Anales del Instituto de Actuarios Espanoles最新文献

{"title":"PRICING LIFE ANNUITIES FOR IMPAIRED LIVES: THE CASE OF PORTUGAL","authors":"O. Simoes, C. Barradas","doi":"10.26360/2022_1","DOIUrl":"https://doi.org/10.26360/2022_1","url":null,"abstract":"Abstract Life annuities markets are underdeveloped in Portugal and other countries. This annuitization puzzle is explained by improvements in mortality at old ages and passive adverse selection, reasons that put lives with diminished life expectancies at an unfair disadvantage. Using data from the SHARE (Survey of Health, Ageing and Retirement in Europe) project, we assess the impact of some of the most serious and common diseases over a reference survival curve. Then we calculate the price of annuities for impaired lives, using adjusted survival, and compare them with those for the reference population. We show that applying the reference mortality to impaired lives is very unfair and that pricing annuities for lives weakened by disease in an accurate way is possible. Keywords: annuities, impaired life, net survival, crude survival, SHARE. Resumen Los mercados de rentas vitalicias están subdesarrollados en Portugal y otros países. Este “annuitization puzle” se explica por las mejoras en la mortalidad en edades avanzadas y la selección adversa pasiva, razones que ponen en una desventaja injusta a las personas con una esperanza de vida disminuida. Usando datos del proyecto SHARE (Survey of Health, Aging and Retirement in Europe), evaluamos el impacto de algunas de las enfermedades más graves y comunes sobre una curva de supervivencia de referencia. Luego calculamos el precio de las rentas vitalicias por deterioro de la vida, utilizando la supervivencia ajustada, y las comparamos con las de la población de referencia. Mostramos que aplicar la mortalidad de referencia a las vidas deterioradas es muy injusto y que es posible fijar el precio de las rentas vitalicias para las vidas debilitadas por la enfermedad de manera precisa. Palabras clave: rentas vitalicias, vida deteriorada, supervivencia neta, supervivencia bruta, SHARE.","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69274528","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"IMPACTO DE LA INCLUSIÓN DE EDADES EXTREMAS EN TARIFICACIÓN","authors":"Miguel Santolino, Òscar Cases Figuerola","doi":"10.26360/2022_5","DOIUrl":"https://doi.org/10.26360/2022_5","url":null,"abstract":"Resumen El presente estudio consiste en la elaboración de tablas mortalidad para España que incluyan el riesgo de mortalidad para edades hasta los 125 años. Se elaboran tablas de mortalidad a partir de datos observados para individuos de los 0 a los 100 años y datos estimados a partir de un modelo de supervivencia de los 101 a los 125 años durante el período entre 1975 y 2018. Posteriormente, se realizan proyecciones futuras de mortalidad a partir de las tablas generadas. Se concluye con una comparación que permite observar si existen diferencias significativas en tarificación utilizando dichas proyecciones en lugar de proyecciones de mortalidad hasta los 100 años, como frecuentemente se realiza en la práctica. Palabras clave: Gompertz, Lee-Carter, proyecciones, tablas de mortalidad, longevidad, primas puras. Abstract The present study focuses on the elaboration of mortality tables for Spain that include mortality risk for ages up to 125 years. Mortality tables include observed mortality data for 0-100 ages and estimated mortality data for 101-125 ages covering the interval period between 1975 and 2018. Subsequently, future mortality projections are made based on generated mortality tables. We conclude with a comparison to evaluate differences in pricing using these mortality projections and mortality projections based on mortality tables up to 100 years, as it is often made in practice. Keywords: Gompertz, Lee-Carter, projections, mortality tables, longevity, pure premiums.","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48798180","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"DO THE BUSINESS AND FINANCE SPANISH JOURNALS COVER HIGH-IMPACT TOPICS? A CO-KEYWORD ANALYSIS","authors":"Pilar Abad, Jorge Cruz, M. Robles","doi":"10.26360/2022_4","DOIUrl":"https://doi.org/10.26360/2022_4","url":null,"abstract":"Abstract This paper investigates the extent to which the topics covered in Spanish journals from the field of Business and Finance published between 2010 and 2020 correspond to the topics with the highest international impact. To this end, the degree of similarity between the topics published in the journals with the highest international impact according to the JCR and SJR indexes and the topics published in a set of Spanish journals is analysed. The topics are identified using the keywords provided by the authors and the degree of similarity between the research topics is determined using a word co-occurrence analysis. The results show that although Spanish journals are broader in terms of topics, the topics