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Empirical Scenario Forecasting for financial risk measurement in pension annuity systems
No full textMeasuring and hedging the basis risk by Functional Demographic Models
No full textLongevity phenomenon is a relevant aspect for insurance
companies which are obliged to quantify the impact of uncertainty of
mortality trend on issued products, in order to manage the risk derived
from it. Recently, significant tools have been developed for transferring
longevity risk to the capital markets, bringing additional capacity, flex-
ibility and transparency to complement existing insurance solutions. In
particular, hedging longevity risk with index-based longevity hedges can
have several advantages. Nevertheless, the difference between the in-
surer’s mortality experience based on annuitant mortality and the hedged
standardized index based on reference population mortality give rise to
the so-called basis risk. The presence of basis risk means that hedge ef-
fectiveness will not be perfect and that, post implementation, the hedged
position will still have some residual risk. The present paper seeks to con-
tribute to that literature by setting out a framework for quantifying the
basis risk. In particular we propose a model that measure the population
basis risk involved in a longevity hedge, in the functional demographic
model setting. Moreover, while most existing models are designed for a single population the research objective is to model mortality of two pop-
ulations, in order to align with the hedging purpose. Finally, longevity
hedging strategies are developed by involving mortality-linked securitie
Measuring and hedging the basis risk by functional data models
No full textActually the longevity phenomenon is a relevant aspect for insurance companies which are obliged to quantify the impact of uncertainty of mortality trend on products issued, in order to manage the risk derived from it. In fact, the problem of ex post possible systematic deviations of observed death rates and survival hypothesis from ex ante projections made by insurance companies - longevity risk - can seriously damage the safe and careful management.
Recently, significant tools have been developed for transferring longevity risk to the capital markets, bringing additional capacity, flexibility and transparency to complement existing insurance solutions (Coughlan et al. 2011).
In particular, hedging longevity risk with index-based longevity hedges can have several advantages, as widely shown in literature (for instance in Blake et al. 2006, Coughlan at al 2009b).
Neverthless, the difference between the insurer’s mortality experience based on annuitant mortality, and the hedged standardized index based on reference population mortality gives rise to the so-called basis risk (Ngai and Sherris 2011). It exists due to, e.g., differing profiles of socioeconomic groups,
lifestyle and geography.
The presence of basis risk means that hedge effectiveness will not be perfect and that, post implementation, the hedged position will still have some residual risk. Several authors have explored the basis risk between populations associated with annuity portfolios and life insurance portfolios. Cox and Lin (2007) found empirical evidence of a (partial) natural hedge operating between such portfolios, implying that the basis risk between them is relatively small. Coughlan et al. (2007a) provided a calculation of the risk reduction between hypothetical annuity and life insurance portfolios using historical mortality experience data: the results suggest significant benefits in terms of reduction in risk and economic capital. Sweeting (2007) explored the basis risk associated with longevity swaps in a more qualitative fashion but draws similar conclusions.
The present paper seeks to contribute to that literature by setting out a framework for quantifying the basis risk. In particular we propose a model that measure the population basis risk involved in a longevity hedge, in the functional demographic model (FDM) setting. The literature (Hyndman and Ullah 2007) suggests that the FDM forecast accuracy is arguably connected to the model structure, combining functional data analysis, nonparametric smoothing and robust statistics. In particular, the decomposition of the fitted curve via basis functions represents the advantage, since they capture the variability of the mortality trend, by separating out the effects of several orthogonal components.
In particular, while most existing models are designed for a single population the research objective is to model mortality of two populations, (Li and Hardy 2011) in order to align with the hedging purpose. Finally, longevity hedging strategies are developed by involving mortality-linked securities and the effectiveness is estimated with regard to pension annuities by graphical analyses
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe 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
Full text link“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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