{"title":"Implicaciones éticas de los life settlements y los viatical settlements.","authors":"Jorge De Andrés-Sánchez","doi":"10.26360/2020_1","DOIUrl":"https://doi.org/10.26360/2020_1","url":null,"abstract":"","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2020-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49544018","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":"Algoritmos de machine learning para la detección de fraude en el seguro de automóviles","authors":"","doi":"10.26360/2020_2","DOIUrl":"https://doi.org/10.26360/2020_2","url":null,"abstract":"","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2020-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48333520","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}
espanolDado un nivel o tolerancia de riesgo, la regresion cuantilica es un modelo predictivo que ajusta el correspondiente percentil de la variable respuesta continua. Fijado un determinado valor porcentual, se identifica el efecto de cada variable predictora en la distribucion acumulada hasta ese nivel de la variable dependiente. En este articulo mostramos como puede utilizarse esta metodologia en el analisis de datos en el seguro de automovil y proponemos una extension de la regresion cuantilica inspirada en la necesidad de predecir la esperanza de la cola condicional. Para ello se han desarrollado rutinas especificas en R y se ha implementado un procedimiento de remuestreo para la aproximacion de los errores estandar. La principal conclusion es que este tipo de modelos permite analizar que factores inciden en el riesgo de accidente y pueden ser utilizados para mitigarlo o para valorarlo en el ambito asegurador. EnglishGiven a risk level or tolerance, quantile regression is a predictive model that fits the corresponding percentile of the continuous response variable. Given a fixed percentage value, we identify the effect of each predictor variable in the cumulative distribution up to that level of the dependent variable. In this article, we show how this methodology can be used in motor insurance data analysis and we propose an extension of quantile regression inspired by the need to predict the expectation of the conditional tail. To this end, specific R routines have been developed and a resampling procedure has been implemented to approximate standard errors. The main conclusion is that this type of models allows us to analyze which factors affect accident risk and can be used to mitigate or to evaluate risk in the insurance field
{"title":"REGRESIÓN CUANTÍLICA COMO PUNTO DE PARTIDA EN LOS MODELOS PREDICTIVOS PARA EL RIESGO","authors":"Albert Pitarque, Ana Mª Pérez Marín, M. Guillén","doi":"10.26360/2019_5","DOIUrl":"https://doi.org/10.26360/2019_5","url":null,"abstract":"espanolDado un nivel o tolerancia de riesgo, la regresion cuantilica es un modelo predictivo que ajusta el correspondiente percentil de la variable respuesta continua. Fijado un determinado valor porcentual, se identifica el efecto de cada variable predictora en la distribucion acumulada hasta ese nivel de la variable dependiente. En este articulo mostramos como puede utilizarse esta metodologia en el analisis de datos en el seguro de automovil y proponemos una extension de la regresion cuantilica inspirada en la necesidad de predecir la esperanza de la cola condicional. Para ello se han desarrollado rutinas especificas en R y se ha implementado un procedimiento de remuestreo para la aproximacion de los errores estandar. La principal conclusion es que este tipo de modelos permite analizar que factores inciden en el riesgo de accidente y pueden ser utilizados para mitigarlo o para valorarlo en el ambito asegurador. EnglishGiven a risk level or tolerance, quantile regression is a predictive model that fits the corresponding percentile of the continuous response variable. Given a fixed percentage value, we identify the effect of each predictor variable in the cumulative distribution up to that level of the dependent variable. In this article, we show how this methodology can be used in motor insurance data analysis and we propose an extension of quantile regression inspired by the need to predict the expectation of the conditional tail. To this end, specific R routines have been developed and a resampling procedure has been implemented to approximate standard errors. The main conclusion is that this type of models allows us to analyze which factors affect accident risk and can be used to mitigate or to evaluate risk in the insurance field","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47755576","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}
The system of notional accounts has been successfully implemented for years in some European countries and, in others, there are plans to change to it. This system makes the worker uncertain as he/she does not know what his/her retirement pension will be. Therefore, this paper analyzes the system of notional accounts in order to clarify their possible strengths and weaknesses. There are located the factors that influence the accumulated value at retirement, and that will make it possible to obtain a retirement pension, the ultimate end of this system of social financing. Finally, some simple rules are derived that make it possible to know the level of pension that the worker would reach depending on the decisions taken and according to the standard of living that he/she wishes to have when retiring. Keywords: actuarial equivalence, pensions, retirement, Social Security
{"title":"LUCES Y SOMBRAS DEL SISTEMA DE CUENTAS NOCIONALES","authors":"J. De la Peña","doi":"10.26360/anales2019_3","DOIUrl":"https://doi.org/10.26360/anales2019_3","url":null,"abstract":"The system of notional accounts has been successfully implemented for years in some European countries and, in others, there are plans to change to it. This system makes the worker uncertain as he/she does not know what his/her retirement pension will be. Therefore, this paper analyzes the system of notional accounts in order to clarify their possible strengths and weaknesses. There are located the factors that influence the accumulated value at retirement, and that will make it possible to obtain a retirement pension, the ultimate end of this system of social financing. Finally, some simple rules are derived that make it possible to know the level of pension that the worker would reach depending on the decisions taken and according to the standard of living that he/she wishes to have when retiring. Keywords: actuarial equivalence, pensions, retirement, Social Security","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47413691","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}
Las tecnicas de inteligencia artificial se han vuelto muy populares en las organizaciones publicas y privadas debido a que permiten un proceso de toma de decisiones mas preciso. Las companias de seguros privadas se han aventurado en este campo mediante la implementacion de algoritmos que permiten una mejor comprension de los datos disponibles. El conocimiento de las decisiones de jubilacion permite a las companias de seguros detectar el retiro temprano en un momento dado para tener una provision presupuestaria adecuada. En este documento, los algoritmos de aprendizaje automatico y datos de planes de pensiones privados se utilizan para predecir si una persona se jubila antes o despues de los 65 anos en funcion de caracteristicas individuales y factores macroeconomicos.
