prospective Lifetables. The advantages of using dynamic lifetables are twofold. Firstly, it provides more realistic premiums and reserves, and secondly, it quantifies the risk of the insurance companies associated with the underlying longevity risks. Finally, we discuss possible ways of transferring the systematic mortality risk to other parties.

Linfomas: síntese anátomo-clínica

As neoplasias linfóides têm um espectro clínico que varia entre as mais indolentes e as mais agressivas das neoplasias humanas. Estes cancros têm origem nas células do sistema imunitário nos seus diferentes estádios de diferenciação, podendo apresentar-se como leucemia (isto é, envolvimento primário do sangue e medula óssea) ou como um linfoma (um tumor sólido do sistema imunitário), embora esta apresentação não seja estanque (podendo ocorrer transformação dum linfoma numa leucemia). Os linfomas mais frequentes são o Linfoma B Difuso de Células Grandes e o Linfoma Folicular, manifestam-se habitualmente por linfadenopatia(s), massa extranodal e/ou sinais de envolvimento medular, com ou sem sintomas sistémicos. A imunohistoquímica aplicada à biopsia estabelece o diagnóstico definitivo, utilizando comummente os marcadores CD20, CD79a, CD10, BCL-6, BCL-2 e o CD5. Estes, aliados à morfologia, permitem estabelecer o diagnóstico diferencial com outros linfomas de células grandes (no caso do primeiro) ou de células pequenas (no segundo). O linfoma de Hodgkin é historicamente segregado das outras neoplasias linfóides, muito devido à ausência de positividade para marcadores de linhagem B ou T. Actualmente considerado (na maioria dos casos) de origem B, a análise morfológica e a marcação das suas células características com CD30 e CD15 definem o seu diagnóstico, auxiliando na distinção com outros linfomas de células grandes. Tendo como pilar a Classificação 2008 da Organização Mundial de Saúde das Neoplasias Hematopoiéticas e dos Tecidos Linfóides, este trabalho abordou a classificação dos linfomas, com particular ênfase para a sua morfologia e imunofenotipagem, definindo a histologia clássica como "gold standard" para o diagnóstico destas neoplasias, integrando estes conhecimentos nos quadros clínicos respectivos.Lymphoid neoplasms have a clinical spectrum ranging from the most indolent to the most aggressive of human malignancies. These cancers arise from cells of the immune system at different stages of differentiation, which may be presented as a leukemia (ie, primary involvement of blood and bone marrow) or as a lymphoma (a solid tumor of the immune system), although this presentation is not tight (what may occur more frequently, the processing of a lymphoma into leukemia). The most common Lymphomas are Diffuse Large B Cell Lymphoma and Follicular Lymphoma, usually manifested by lymphadenopathy (s), extranodal mass and/or signs of bone marrow involvement, with or without systemic symptoms. Immunohistochemistry applied to biopsy makes the definitive diagnosis, commonly using the markers CD20, CD79a, CD10, BCL-6, BCL-2 and CD5. These, combined with the morphology, can establish the diagnosis with other large cell lymphomas (in the first case) or small cell (in the second case). Hodgkin’s lymphoma is historically segregated from other lymphoid neoplasms, mostly because of the absence of positive markers of lineage B or T. Currently is considered (in most cases) of B origin. The morphological study and positivity of the characteristic cells for CD30 and CD15 allows the diagnosis, aiding in the distinction with other large-cell lymphomas. Based in the 2008 World Health Organization of Tumors of Hematopoietic and Lymphoid Tissues, this work addressed the classification of lymphomas, with particular emphasis on their morphology and immunophenotype, setting the histology as the gold standard for diagnosis of these neoplasms and correlating with the specific clinical parameters