covered in them are among the leading topics according to the JCR and SJR and that there is a direct relationship between the topics and their degree of influence or impact. Keywords: Journal Citation Report; SCImago Journal & Country Rank; keywords; trending topic; co-occurrence. Resumen Este trabajo investiga en qué medida los temas tratados en las revistas españolas del ámbito de la Empresa y las Finanzas publicadas entre 2010 y 2020 se corresponden con los temas de mayor impacto internacional. Para ello, se analiza el grado de similitud entre los temas publicados en las revistas de mayor impacto internacional según los índices JCR y SJR y los temas publicados en un conjunto de revistas españolas. Los temas se identifican mediante las palabras clave proporcionadas por los autores y el grado de similitud entre los temas de investigación se determina mediante un análisis de co-ocurrencia de palabras. Los resultados muestran que, aunque las revistas españolas analizan un conjunto más amplio de temas, los temas tratados en ellas están entre los temas con más repercusión según el JCR y el SJR, y que existe una relación directa la repercusión de los temas y su grado de influencia o impacto. Palabras clave: Journal Citation Report; SCImago Journal & Country Rank; palabras clave; trending topic; co-occurrencia","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69274646","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"CLASSIFICATION OF CLIMATE-RELATED INSURANCE CLAIMS USING GRADIENT BOOSTING","authors":"G. Tzougas, Viet Dang, Asif John, Stathis Kroustalis, Debashish Dey, Konstantin Kutzkov","doi":"10.26360/2022_6","DOIUrl":"https://doi.org/10.26360/2022_6","url":null,"abstract":"Abstract The aim of this paper is to implement, one of the most representative supervised learning approaches, the decision tree based ensemble method called gradient boosting for classifying the number of claims caused by storms in Greece using data from a major insurance company operating in Greece. Finally, a machine learning algorithm is used to for categorising the number of claims which have been occurred by a “storm event” into 3 categories: “no claims”, “1 claim”, “2 or more claims”. Keywords: cimate-related insurance claims, ensemble learning, decision trees, boosting. Resumen El objetivo de este trabajo es aplicar uno de los enfoques de aprendizaje supervisado más representativos, el método de conjunto basado en árboles de decisión denominado gradient boosting, para clasificar el número de siniestros causados por tormentas en Grecia utilizando datos de una importante compañía de seguros que opera en este país. Por último, se utiliza un algoritmo de aprendizaje automático para clasificar el número de siniestros que se han producido como consecuencia de un «evento de tormenta» en 3 categorías: «ningún siniestro», «1 siniestro», «2 o más siniestros». Palabras clave: siniestros de seguros relacionados con las tormentas, aprendizaje conjunto, árboles de decisión, boosting.","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69274961","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"EL PROBLEMA DEL SUPERAVIT POR DEPENDENCIA EN LOS PLANES DE PENSIONES DE EMPLEO","authors":"J. de, L. Pena, Iratxe D. Martín","doi":"10.26360/2022_2","DOIUrl":"https://doi.org/10.26360/2022_2","url":null,"abstract":"Resumen Dentro de los productos de previsión social complementaria se encuentran los planes de pensiones de empleo tanto de aportación como de prestación definida. Su finalidad es compensar al trabajador por jubilación, muerte, supervivencia o invalidez. Ni en la contratación ni a lo largo de la vida laboral se tiene en cuenta la situación de dependiente, que sí que repercute cuando el trabajador se convierte en beneficiario de una prestación. Si decide percibir una pensión periódica el capital correspondiente a la edad de jubilación se transforma en una renta vitalicia (en caso de aportación definida) o directamente comienza a percibir la renta vitalicia inicialmente determinada (prestación definida). En estos casos se calcula bajo una base técnica concreta que contempla una expectativa de mortalidad determinada. Sin embargo, hay experiencia internacional que evidencia que la mortalidad del dependiente es superior a la población general y asegurada, por lo que el dependiente, de percibir la misma pensión, la recibiría por menor plazo. El objetivo del presente trabajo es determinar el impacto económico que genera el cambio de estatus en el beneficiario cuando recibe esa renta vitalicia. Hay que subrayar que, en la renta vitalicia, el riesgo biométrico es asumido por el asegurador y que una menor esperanza de pago debido a que el beneficiario de la pensión pase al estado de dependiente conlleva un beneficio económico, pues esa ganancia no se reparte a la familia del beneficiario. Se crea un superávit al abonar la misma prestación. Así, el empleo de una adecuada asunción de mortalidad produce una reducción de la provisión