{"title":"SCORING AND PREDICTION OF EARLY RETIREMENT USING MACHINE LEARNING TECHNIQUES: APPLICATION TO PRIVATE PENSION PLANS","authors":"J. R. Salazar, M. B. Penas","doi":"10.26360/2019_6","DOIUrl":"https://doi.org/10.26360/2019_6","url":null,"abstract":"Las tecnicas de inteligencia artificial se han vuelto muy populares en \u0000las organizaciones publicas y privadas debido a que permiten un \u0000proceso de toma de decisiones mas preciso. Las companias de seguros \u0000privadas se han aventurado en este campo mediante la \u0000implementacion de algoritmos que permiten una mejor comprension \u0000de los datos disponibles. El conocimiento de las decisiones de \u0000jubilacion permite a las companias de seguros detectar el retiro \u0000temprano en un momento dado para tener una provision \u0000presupuestaria adecuada. En este documento, los algoritmos de \u0000aprendizaje automatico y datos de planes de pensiones privados se \u0000utilizan para predecir si una persona se jubila antes o despues de los \u000065 anos en funcion de caracteristicas individuales y factores \u0000macroeconomicos.","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69273970","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}
Robert Meneu Gaya, J. E. D. Carpio, Margarita Carpio, Inmaculada Domínguez Fabián, Francisco Borja Encinas Goenechea, Miguel Ángel García
espanolEste trabajo analiza el comportamiento individual en cuanto a edad de jubilacion en Espana y la relacion entre edad efectiva, edad legal, esperanza de vida y tasa de actividad de la poblacion mayor. Se demuestra que los actuales coeficientes de ajuste por jubilacion a distintas edades no son actuarialmente neutrales, incentivando la jubilacion a la edad legal. Mediante calculo actuarial, en el trabajo se determina la edad de jubilacion optima, bajo el criterio de la maximizacion de la riqueza bruta por pensiones, y los factores de equidad actuarial por edad que habria que aplicar para lograr la neutralidad actuarial. EnglishThis paper analyzes the individual behavior about retirement age in Spain and the relationship between effective retirement age, statutory retirement age, life expectancy and activity rate of the elderly population. It is shown that the current adjustment coefficients for retirement at different ages are not actuarially neutral, encouraging retirement at the statutory age. Using actuarial methodology, we stablish the optimal retirement age, under the criterion of the maximization of gross pension wealth, and the factors of actuarial equity by age that should be applied to achieve actuarial neutrality.
{"title":"LA JUBILACIÓN EN ESPAÑA: EDAD ÓPTIMA Y EQUIDAD ACTUARIAL","authors":"Robert Meneu Gaya, J. E. D. Carpio, Margarita Carpio, Inmaculada Domínguez Fabián, Francisco Borja Encinas Goenechea, Miguel Ángel García","doi":"10.26360/2019_1","DOIUrl":"https://doi.org/10.26360/2019_1","url":null,"abstract":"espanolEste trabajo analiza el comportamiento individual en cuanto a edad de jubilacion en Espana y la relacion entre edad efectiva, edad legal, esperanza de vida y tasa de actividad de la poblacion mayor. Se demuestra que los actuales coeficientes de ajuste por jubilacion a distintas edades no son actuarialmente neutrales, incentivando la jubilacion a la edad legal. Mediante calculo actuarial, en el trabajo se determina la edad de jubilacion optima, bajo el criterio de la maximizacion de la riqueza bruta por pensiones, y los factores de equidad actuarial por edad que habria que aplicar para lograr la neutralidad actuarial. EnglishThis paper analyzes the individual behavior about retirement age in Spain and the relationship between effective retirement age, statutory retirement age, life expectancy and activity rate of the elderly population. It is shown that the current adjustment coefficients for retirement at different ages are not actuarially neutral, encouraging retirement at the statutory age. Using actuarial methodology, we stablish the optimal retirement age, under the criterion of the maximization of gross pension wealth, and the factors of actuarial equity by age that should be applied to achieve actuarial neutrality.","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49087593","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}
An increasingly aging society is a major challenge for both insurers and global pension systems, as well as for individuals themselves who may face the risk of outliving their savings. New products are needed in order to address this issue, as current life products are facing many problems to counteract the effect of longevity. In this article, we rescue tontines, a form of life insurance that became popular more than three centuries ago, that was outlawed and we present them today as an alternative to this scenario of increasing of the global longevity.
