Real property, probate, and trust journal最新文献

{"title":"Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies","authors":"Jin Sun, E. Platen","doi":"10.2139/ssrn.3347449","DOIUrl":"https://doi.org/10.2139/ssrn.3347449","url":null,"abstract":"Traditional life insurance policies offer no equity investment opportunities for the premium paid, and suffer from low returns over the long insurance terms. Modern equity-linked insurance policies offer equity investment opportunities exposed to equity market risk. To combine the low-risk of traditional policies with the high returns offered by equity-linked policies, we consider insurance policies under the benchmark approach (BA), where the policyholders’ funds are invested in the growth-optimal portfolio and the locally risk-free savings account. Under the BA, life insurance policies can be delivered at their minimal costs, lower than the classical actuarial theory predicts. Due to unhedgeable mortality risk, life insurance policies cannot be fully hedged. In this case benchmarked risk-minimization can be applied to obtain hedging strategies with minimally fluctuating profit and loss processes, where the fluctuations can further be reduced through diversification.","PeriodicalId":82443,"journal":{"name":"Real property, probate, and trust journal","volume":"17 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82785930","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":"Commitment Versus Flexibility and Sticky Prices: Evidence from Life Insurance","authors":"Radoslaw Paluszynski, Cheng Yu Pei","doi":"10.2139/ssrn.3156815","DOIUrl":"https://doi.org/10.2139/ssrn.3156815","url":null,"abstract":"Life insurance premiums display significant rigidity in the data, on average adjusting once every 3 years by more than 10%. This contrasts with the underlying marginal cost which exhibits considerable volatility due to the movements in interest and mortality rates. We build a dynamic model where policyholders are held-up by long-term insurance contracts, resulting in a time inconsistency problem for the firms. The optimal contract balances commitment and flexibility and takes the form of a simple cutoff rule: premiums are rigid for cost realizations smaller than the threshold, while adjustments must be large and are only possible when cost realizations exceed it. We use a calibrated version of the model to show that it matches the data and captures several aspects of premium rigidity in the cross-section and over time.","PeriodicalId":82443,"journal":{"name":"Real property, probate, and trust journal","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80073232","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":"Defining the Role of Agriculture in Agricultural Conservation Easements","authors":"Jess R. Phelps","doi":"10.15779/Z38DZ0323N","DOIUrl":"https://doi.org/10.15779/Z38DZ0323N","url":null,"abstract":"Farmland preservation has become an important pursuit for those seeking to protect the working landscape. One of the most common approaches for securing this protection is through the targeted use of agricultural conservation easements, typically perpetual land use agreements designed to limit incompatible activities in order to preserve future agricultural viability. Since the 1990s, agricultural conservation easements have protected millions of acres of land, and many of these donations have relied on the federal tax incentives provided by section 170(h) of the Internal Revenue Code to facilitate these transactions. Perhaps surprisingly given this high rate of utilization, securing farmland for future productive use is not an express objective of the Internal Revenue Code, which requires these donations to qualify on other grounds. This Article explores the impacts of this disconnect and examines options for how farmland preservation objectives could be better integrated into the current tax-incentivized conservation easement framework.","PeriodicalId":82443,"journal":{"name":"Real property, probate, and trust journal","volume":"35 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74551828","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":"Water to Wind: The Path Texas Groundwater Law Provides to Sever the Wind Estate and Prioritize Mutually Dominant Estates","authors":"R. Montgomery","doi":"10.2139/SSRN.3327532","DOIUrl":"https://doi.org/10.2139/SSRN.3327532","url":null,"abstract":"The Texas Legislature should sever the wind estate. The severance of wind estates is a current and common practice within Texas; however, neither the Texas Judiciary nor Texas Legislature has spoken regarding the validity of severed wind estates. The Texas Supreme Court aligned the ownership of groundwater to the ownership of minerals in 2012 and again in 2016. The Court’s decisions regarding groundwater supported a uniform approach to determining the property interests of financially valuable and fugitive natural resources. This method of determining ownership of groundwater differs from the approaches other states have utilized to determine ownership of financially valuable and fugitive natural resources. The Court also supported the historic approach Texas has taken to promote private property rights and the right to contract concerning one’s property when upholding the validity of severed groundwater estates. The ownership theories the Court applied to groundwater indicates how the Texas Legislature, or Texas Judiciary, should act regarding the ownership of wind. \u0000 \u0000This Article analyzes property rights in the wind above the surface estate and aligns the wind estate with groundwater and mineral estates, supporting the position wind estates should be severable property estates. Texas leads the nation in the production and development of wind energy, and due to this robust industry in Texas there are millions of dollars at stake in wind development and lease payments to landowners. Though Texas leads the nation in production and development of wind energy, neither the Texas Supreme Court nor Texas Legislature has provided any clarity to the property