Linfomas: síntese anátomo-clínica

As neoplasias linfóides têm um espectro clínico que varia entre as mais indolentes e as mais agressivas das neoplasias humanas. Estes cancros têm origem nas células do sistema imunitário nos seus diferentes estádios de diferenciação, podendo apresentar-se como leucemia (isto é, envolvimento primário do sangue e medula óssea) ou como um linfoma (um tumor sólido do sistema imunitário), embora esta apresentação não seja estanque (podendo ocorrer transformação dum linfoma numa leucemia). Os linfomas mais frequentes são o Linfoma B Difuso de Células Grandes e o Linfoma Folicular, manifestam-se habitualmente por linfadenopatia(s), massa extranodal e/ou sinais de envolvimento medular, com ou sem sintomas sistémicos. A imunohistoquímica aplicada à biopsia estabelece o diagnóstico definitivo, utilizando comummente os marcadores CD20, CD79a, CD10, BCL-6, BCL-2 e o CD5. Estes, aliados à morfologia, permitem estabelecer o diagnóstico diferencial com outros linfomas de células grandes (no caso do primeiro) ou de células pequenas (no segundo). O linfoma de Hodgkin é historicamente segregado das outras neoplasias linfóides, muito devido à ausência de positividade para marcadores de linhagem B ou T. Actualmente considerado (na maioria dos casos) de origem B, a análise morfológica e a marcação das suas células características com CD30 e CD15 definem o seu diagnóstico, auxiliando na distinção com outros linfomas de células grandes. Tendo como pilar a Classificação 2008 da Organização Mundial de Saúde das Neoplasias Hematopoiéticas e dos Tecidos Linfóides, este trabalho abordou a classificação dos linfomas, com particular ênfase para a sua morfologia e imunofenotipagem, definindo a histologia clássica como "gold standard" para o diagnóstico destas neoplasias, integrando estes conhecimentos nos quadros clínicos respectivos.Lymphoid neoplasms have a clinical spectrum ranging from the most indolent to the most aggressive of human malignancies. These cancers arise from cells of the immune system at different stages of differentiation, which may be presented as a leukemia (ie, primary involvement of blood and bone marrow) or as a lymphoma (a solid tumor of the immune system), although this presentation is not tight (what may occur more frequently, the processing of a lymphoma into leukemia). The most common Lymphomas are Diffuse Large B Cell Lymphoma and Follicular Lymphoma, usually manifested by lymphadenopathy (s), extranodal mass and/or signs of bone marrow involvement, with or without systemic symptoms. Immunohistochemistry applied to biopsy makes the definitive diagnosis, commonly using the markers CD20, CD79a, CD10, BCL-6, BCL-2 and CD5. These, combined with the morphology, can establish the diagnosis with other large cell lymphomas (in the first case) or small cell (in the second case). Hodgkin’s lymphoma is historically segregated from other lymphoid neoplasms, mostly because of the absence of positive markers of lineage B or T. Currently is considered (in most cases) of B origin. The morphological study and positivity of the characteristic cells for CD30 and CD15 allows the diagnosis, aiding in the distinction with other large-cell lymphomas. Based in the 2008 World Health Organization of Tumors of Hematopoietic and Lymphoid Tissues, this work addressed the classification of lymphomas, with particular emphasis on their morphology and immunophenotype, setting the histology as the gold standard for diagnosis of these neoplasms and correlating with the specific clinical parameters

Knowledge Organization and the UN 2030 Agenda through the lens of interoperability

Preprint Version.This paper seeks to understand the relationship between the technological and semantic interoperability (metadata) of information systems with sustainability, a global proposal of the United Nations 2030 Agenda for the development of our societies. Through a systematic literature review and an analysis of the results, it intends to understand the contribution of knowledge organization and interoperability to the enhancement of sustainable development. Two research questions were addressed: What is the role of interoperable systems in environmental, social, and economic development? How can knowledge organization and interoperability contribute to sustainable development? The results show that interoperability is seen as fundamental to sustainable development, especially when building integrated and standardized information systems. The role of interoperable systems in environmental, social, and economic development is relevant, as knowledge organization and interoperability contribute, indirectly but decisively, to sustainable development. They enable the exchange of information, encourage the construction of global communities of practice and overcome local limitations and deficits. It is concluded that knowledge organization plays a cross-cutting role in projects, which aim to implement the Sustainable Development Goals.info:eu-repo/semantics/publishedVersio

The Classification Plan for Local Administration : Portuguese Archives and the Knowledge Organization in Practice

This paper presents recent developments in Portuguese local archives’ classification policies. Following several professional workgroups and reinforced with a political mandate, local administration archives are putting in practice a new knowledge organization approach through the development of a national Classification Plan for Local Administration (CPLA). New archival legislation is ready to be officialy published and its impact is expected to largely modify administration practices. The main objective of the study is to discuss the knowledge organization solutions embedded in the creation of CPLA. To achieve this goal, a literature review was performed, together with a project management approach, exploring a qualitative analysis of the problems and the solutions found during CPLA’s design. The Functional Macrostructure for Public Administration information is the main framework for the development of CPLA, and contributes to the emergence of a new paradigm in Information Management. Such paradigm intersects functions with business processes, transversally and supra-institutionally, and considers the different public administration bodies as open systems. As an outcome, the public administration and, in particular, the archival community receive a new standardized information management tool that serves the classification, appraisal and selection of archival information.info:eu-repo/semantics/publishedVersio