{"title":"Modelo de equidad actuarial de operaciones tontinas","authors":"David Villarino","doi":"10.26360/2019_4","DOIUrl":"https://doi.org/10.26360/2019_4","url":null,"abstract":"An increasingly aging society is a major challenge for both insurers and \u0000global pension systems, as well as for individuals themselves who may face \u0000the risk of outliving their savings. New products are needed in order to \u0000address this issue, as current life products are facing many problems to \u0000counteract the effect of longevity. In this article, we rescue tontines, a form \u0000of life insurance that became popular more than three centuries ago, that was \u0000outlawed and we present them today as an alternative to this scenario of \u0000increasing of the global longevity.","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47372364","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}
Differences on the traffic accident severity between new and old vehicles are analyzed, taking into account the association between the age of the vehicle and the age of drivers. We showed that the ageing of the Spanish vehicle fleet is associated with the severity of motor injuries, especially significant in case of drivers over 75 years driving vehicles older than 12 years. The age of the driver and the age of the vehicle are two main risk factors considered in insurance pricing. In addition, the severity of claims has a direct impact on the estimation of reserves.
{"title":"Longevidad de los conductores y antigüedad de los vehículos: impacto en la severidad de los accidentes","authors":"M. Ayuso, Rodrigo Sánchez-Reyes, Miguel Santolino","doi":"10.26360/2019_2","DOIUrl":"https://doi.org/10.26360/2019_2","url":null,"abstract":"Differences on the traffic accident severity between new and old vehicles are analyzed, taking into account the association between the age of the vehicle and the age of drivers. We showed that the ageing of the Spanish vehicle fleet is associated with the severity of motor injuries, especially significant in case of drivers over 75 years driving vehicles older than 12 years. The age of the driver and the age of the vehicle are two main risk factors considered in insurance pricing. In addition, the severity of claims has a direct impact on the estimation of reserves.","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2019-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69273947","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}
In this paper, we apply extreme value theory (EVT) and time series models to eight developed and emerging stock markets published in the Morgan Stanley Capital International (MSCI) Index. Based on the Human Development Index (HDI) rankings, which are consistent with the MSCI index, we analyse Singapore, Spain, UK and US for developed stock markets and Chile, Russia, Malaysia and Turkey for emerging stock markets. We use the daily prices (in USD) of eight countries for the period from January 2014 to December 2017 and examine the performances of the models based on in-sample testing. Calculating the value-at-risk (VaR) as a risk measure for both right and left tails of the log-returns of the selected models, we compare these countries in terms of their financial risks. The obtained risk measures enable us to discuss the grouping and the ranking of the stock markets and their relative positions.
{"title":"A COMPARISON OF THE EXTREME VALUE THEORY AND GARCH MODELS IN TERMS OF RISK MEASURES","authors":"Ezgi Nevruz, S. Sahin","doi":"10.26360/2018_7","DOIUrl":"https://doi.org/10.26360/2018_7","url":null,"abstract":"In this paper, we apply extreme value theory (EVT) and time series models to eight developed and emerging stock markets published in the Morgan Stanley Capital International (MSCI) Index. Based on the Human Development Index (HDI) rankings, which are consistent with the MSCI index, we analyse Singapore, Spain, UK and US for developed stock markets and Chile, Russia, Malaysia and Turkey for emerging stock markets. We use the daily prices (in USD) of eight countries for the period from January 2014 to December 2017 and examine the performances of the models based on in-sample testing. Calculating the value-at-risk (VaR) as a risk measure for both right and left tails of the log-returns of the selected models, we compare these countries in terms of their financial risks. The obtained risk measures enable us to discuss the grouping and the ranking of the stock markets and their relative positions.","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2018-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69273916","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":"ANÁLISIS DE LA DEPENDENCIA ESPACIAL ENTRE ÍNDICES BURSÁTILES","authors":"C. Acuña, Catalina Bolancé Losilla, S. T. Porras","doi":"10.26360/2018_4","DOIUrl":"https://doi.org/10.26360/2018_4","url":null,"abstract":"","PeriodicalId":40666,"journal":{"name":"Anales del Instituto de Actuarios Espanoles","volume":null,"pages":null},"PeriodicalIF":0.1,"publicationDate":"2018-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69273487","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}
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