matemática de pago, lo que redunda en liberar capital y tener un menor capital de solvencia requerido. Palabras clave: planes de pensiones, dependencia, prestación definida, matemática actuarial. Abstract Within the complementary social welfare products, we find both defined-contribution and defined-benefit employee pension plans. Their purpose is to compensate the worker for retirement, death, survival or disability. Dependence status is not taken into account either at the time of contracting or during working life, but it is taken into account when the worker becomes a benefit recipient. If the individual decides to receive a periodic pension, the capital sum at retirement age is converted into a life annuity (in the case of defined contribution) or the pension beneficiary starts receiving the initially determined life annuity directly (defined benefit). In these cases, it is calculated on a specific technical basis that takes into account a specific mortality expectancy. However, international experience shows that the mortality rate of the dependent is higher than that of the general and insured population, so that the dependent will receive the same pension for a longer period of time. The aim of this paper is to determine the economic impact of the change in the beneficiary’s status when receiving this annuity. It should be","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48610254","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"APLICACIONES ACTUARIALES MEDIANTE GAUSSIAN PROCESS REGRESSION: VIDA Y NO VIDA","authors":"David Rius Carretero, Salvador Torra Porras","doi":"10.26360/2022_3","DOIUrl":"https://doi.org/10.26360/2022_3","url":null,"abstract":"Resumen En este trabajo se ha realizado una breve introducción sobre la metodología Regresión de Proceso Gaussiano (GPR) y dos aplicaciones en el ámbito Actuarial. Por un lado, se ha realizado un ejercicio de interpolación sobre las tablas de mortalidad PASEM Unisex 2020, concluyendo que el GPR es una excelente herramienta de interpolación, y que nos permite una tarificación más ajustada en el ramo de Vida. Por otro lado, se ha integrado el GPR como medida de predicción de provisiones en los ramos de No-Vida, obteniendo unos resultados prometedores. Por último, se concluye que un GPR puede ser un instrumento útil, siempre y cuando, se realice una buena selección del Kernel y un correcto período de entrenamiento del modelo. Palabras clave: proceso gaussiano, normal multivariante, covarianza, Ciencias Actuariales, distribuciones. Abstract In this work, a brief introduction has been made on the Gaussian Process Regression (GPR) methodology and two applications in the Actuarial field. On the one hand, an interpolation exercise has been carried out on the PASEM Unisex 2020 mortality tables, concluding that the GPR is an excellent interpolation tool, and that it allows us a more adjusted pricing in the Life branch. On the other hand, the GPR has been integrated as a predictive measure for provisions in Non-Life branches, obtaining promising results. Finally, it is concluded that a GPR can be a useful instrument, as long as a good Kernel selection and a correct model training period are carried out. Keywords: gaussian process, multivariate normal, covariance, Actuarial Science, distributions.","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69274573","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"LA REDUCCION DE CUOTAS EN LAS INDEMNIZACIONES POR LUCRO CESANTE POR FALLECIMIENTO EN ACCIDENTE DE TRÁFICO: ANALISIS DEL SISTEMA VIGENTE Y PROPUESTA DE SISTEMA ALTERNATIVO","authors":"Olga Gómez Pérez-Cacho, Rafael Moreno Ruiz, Elvira Rubio Peña","doi":"10.26360/2022_7","DOIUrl":"https://doi.org/10.26360/2022_7","url":null,"abstract":"Resumen Con la aprobación de la Ley 35/2015, se introdujo un nuevo sistema de valoración de los daños que reconoce el perjuicio patrimonial por lucro cesante de aquellos individuos que dependían económicamente de la víctima fallecida en un accidente de tráfico. Sin embargo, el sistema definido para el cálculo de las indemnizaciones por este perjuicio patrimonial produce disfunciones cuando es necesario aplicar la reducción de cuotas prevista en el artículo 87 del texto legal, resultando posible que no se resarza íntegramente el daño sufrido por cada uno de ellos, el cual es uno de los principios fundamentales del sistema. El presente trabajo tiene como objetivo analizar las disfunciones del sistema actual y proponer un sistema alternativo que de una valoración actuarial específica, se basa en una definición dinámica de la variable “cuota del perjudicado”, que toma en consideración las diferencias que puedan producirse entre las duraciones de los periodos de dependencia económica de los distintos perjudicados. Palabras clave: lucro cesante por fallecimiento, Ley 35/2015, baremo de accidentes de tráfico, reducción de cuotas, modelo alternativo, valoración actuarial. Abstract With the approval of Law 35/2015, a new system