Las prestaciones de supervivencia de los seguros de vida como generadores de rendimientos del capital mobiliario. (Estudio financiero de su fiscalidad en el Real Decreto Legislativo 3/2004 que regula el IRPF)

En este trabajo se analiza, desde una vertiente financiera, la repercusión de las normas reguladoras del IRPF vigente en el 2004 –que se concretan básicamente en el Real Decreto Legislativo 3/2004, de 5 de marzo, por el que se aprueba el texto refundido de la Ley del Impuesto sobre la Renta de las Personas Físicas y el Real Decreto 214/1999, por el que se aprueba el Reglamento del Impuesto de la Renta de las Personas Físicas– en los seguros de vida con prestación por supervivencia. En primer lugar, se analiza el impacto de la actual normativa fiscal sobre las rentas de supervivencia inmediatas, que pueden ser un producto de ahorro alternativo a otros que generan rendimientos periódicos. El segundo aspecto analizado es la tributación del seguro como instrumento de ahorro sistemático complementario a las prestaciones de la Seguridad Social por jubilación o situación asimilable. Desde este segundo punto de vista, son objeto de análisis la tributación de los seguros en la modalidad de capital diferido y de las rentas diferidas de supervivencia

Estimación de la estructura temporal de los tipos de interés mediante números borrosos. Aplicación a la valoración financiero-actuarial y análisis de la solvencia del asegurador de vida.

El tema de estudio de la presente tesis es la aplicación de la teoría de los subconjuntos borrosos en el análisis de los seguros de vida, en concreto, en la modelización de los tipos de interés para su valoración, teoría que tomó carta de naturaleza con la publicación en 1965 del artículo del profesor L.A. Zadeh "Fuzzy Sets", en la revista Information and Control. La gestión y valoración de los seguros de vida abarca cuestiones como la fijación de primas por parte del asegurador, el estudio de su posición de solvencia, determinación de las provisiones matemáticas etc. Las variables que esencialmente deben ser tenidas en cuenta en su modelización son:a) Un fenómeno que podríamos determinar como "natural": el comportamiento de la mortalidad, morbilidad etc. en la cabeza asegurada. No existe ninguna controversia sobre su naturaleza estocástica. b) El segundo fenómeno que incide en el análisis de los seguros de vida, es el financiero, en concreto, la determinación del interés que el asegurador debe ofrecer al asegurado denominado como interés técnico, el cual esta relacionado con el interés que el asegurador puede conseguir invirtiendo las primas satisfechas por el asegurado.Nosotros consideramos que un enfoque más realista en la modelización del tipo de interés es suponer que viene estimado a través de números borrosos, dada la subjetividad inherente a la fijación del tipo de interés y por tanto, que su manipulación con operadores blandos tipo "máximo-mínimo" es más acorde con la información débil que se dispone sobre dicha variable. Por esta razón, en nuestra tesis proponemos un conjunto de metodologías que permiten estimar la estructura temporal de los tipos de interés a través de números borrosos, mediante la utilización de instrumentos de regresión borrosa. Dicha estructura de tipos de interés borrosa, servirá posteriormente como referencia en la valoración de los seguros de vida.Por otra parte, algunos autores habían analizado la valoración de los contratos de seguros de vida utilizando intereses borrosos. En todos estos trabajos, el denominador común era la utilización de la denominada "Teoría Estática", basada en la reducción del fenómeno de la mortalidad a sus valores esperados y la introducción de la incertidumbre en el tipo de interés mediante números borrosos. De esta forma, el problema de valoración actuarial quedaba reducido a un problema de valoración financiera con interés borroso. En nuestra tesis, para solventar el problema que implica la pérdida de información al reducir el fenómeno de la mortalidad a esperanzas matemáticas, y teniendo en cuenta que utilizamos tipos de interés borrosos, proponemos el uso del concepto de variable borroso-aleatoria en el análisis de la solvencia del asegurador de vida.This doctoral thesis has to objectives.a) We propose a set of methodologies for estimating the temporal structure of interest rates (TSIR) based on fuzzy regression techniques. They allow incorporating all the prices of the fixed income instruments sold and bought along one session in the measurement of the TSIR. Finally, the TSIR will be characterised using fuzzy numbers. Subsequently, the forward rates, that can be interpreted as the future rates predicted by the market, will be quantified as fuzzy numbers too.b) Moreover, we propose a methodology for pricing life insurance contracts and analysing the insurer's solvency supposing that fuzzy numbers quantify the profit that a life insurer will obtain investing the premiums. Using this methodology the randomness and fuzziness inherent to the investigated phenomena is preserved along the valuation process. This methodology is based on the concept of fuzzy random variable