Immunization Using a Parametric Model of the Term Structure

In this paper, we develop a new immunization model based on a parametric specification of the term structure of interest rates. The model extends traditional duration analysis to account for both parallel and non-parallel term structure shifts that have an economic meaning. Contrary to most interest rate risk models, we analyse both first-order and second-order conditions for bond portfolio immunization and conclude that the key to successful protection will be to build up a bond portfolio such that the gradient of its future value is zero, and such that its Hessian matrix is positive semidefinite. In addition, we provide explicit formulae for new parametric interest rate risk measures and present alternative approaches to implement the immunization strategy. Furthermore, we provide useful expressions for the sensitivity of interest rate risk measures to changes in term structure shape parameters

Projecto de execução de fundações e estruturas de uma ponte em betão armado pré-esforçado

Este Trabalho refere-se ao Projecto de Execução de Fundações e Estruturas de uma Ponte Rodoviária em betão armado pré-esforçado, realizado no âmbito do Trabalho Final de Mestrado em Engenharia Civil – Especialização em Estruturas, do Instituto Superior de Engenharia de Lisboa. O Projecto de Execução é composto de Peças Escritas e Peças Desenhadas. Nas Peças Escritas estão incluídos: Memória Justificativa e Descritiva; Cálculos Justificativos e Anexos. A ponte é composta por dois tabuleiros paralelos com 10,28m de largura cada um e afastados entre si de 0,10m. A obra é constituída de 8 tramos; os tramos correntes com 31m de comprimento e os tramos extremos com 25 e 20m de comprimento, perfazendo um comprimento total de 231m. A obra foi parcialmente isolada dos sismos pela introdução, em todos os pilares, de aparelhos de apoio de elevado amortecimento sísmico do tipo HDRB (High Damping Rubber Bearings). Encontram-se particularmente discriminadas e detalhadas neste projecto as seguintes situações: - Cálculo do Pré-esforço e respectivas perdas; - Acção das sobrecargas rodoviárias; - Diferença de comportamento da obra na entrada em serviço e no longo prazo; - Análise sísmica e do isolamento sísmico; - Estudo dos efeitos diferidos: retracção e fluência. Tendo as abordagens de cálculo e as verificações de segurança seguido a regulamentação nacional em vigor, nomeadamente RSA e REBAP, foi no entanto feita uma aproximação às regras do “Capacity Design” previstas no EC8, em que se privilegia a actuação do projectista sobre o comportamento da estrutura, procurando uma resposta não linear da mesma, visando garantir que: - A rotura não ocorrerá nos elementos de fundação; - Nos pilares a dissipação de energia se faz através de rótulas plásticas, evitando-se roturas associadas a esforços transversos. A aplicação destas regras neste Projecto demonstrou haver um agravamento substancial na definição dos esforços a que devem resistir alguns dos componentes da estrutura, designadamente os pilares e as fundações, originando soluções de secções de betão e armaduras bem mais exigentes do que aqueles que resultariam da simples verificação de segurança, pela comparação entre esforços actuante e esforços resistentes “secção a secção”, imposta pela actual regulamentação nacional.This document presents the Final Design of Foundati ons and Structures of a prestressed concrete Highway Bridge, developed to obtain the Master degree in Civil Engineering (Structures specialization) ofthe Instituto Superior de Engenharia deLisboa. The Final Design consists in Written Documents and Construction Drawings. The Written Documents include: Description of General Concept and Design Criteria, Computations for Safety Checking and Computer printouts. The bridge consists of two parallel decks, 10.28m wide each one, separated by a 0.10m gap. Each deck has eight spans, with tipycal spans 31m long and extreme spans 25m and 20m long, corresponding to a total length of 231m. A base isolation concept was considered in the strutural design through the introdution, at the top of all piers, of HDRB (High Damping Rubber Bearings) bearing devices. Special attention was giventothe followingtopics - Calculation of prestressing and respective losses; - Moving loads; - Construction sequence; - Analysis for earthquake action and seismic isolation; - Study of thetime-dependent effects in concrete structures: shrinkage andcreep. The design was mainly based in the actual portuguese regulations (RSA and REBAP). However some extra work was developed by applying some of the “Capacity Design” rules indicated in EC8:Part 2, in orderto assessthe main differences resulting fromthe adoption ofthisconcept. A general appreciation of the results clearly indicates that the EC8-Part2 provisions are likely to significantly increase the concrete and steel quantities in piers and foundation systems, when compared withthose ones resulting fromthe applicati on of national regulation