for the valuation of damages was introduced that recognizes the pecuniary loss due to loss of earnings of those individuals who were economically dependent on the victim who died in a traffic accident. However, the system defined for the calculation of compensation for this pecuniary loss produces dysfunctions when it is necessary to apply the reduction of quotas provided for in article 87 of the legal text, resulting in the possibility that the damage suffered by each of them, which is one of the fundamental principles of the system, is not fully compensated. The aim of this paper is to analyze the dysfunctions of the current system and to propose an alternative system to mitigate or even avoid them. This system, whose application would require a specific actuarial valuation, is based on a dynamic definition of the «injured party’s quota» variable, which takes into account the differences that may occur between the lengths of the periods of economic dependence of the different injured parties. Keywords: loss of earnings due to death, Law 35/2015, traffic accident scale, reduction of quotas, alternative model, actuarial valuation.","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69275010","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"MODELING LAPSE RATES USING MACHINE LEARNING: A COMPARISON BETWEEN SURVIVAL FORESTS AND COX PROPORTIONAL HAZARDS TECHNIQUES","authors":"Andrade, Valencia","doi":"10.26360/2021_7","DOIUrl":"https://doi.org/10.26360/2021_7","url":null,"abstract":"Abstract This study undertakes a comparative analysis of the performance of machine learning and traditional survival analysis techniques in the insurance industry. The techniques compared are the traditional Cox Proportional Hazards (CPH), Random Survival Forests (RSF) and Conditional Inference Forests (CIF) machine learning models. These techniques are applied in a case study of insurance portfolio of one of Ecuador’s largest insurer. This study demonstrates how machine learning techniques per- form better in predicting survival function measured by the C-index and Brier Score. It also demonstrates that the predictive contribution of covariates in the RSF model is consistent with the traditional CPH model. Keywords: survival analysis, machine learning, lapses rates, random survival forest","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69274471","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"IMPACTOS DE LA REFORMA PREVISIONAL EN EL CRECIMIENTO INCLUSIVO DE LA REPÚBLICA DOMINICANA","authors":"David Tuesta, D. Valero, E. Robles","doi":"10.26360/2021_4","DOIUrl":"https://doi.org/10.26360/2021_4","url":null,"abstract":"Abstract The paper studies the effects that individually funded pension schemes have on inclusive growth. For this, the reform introduced in 2001 in the Dominican Republic is analysed, one of the last to join the wave of reforms in the style of the “Chilean model” started in the eighties. Thus, it is found that the introduction of the individual savings system has led the Dominican Republic to grow more than one additional percentage point each year between the 2003-2019 period in its average estimates, which implies that for each point of growth it has experienced the Dominican GDP, 22% is explained by the operation of the private pension system. It has also been found that the annual impact on the saving-investment ratio has been 0.89% per year, which has resulted in the country's financial development index improving at an additional 0.21% per year and that the rate differential interest has been reduced by an average of 3.15% during the study period. As part of the virtuous circle fostered by the private pension system since its introduction, thanks to the operation of the private pension system, today the poverty rate is almost 4 points lower than in a scenario in which this reform had not been introduced. Keywords: private pensions, social security, economic growth, Latin America.","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69273817","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"DEPENDENCIA ENTRE GARANTÍAS EN EL RAMO AUTOS DE UNA EMPRESA ASEGURADORA. UN ANÁLISIS A TRAVÉS DE LA TEORÍA DE CÓPULAS.","authors":"Carmen Ruiz Arellano","doi":"10.26360/2021_2","DOIUrl":"https://doi.org/10.26360/2021_2","url":null,"abstract":"Abstract The present work tries to analyse the relationships between different auto- insurance guarantees through the application of the copula theory. The analysis of the data allows to shed light on the dependency relationships existing between the risk of insurance policies through various statistical functions. The results show how important are the effects derived from the analysis on the segmentation of customers and on the ways of pricing. Keywords: Copula theory, empirical copula, statistical distributions, insurance, vehicles.","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69274191","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}