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Principi e metodi per la valutazione attuariale del fondo trattamento di fine rapporto
No full textDipartimento di Matematica per le Decisioni, n.2, Firenz
Managing uncertainty in a defined benefit pension scheme
No full textThis paper focuses on a dynamic investment strategies a pension plan can fit to guarantee a fix rate life retirement annuity.
The risk suffered by pension provider comes out from the
uncertainty of both stochastic financial returns of the investment of the residual amount (financial risk) and of the pensioners’ future lifetimes (demographic risk). There are many papers which have dealt with the financial and longevity risks in the decumulation phase of defined contribution pension schemes (see Blake et al. (2002), Gerrard et al. (2006)), while with this paper we would underline the kind of risk suffered by those who have an bligation
to pay a fixed rate annuity. There are two opposing requirements in setting the constant rate of the instalment annuity: on one hand the interest of the pensioner to have the highest possible rate given the initial invested amount; on the other hand the interest of
the pension provider, which has to manage the risk of having to use its own capital in order to ensure the payment of the retirement annuity. If the death of the pensioner occurs when the residual amount is still positive, there is a ”gain” for the pensio
n provider; conversely, if the residual amount hits zero-level while the pensioner is still alive, the pension provider has to release
other own reserves to the payment of the pension benefits. Therefore, we refer to an ”equilibrium” which could be reasona
bly represented by the annuity rate which makes the probability that the pension provider has to release other own reserves not exceeding a fixed level. This point of view, should be interpreted as a sort of solvency requirement for the pension provider.
From a practical point of view, we face this problem drawing inspiration from the actuarial literature on Variable Annuities (VA) (see Milevsky and Salisbury (2006)). In particular, our original contribution lies in exploit valuation models developed for Guaranteed Lifelong Withdrawal Benefit Option embedded in VA’s (Bacinello et al. (2010), Piscopo (2009), Haberman and Piscopo (2010)) and adapt them to pension schemes. We develop the model in a stochastic demographic framework and refer to Black-
Scholes financial scenario.
Set a level of probability of default associated to a certain level of the guaranteed, the paper focuses on the determination of an optimal dynamic investment strategy of the surplus, taking into account the time in which a pensioner has the possibility to switch
from a risk financial profile to another.
The numeric results we will propose are obtained via Monte Carlo simulations but analytical results are being implemented to enforce them.
The paper is structured as follows. At first we introduce the demographic and financial scenario in which the model operates and we describe the valuation problem. Then we present
some analytical results, the simulation algorithm and
finally we propose some numerical results
THE CONCEPT OF A SUITABLE INSURANCE POLICY USING LEADER -FOLLOWER GAMES
No full textLife insurance companies are more and more interested in creating flex-
ible policies in order to reach more specific segments of the market than in
the past. They can induce the agents to sell a personalized policy to a specific
class of clients selecting for them an appropriate reward; in this case we have
an optimization problem connected to the reward of the agent. In this paper,
the Leader-Follower game is proposed as a model to study the hierarchical re-
lationship between the company and the agent and it is applied to a particular
case of unit-linked policy
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
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