interests at stake in wind. The two cases that have addressed the severance of wind estates have analogized the wind estate to the mineral estate or groundwater estate. \u0000 \u0000The validity of wind estates needs to be addressed in Texas due to the financial gains, or losses, affecting the Texas landowner if legislation is passed validating, or invalidating, the severance of wind. If legislation is passed validating the wind estate, or legislation is passed similar to legislation passed by other states proactively invalidating wind severance while honoring the previously severed wind estate, wind estates will exist. The determination of the priority of the wind estate compared to the mineral, groundwater, and surface estates will have to be determined. The application and understanding of common law doctrines such as the dominant estate doctrine, first in time; first in right doctrine, and the accommodation doctrine provide clarity to the priority of the respective estates. \u0000 \u0000The Texas Supreme Court holdings in Coyote Lake Ranch v. City of Lubbock, as well as Edwards Aquifer Authority v. Day, applied the jurisprudence previously applied to mineral estates to groundwater estates. This Article analogizes the principles recently applied to groundwater estates and how they can, and should, be applied to the ","PeriodicalId":82443,"journal":{"name":"Real property, probate, and trust journal","volume":"233 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76560311","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":"Evidence for Persistence and Long Memory Features in Mortality Data","authors":"Hongxuan Yan, G. Peters, J. Chan","doi":"10.2139/ssrn.3322611","DOIUrl":"https://doi.org/10.2139/ssrn.3322611","url":null,"abstract":"It is important to understand the statistical features of mortality data if one is to accurately undertake mortality projection and forecasting when constructing life tables. The ability to accurately forecast mortality is a critical aspect for the study of demography, life insurance product design and pricing, pension planning and insurance based decision risk management. \u0000 \u0000Though many stylised facts of mortality data have been discussed in the literature, we provide evidence for a novel statistical feature that is pervasive in mortality data at a national level that is as yet unexplored. In this regard we demonstrate in this work strong evidence for the existence of long memory features in mortality data. We argue that it is important to consider as incorporate of such features in models will improve the understanding of mortality and the accuracy of forecasts. \u0000 \u0000To achieve this we first outline the way in which we choose to represent persistence of long memory from a estimator perspective. To achieve this, we make a natural link between a class of long memory feature and an attribute of stochastic processes based on fractional Brownian motion. This allows us to use well established estimators for the Hurst exponent to then robustly and accurately study the long memory features of mortality data. \u0000 \u0000A series of synthetic studies are implemented to evaluate the performance of three different estimators under different data lengths, different long memory strengths, different missing value settings, different aggregation type and different quantization. All of which are common transformations used in studying national level mortality data. Then the dynamic of the long memory across genders, age groups, countries and time periods is further analysed using real data from a range of different countries to demonstrate overwhelming evidence for this statistical property of mortality data.","PeriodicalId":82443,"journal":{"name":"Real property, probate, and trust journal","volume":"33 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85269896","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":"Reducing Model Risk and Improving Mortality Forecasts for Life Insurance Product Pricing","authors":"Hongxuan Yan, G. Peters, J. Chan","doi":"10.2139/ssrn.3319355","DOIUrl":"https://doi.org/10.2139/ssrn.3319355","url":null,"abstract":"The pricing of life insurance products depends critically on the ability to model and forecast three core stochastic drivers. Firstly, the ability to accurately forecast expected mortality rates by age group for a given population in order to construct estimates of the life expectancy required for survival linked insurance products. Secondly, the ability to model interest rate dynamics accurately over multi-decade time horizons, and thirdly the ability to model the causal relationship between mortality events and interest rate fluctuations. \u0000 \u0000In this work we tackle all three aspects of these challenging problems faced by actuaries seeking to robustly price life products. We demonstrate with real data for three major populations, U.K., U.S.A. and Australia that we are able to reduce the model risk and associated forecast errors of classical Lee-Carter models in constructing forecasts for mortality and subsequent life expectancy by age and gender. This is achieved by developing new classes of multivariate long-memory models for mortality which we compare to extensions of classical Lee-Carter models. Secondly, we develop standard short rate one factor models for interest rates, in which we incorporate dependence links with our stochastic mortality models. We develop a Bayesian calibration and forecasting framework which is estimated with a Hamiltonian Markov Chain Monte Carlo sampling procedure. \u0000 \u0000We then utilise these frameworks to study the influence of model risk for life products including annuity portfolios and the valuation of a guaranteed annuity option (GAO). We demonstrate that classical Lee-Carter type models can produce less accurate model forecasts than our proposed multivariate long memory models and we quantify the mispricing cost of this model risk.","PeriodicalId":82443,"journal":{"name":"Real property, probate, and trust journal","volume":"35 