CÁLCULO DE LAS PROVISIONES PARA SINIESTROS PENDIENTES DE DECLARACIÓN CON REGRESIÓN BORROSA

La correcta determinación de la provisión para siniestros pendientes de declaración es fundamental para la estabilidad de las compañías de seguros, sobre todo en ramos con un notable diferimiento de muchas de las reclamaciones como el del automóvil, el de responsabilidad civil, etc. Por tanto, la literatura actuarial ha propuesto una gran variedad de metodologías para su cálculo, basadas esencialmente en el empleo de la estadística. No obstante, dadas las condiciones cambiantes del entorno en que se mueve la actividad aseguradora, no es aconsejable partir de una experiencia excesivamente amplia en el cálculo de dichas provisiones, lo que conlleva una pérdida de fiabilidad de los métodos estocásticos. Por estas razones, entendemos que la utilización de instrumentos de la lógica borrosa puede ser muy adecuada. Concretamente, en este trabajo proponemos una metodología que aplica la regresión borrosa y el método propuesto por Sherman (1984). Palabras clave: provisiones para siniestros pendientes de declaración (IBNR), triángulo de siniestralidad, link-ratio, lógica borrosa, números borrosos, regresión borrosa. Abstract Determining the correct value for the Incurred but not reported claims reserves is crucial for the insurer’s financial stability. That’s why actuarial literature has proposed a great number of methods for calculating those reserves. These methods are usually built up from statistical concepts. However, the mutant and uncertain behaviour of insurance environment makes not advisable to use a wide data-base when calculating these reserves. So, on one hand, that fact implies a great loose of reliability of statistical methods but, on the other, it makes very attractive the use of fuzzy logic instruments. Concretely, in this paper we propose a method that combines fuzzy regression and the scheme proposed by Sherman (1984). Keywords: Incurred but not reported claims reserves (IBNR), Claims triangle, Link-ratio, Fuzzy logic, Fuzzy numbers, Fuzzy regression

Pricing Endowments with Soft Computing

This paper develops life insurance pricing with different representation of its two sources of uncertainty: stochastic behaviour of mortality of the insured and fuzzy quantification of interest rates within the time horizon. Concretely we analyse endowment contracts, which are present in several financial real - world contexts as residential mortgage loans or retirement plans. We show that modelling the present value of these contracts with fuzzy random variables allows a well - founded quantification of their fair price and the risk resulting from the uncertainty of mortality and discounting rates. To do this, we firstly describe fuzzy random variables and some associated measures (mathematical expectation, variance, distribution function and quantiles) are defined. Subsequently the present value of a endowment contract (pure and mixed) is modelled with fuzzy random variables. Finally we show how the price and risk measures for endowment portfolios can be obtaine

Life settlement pricing with fuzzy parameters

Existing literature asserts that the growth of life settlement (LS) markets, where they exist, is hampered by limited policyholder participation and suggests that to foster this growth appropriate pricing of LS transactions is crucial. The pricing of LSs relies on quantifying two key variables: the insured's mortality multiplier and the internal rate of return (IRR). However, the available information on these parameters is often scarce and vague. To address this issue, this article proposes a novel framework that models these variables using triangular fuzzy numbers (TFNs). This modelling approach aligns with how mortality multiplier and IRR data are typically provided in insurance markets and has the advantage of offering a natural interpretation for practitioners. When both the mortality multiplier and the IRR are represented as TFNs, the resulting LS price becomes a FN that no longer retains the triangular shape. Therefore, the paper introduces three alternative triangular approximations to simplify computations and enhance interpretation of the price. Additionally, six criteria are proposed to evaluate the effectiveness of each approximation method. These criteria go beyond the typical approach of assessing the approximation quality to the FN itself. They also consider the usability and comprehensibility for financial analysts with no prior knowledge of FNs. In summary, the framework presented in this paper represents a significant advancement in LS pricing. By incorporating TFNs, offering several triangular approximations and proposing goodness criteria of them, it addresses the challenges posed by limited and vague data, while also considering the practical needs of industry practitioners

The valuation of life contingencies: A symmetrical triangular fuzzy approximation

This paper extends the framework for the valuation of life insurance policies and annuities by Andrés- Sánchez and González-Vila (2012, 2014) in two ways. First we allow various uncertain magnitudes to be estimated by means of fuzzy numbers. This applies not only to interest rates but also to the amounts to be paid out by the insurance company. Second, the use of symmetrical triangular fuzzy numbers allows us to obtain expressions for the pricing of life contingencies and their variability that are closely linked to standard financial and actuarial mathematics. Moreover, they are relatively straightforward to compute and understand from a standard actuarial point of view

A Fuzzy-Random Extension of the Lee-Carter Mortality Prediction Model

The Lee-Carter model is a useful dynamic stochastic model to represent the evolution of central mortality rates throughout time. This model only considers the uncertainty about the coefficient related to the mortality trend over time but not to the age-dependent coefficients. This paper proposes a fuzzy-random extension of the Lee-Carter model that allows quantifying the uncertainty of both kinds of parameters. As it is commonplace in actuarial literature, the variability of the time-dependent index is modeled as an ARIMA time series. Likewise, the uncertainty of the age-dependent coefficients is also quantified, but by using triangular fuzzy numbers. The consideration of this last hypothesis requires developing and solving a fuzzy regression model. Once the fuzzy-random extension has been introduced, it is also shown how to obtain some variables linked with central mortality rates such as death probabilities or life expectancies by using fuzzy numbers arithmetic. It is simultaneously shown the applicability of our developments with data of Spanish male population in the period 1970-2012. Finally, we make a comparative assessment of our method with alternative Lee-Carter model estimates on 16 Western Europe populations

