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.

Sistema de apoio à decisão sobre transportes urbanos

Dissertação de mestrado em Engenharia e Gestão de Sistemas de InformaçãoCom o aumento do número de veículos nas estradas o engarrafamento de trânsito nas zonas urbanas tem-se tornado um problema. Os engarrafamentos levam a prejuízos, poluem o ambiente e causam riscos para a saúde pública. Existe uma necessidade de gerir o trânsito de forma a evitar o congestionamento nas vias sem aumentar o número de infraestruturas, o que se tem demonstrado desafiador. Para combater estas dificuldades têm sido desenvolvidas novas soluções de gestão de trânsito, como a que será apresentada nesta dissertação. Para este projeto de dissertação os Transportes Urbanos de Braga (TUB) forneceram dados relativos às suas rotas desde 2016, até ao presente ano. O que se pretende com esta tese é recorrendo a técnicas de Data Mining, alimentados com estes dados e com dados de datasets complementares sobre o ambiente, como por exemplo um calendário de eventos na cidade, se consiga prever o comportamento do trânsito, de modo a otimizar as rotas feitas pelos autocarros dos Transportes Urbanos de Braga (TUB), reduzindo assim gastos em combustível, baixando a poluição e ter horários mais precisos para os utilizadores destes transportes.With the raise of the number of vehicles on the roads, traffic jams on urban areas became a problem. Traffic jams lead to financial losses, pollute the environment and cause risks to the public health. There is a necessity to manage traffic in order to avoid road congestion without increasing the number of infrastructures, which has been challenging. To combat these difficulties new traffic management solutions have been developed, like the one that will be presented in this dissertation. For this dissertation project the TUB provided data relative to their routes since 2016, until the present year. The objective of this thesis is using Data Mining techniques, powered by this data and with data from complementary datasets about the environment like, for example a calendar with the city events, we will be able to predict the behavior of the traffic in the following days in order to optimize the TUB bus routes accordingly with what is expected, reducing the fuel costs, lowering the pollution levels and have more accurate schedules for the costumers of these transports

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

The paradox of ageing

Paper prepared for presentation at the 28th International Congress of Actuaries, Paris 2006In this paper, we discuss the so-called paradox of ageing, with respect to the members of the age group 55-64 years of age. This generation is (currently) too young to retire, despite the length of their working lives - for some in excess of forty years - and high earnings, yet is too old to continue working, since employers prefer to hire younger, more flexible and less expensive workers. Furthermore, official statistics show that the longevity of this generation is higher than its predecessors, an evolution that would apparently call for a gradual increase in the retirement age. The argument put forward by its advocates is that by keeping people at work for some more years, additional contributions will be received while delaying pension expenditure, thus compensating for the longer longevity prospects. We argue that, from the point of view of the long-term financial sustainability of the Social Security system, it would be preferable to provide this generation with an option to anticipate the retirement age, while penalising their retirement pension until they reach the age of 65. Such an option would serve as an alternative to a scenario of long-term unemployment in which individuals are granted unemployment benefits, normally exceeding the amount of the "anticipated pension", at the same time as they continue to accumulate pension rights with no contributions to the system. Faced with a situation in which rationing exists in the supply of individual life annuities by the insurance market, we discuss the creation of a financial reserve fund to support life-expectancy increases for all generations, funded by a supplementary contribution, which would be used to pay for the pensions in excess of those resulting from a constant lifespan at the age of retirement for all of the generations. Since the "ageing equation" has no single solution, our aim is to broaden the current debate on the long-term financial sustainability of the Social Security systems towards a richer perspective, in which raising the age of retirement is not the only solution

Impacto Económico e Social da Sinistralidade Rodoviária em Portugal

Silva, C. M., Bravo, J. M., Gonçalves, J. (2021). Impacto Económico e Social da Sinistralidade Rodoviária em Portugal. Lisboa: CEGE - Centro de Estudos de Gestão do ISEG e Autoridade Nacional de Segurança Rodoviária (ANSR). Acesso: http://www.ansr.pt/Documents/Impacto_Economico_Social_Sinistralidade_Rodoviaria.pdfpublishersversionpublishe

Operação de um reservatório com múltiplos usos com base na previsão de curto prazo de vazão

Os reservatórios operados para atender demandas de água para abastecimento, irrigação e geração de energia são, normalmente, mantidos em níveis tão altos como possível para garantir uma reserva de água que será utilizada durante os períodos críticos de estiagem. Por sua vez, reservatórios operados com o objetivo de reduzir inundações a jusante da barragem são mantidos em níveis mínimos para que as cheias possam ser absorvidas e as vazões máximas reduzidas. Quando um mesmo reservatório é operado para atender os dois tipos de objetivos surgem conflitos. A previsão de vazão afluente a reservatórios pode ser útil para reduzir esses conflitos. Porém, os benefícios da previsão dependem da eficiência dos modelos de previsão e da forma como a informação da previsão é incorporada na tomada de decisão sobre a operação. Neste trabalho é apresentado um modelo de simulação da operação de um reservatório com base na previsão de vazão afluente. Como base para as análises, foram utilizados dados relativos ao reservatório de Três Marias, no Rio São Francisco. Os resultados obtidos são promissores e mostram que as previsões de curto prazo de vazão afluente ao reservatório podem melhorar a eficiência das regras de operação em reservatórios com usos múltiplos.Conflicts often arise for reservoirs with multiple water uses, such as power generation, irrigation and flood control. While high levels are desired to store water that will be used during the dry season, low levels in the reservoirs can reduce flood damages. Inflow forecasting can be used to improve reservoir management, minimizing conflicts in multipurpose reservoir operation. Benefits are dependent on the skill of the forecasts itself and on how these forecasts are taken into account during the process of decision concerning the reservoir operation. This study presents an application of a simulation model that considers available forecast in the reservoir operation. The Três Marias dam, on the São Francisco river basin, was selected as a study case, mainly because of the availability of short­term forecast data from previous work. Results are promising and show that short­term forecasts can be introduced in operation simulation and can improve the efficiency of operation rules in multipurpose reservoirs

Associated factors for mortality in a COVID-19 colombian cohort : is the third wave relevant when Mu variant was predominant epidemiologically?