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87515707","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":"Blockchain’s Unsuitability for Real Property Transactions","authors":"Rod Thomas","doi":"10.2139/ssrn.3315000","DOIUrl":"https://doi.org/10.2139/ssrn.3315000","url":null,"abstract":"This paper attempts to bypass the hyperbole that invariably attends any discussion of the blockchain concept, and focus on its suitability for transfer of high-net-worth items which have a unique identity, or a long shelf life. \u0000 \u0000Real property falls within this classification. As recognised by the World Bank, a stable land tenure system is a necessary ingredient for economic development. Clearly, such a system should not be introduced for such a significant transactional area as land without a proper understanding of the ‘real life’ implications of how it will work. \u0000 \u0000This article concludes that the blockchain concept is, at heart, no more than a medium for transfer of value without third-party intervention. It undoubtedly has its uses, but it is unsuited for transactions of many high-value or unique assets that do not have a limited shelf life. The blockchain construct (at least in terms of what is called its ‘coloured coin’ application) fails to address issues such as the need for independent third-party verification and control of transactions. \u0000 \u0000For ease of reference, the following discussion is separated into sections. Section 1 introduces the blockchain construct, and discusses what makes a system a ‘blockchain’ system. Section 2 applies the blockchain construct to transfer of tangible and intangible property rights at common law, enabling us to understand issues that emerge in terms of introduction of a credible system. Section 3 develops this discussion in terms of a registry for transfer of real property rights under a common law system. This enables us in Section 4 to better understand the verification and control problems that emerge. Finally, in Section 5, the issues of risk and liability through implementation of a blockchain system are raised for discussion.","PeriodicalId":82443,"journal":{"name":"Real property, probate, and trust journal","volume":"112 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89450481","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":"Effects of Monitoring Technology on the Insurance Market","authors":"Yu‐Hung Chen, Baojun Jiang","doi":"10.2139/ssrn.3341047","DOIUrl":"https://doi.org/10.2139/ssrn.3341047","url":null,"abstract":"The car-insurance market is plagued with problems of adverse selection and moral hazard. In-vehicle data recorders can collect massive amount of information about the drivers’ driving behaviors and risk factors. This monitoring technology allows the firm to charge a premium based on the customer’s recorded driving behaviors; this helps to reduce the driver’s moral hazard. It can also allow the firm to set its insurance premium based on better estimates of the driver’s risk factors, alleviating the adverse-selection problem. We provide an analytical framework to examine the impact of such monitoring technology on the insurance firms and the drivers. Our analysis shows that in a duopoly one firm’s adoption of the monitoring technology may benefit both firms, because the firms have incentives to target different segments of drivers, leading to less intense competition in the market and reducing the surplus of the drivers. We show that if one firm has adopted the monitoring technology, its competitor may have no incentive to adopt that technology even if the acquisition cost is zero.","PeriodicalId":82443,"journal":{"name":"Real property, probate, and trust journal","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80896422","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":"Private Property and Intangibles","authors":"Peter Jaffey","doi":"10.2139/ssrn.3802736","DOIUrl":"https://doi.org/10.2139/ssrn.3802736","url":null,"abstract":"This chapter discusses intangible property and non-proprietary intangibles. It begins with a discussion of the idea of the right against interference as the basic right of property and compares it with idea of the right to the benefit of property. It discusses the idea of remedial consistency - consistency as between primary and remedial rights - and what this implies about property rights. In this connection it discusses the nature of the trust. It also discusses the “investment” function of private property. It then discusses various types of intangible property in the light of the suggested approach, including confidential information and contractual rights, with particular reference to the cases of Hello! and OBG v Allan.","PeriodicalId":82443,"journal":{"name":"Real property, probate, and trust journal","volume":"15 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80303302","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":"The Rights of Landowners and Their Limitations Under Cameroonian Law","authors":"Ntoko Ntonga Rene","doi":"10.2139/ssrn.3702305","DOIUrl":"https://doi.org/10.2139/ssrn.3702305","url":null,"abstract":"The holding of a property is not as important as knowing the rights which comes with it. However, every right or privileges has its limitations. That also is the case when landed properties in Cameroon is concern. It therefore becomes necessary to clearly ascertain the rights of landowners and the limitations that abounds when such rights are concern. That therefore forms the basis of this paper which seeks to pinpoint clearly the rights of the landowners in Cameroon and their limitations. To attain this object, the paper makes use of a doctrinal means of data collection which is analysed with the use of a thematic content approach. The results reveals the availability of several rights accrued to landowner which is not without certain limitations.","PeriodicalId":82443,"journal":{"name":"Real property, probate, and trust journal","volume":"7 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89054834","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}