Combining fsQCA and PLS-SEM to assess policyholders’ attitude towards life settlements

Life settlements (LSs) can be considered a novel and innovative financial asset in countries where they are not yet established. This paper aims to assess the attitude (ATT) of policyholders towards participating in LSs in such countries by evaluating various variables: performance expectancy (PE), expected easiness (EE), social influence (SI), perceived ethical problems (EP), and bad feelings (BF) that may arise from this type of transaction. To achieve this goal, a questionnaire was administered to 89 individuals in Spain who possessed extensive knowledge of financial and insurance matters. The data analysis employed fuzzy set qualitative comparative analysis (fsQCA) as the basis, supplemented by partial least squares-structural equation modelling (PLS-SEM). The fsQCA results enabled the identification of policyholder profiles associated with the acceptance or rejection of LSs. Meanwhile, PLS-SEM provided insights into the net strength and statistical significance of the impact of each variable on ATT. Methodologically, this study demonstrates that fsQCA is valuable in constructing a reliable and concise framework for subsequent PLS-SEM estimation. A significant practical implication of this research is the importance of the interaction between PE and SI in the successful development of LS markets. A positive perception of financial advisors regarding these agreements emerges as a crucial factor in market growth. Moreover, the study reveals that EP and BF may significantly influence resistance towards LSs

Sustainability Strategies by Oil and Gas Companies, Contribution to the SDGs and Local Innovation Ecosystems

Oil and gas (O&G) companies are facing increasing pressure to transform their businesses in order to contribute effectively to the transition from an economy based on fossil fuels to one driven by clean energy technologies. Understanding how O&G companies can define actions to comply with the United Nations’ Sustainable Development Goals (SDGs) and, specifically, how they can generate a positive impact in terms of sustainability through technology innovation becomes relevant in order to guarantee the success of such transformation. To explore this issue, this article analyzes, using a case study research methodology, the sustainability strategy of an O&G company in the Basque Country region (Spain) that is undergoing a profound transformation of its overall business strategy. In particular, the analysis focuses on how the company’s innovation and research and development (R&D) activities and projects related to clean technologies contribute to fulfilling the energy- and non-energy-related SDGs. The main result of the analysis is the identification and characterization of an emerging complex public–private multi-stakeholder business and innovation ecosystem surrounding the O&G company under scrutiny with a clear focus on low-carbon technologies. This ecosystem channels knowledge and innovation synergies and spillovers at the local and regional levels, encouraging green industrial growth in different value chains, and provides insights about how O&G companies can contribute effectively to the SDGs and, at the same time, increase the sustainability of their businesses.This publication was generously supported by the University of Deusto’s Research Results Transfer Office (Deiker) grant “Contrato Programa—Artículos ISI” No. 2023/0009. The authors would like to thank the organizers and sponsors of the IPTC 2022 for the opportunity to present a previous working version of this article. In addition, the Chairs of IPTC 2022 Session “Sustainability Polices, Strategies, and Governance” provided valuable and useful insights during the preparation of the conference proceedings, which definitely helped to improve this research. Various attendees at the IPTC 2022 showed interest in this research and engaged in debates and conversations about it, which helped to enrich the final orientation of this article. The staff of the University of Deusto’s Library provided helpful advice. Last but not least, special thanks to the blind peer reviewers who finally made possible the present article

Perception of home teleworking during COVID-19 crisis in Spain: significant factors and assymetrical influence on acceptance and resistance

Purpose.This paper aims to shed light on the perception of the consequences of implementing home teleworking (TW) for employers and employees amid the pandemic. By doing so, the research analyzes the factors that explain employers’ and employees’ perceptions of home TW and the symmetry of their impact on its acceptance and rejection. Design/methodology/approach. The analysis is done over the survey “Trends in the digital society during SARS-COV-2 crisis in Spain” by the Spanish “Centro de Investigaciones Sociol ogicas.” The explanatory variables were selected and classified using the well-known taxonomy of Baruch and Nicholson (i.e. individual factors, family/home, organizational and job-related). Findings. The global judgment of HTW is positive, but factors such as gender, age, children in care or being an employer nuance that perception. While some factors, such as the attitude of employees toward information communication technologies (ICTs), perceived productivity or the distance from home to work, have a significant link with both positive and negative perceptions of HTW, other factors can only explain either positive or negative perceptions. Likewise, the authors observed that being female and having children on care had a detrimental influence on opinions about HTW. Practical implications – A clearer regulation of TW is needed to prevent imbalances in rights and obligations between companies and employees. The authors also highlight the potentially favorable effects of telecommuting on mitigating depopulation in rural areas. Originality/value. The authors have also measured not only the significance of assessed factors on the overall judgment of HTW for firms and workers but also whether these factors impact acceptance and resistance attitudes toward TW symmetrically.This work was funded by “INAP, Instituto Nacional de Administración Pública”, which nowadays belongs to the Spanish “Ministerio de Hacienda y Función Pública”.Project: Teleworking in public administrations. Present and key issues for the future (T20165S)