Q1Q1Pacientes con COVID-19Objectives: To evaluate the association between Colombia's third wave when the Mu variant was predominant epidemiologically (until 75%) in Colombia and COVID-19 all-cause in-hospital mortality. Methods: In this retrospective cohort, we included hospitalized patients ≥18 years with SARS-CoV-2 infection between March 2020 to September 2021 in ten hospitals from three cities in Colombia. Description analysis, survival, and multivariate Cox regression analyses were performed to evaluate the association between the third epidemic wave and in-hospital mortality. Results: A total of 25,371 patients were included. The age-stratified time-to-mortality curves showed differences according to epidemic waves in patients ≥75 years (log-rank test p = 0.012). In the multivariate Cox analysis, the third wave was not associated with increased mortality relative to the first wave (aHR 0.95; 95%CI 0.84–1.08), but there was an interaction between age ≥75 years and the third wave finding a lower HR for mortality (aHR 0.56, 95%CI 0.36–0.86). Conclusions: We did not find an increase in in-hospital mortality during the third epidemic wave in which the Mu variant was predominant in Colombia. The reduced hazard in mortality in patients ≥75 years hospitalized in the third wave could be explained by the high coverage of SARS-CoV-2 vaccination in this population and patients with underlying conditions.https://orcid.org/0000-0003-1833-1599https://orcid.org/0000-0001-5363-5729https://orcid.org/0000-0001-6964-2229https://orcid.org/0000-0003-3975-2835https://orcid.org/0000-0001-9441-4375Revista Internacional - IndexadaA1N

5to. Congreso Internacional de Ciencia, Tecnología e Innovación para la Sociedad. Memoria académica

El V Congreso Internacional de Ciencia, Tecnología e Innovación para la Sociedad, CITIS 2019, realizado del 6 al 8 de febrero de 2019 y organizado por la Universidad Politécnica Salesiana, ofreció a la comunidad académica nacional e internacional una plataforma de comunicación unificada, dirigida a cubrir los problemas teóricos y prácticos de mayor impacto en la sociedad moderna desde la ingeniería. En esta edición, dedicada a los 25 años de vida de la UPS, los ejes temáticos estuvieron relacionados con la aplicación de la ciencia, el desarrollo tecnológico y la innovación en cinco pilares fundamentales de nuestra sociedad: la industria, la movilidad, la sostenibilidad ambiental, la información y las telecomunicaciones. El comité científico estuvo conformado formado por 48 investigadores procedentes de diez países: España, Reino Unido, Italia, Bélgica, México, Venezuela, Colombia, Brasil, Estados Unidos y Ecuador. Fueron recibidas un centenar de contribuciones, de las cuales 39 fueron aprobadas en forma de ponencias y 15 en formato poster. Estas contribuciones fueron presentadas de forma oral ante toda la comunidad académica que se dio cita en el Congreso, quienes desde el aula magna, el auditorio y la sala de usos múltiples de la Universidad Politécnica Salesiana, cumplieron respetuosamente la responsabilidad de representar a toda la sociedad en la revisión, aceptación y validación del conocimiento nuevo que fue presentado en cada exposición por los investigadores. Paralelo a las sesiones técnicas, el Congreso contó con espacios de presentación de posters científicos y cinco workshops en temáticas de vanguardia que cautivaron la atención de nuestros docentes y estudiantes. También en el marco del evento se impartieron un total de ocho conferencias magistrales en temas tan actuales como la gestión del conocimiento en la universidad-ecosistema, los retos y oportunidades de la industria 4.0, los avances de la investigación básica y aplicada en mecatrónica para el estudio de robots de nueva generación, la optimización en ingeniería con técnicas multi-objetivo, el desarrollo de las redes avanzadas en Latinoamérica y los mundos, la contaminación del aire debido al tránsito vehicular, el radón y los riesgos que representa este gas radiactivo para la salud humana, entre otros

Photography-based taxonomy is inadequate, unnecessary, and potentially harmful for biological sciences

The question whether taxonomic descriptions naming new animal species without type specimen(s) deposited in collections should be accepted for publication by scientific journals and allowed by the Code has already been discussed in Zootaxa (Dubois & Nemésio 2007; Donegan 2008, 2009; Nemésio 2009a–b; Dubois 2009; Gentile & Snell 2009; Minelli 2009; Cianferoni & Bartolozzi 2016; Amorim et al. 2016). This question was again raised in a letter supported by 35 signatories published in the journal Nature (Pape et al. 2016) on 15 September 2016. On 25 September 2016, the following rebuttal (strictly limited to 300 words as per the editorial rules of Nature) was submitted to Nature, which on 18 October 2016 refused to publish it. As we think this problem is a very important one for zoological taxonomy, this text is published here exactly as submitted to Nature, followed by the list of the 493 taxonomists and collection-based researchers who signed it in the short time span from 20 September to 6 October 2016