1,354,619 research outputs found
Stochastic mortality: the impact on target capital
No full textIn this paper, we take the point of view of an insurer dealing with life annuities, which aims at building up a (partial) internal model in order to quantify the impact of mortality risks, namely process and longevity risk, in view of taking appropriate risk management actions. The model we propose focuses on the annual number of deaths in a given cohort, which we represent allowing for a random mortality rate. The model is then implemented for capital allocation purposes. We investigate the amount of the required capital for a given life annuity portfolio, based on solvency targets which could be adopted within internal models
Dataset of article "Susceptibility to Xylella fastidiosa and functional xylem anatomy in Olea europaea: revisiting a tale of plant-pathogen interaction"
No full textThis dataset contains the measurements of xylem anatomical traits, native embolism and bacterial contamination presented in the article:
Petit G, Bleve G, Gallo A, Mita G, Montanaro G, Nuzzo V, Zambonini D & Pitacco A (2021) Susceptibility to Xylella fastidiosa and functional xylem anatomy in Olea europaea: revisiting a tale of plant-pathogen interaction. AoB Plant
Canopy architecture and turbulence structure in a coniferous forest
No full textSynchronous sonic anemometric measurements at five heights within a mixed coniferous forest were used to test two different parameterisations ofcanopy architecture in the application of a second-order turbulence closure model. Inthe computation of the leaf drag area, the aerodynamic sheltering was replaced with anarchitectural sheltering, assumed to be analogous to the clumping index defined in radiativetransfer theory. Consequently, the ratio of leaf area density and sheltering factor was approximatedby the effective leaf area or the mean contact number, both obtained from the inversion of non-destructive optical measurements. The first parameter represents the equivalentrandomly dispersed leaf area in terms of shading, the second is the average number of leavesthat a straight line intercepts penetrating the canopy with a certain zenith angle. Theselection of this direction was determined by the analysis of the mean angle of the wind vectorduring sweep events. The drag coefficient values obtained from the inversion of themomentum flux equation, using the two proposed parameterisations, are in good agreement withvalues found in the literature. The predicted profiles of turbulence statistics reasonablymatch actual measurements, especially in the case of the mean contact numberparameterisation. The vertical profile of leaf drag area, obtained by forcing the turbulence modelto match the observed standard deviation of vertical velocity (w), is intermediatebetween the two empirical ones. Finally, the proposed canopy parameterisations were appliedto a Lagrangian transport model to predict vertical profiles of air temperature, H2O andCO2 concentration
Assessing the cost of capital for longevity risk
No full textThe cost of capital is a key element of the embedded value methodology for the valuation of a life business. In this paper we refer to a portfolio of immediate life annuities and we focus on longevity risk. Our purpose is to design a framework for a valuation of the portfolio which is market-consistent, and therefore based on a risk-neutral argument, while involving some of the basic items of a traditional valuation, viz best estimate future flows and allocated capital. This way, we try to reconcile the traditional with a market-consistent (or risk-neutral) approach. This allows us, in particular, to translate the results obtained under the risk-neutral approach in terms of a properly redefined embedded value
Life tables in actuarial models: from the deterministic setting to a Bayesian approach
No full textThe mortality dynamics experienced in the latest decades, especially at adult and old ages, has motivated the introduction of major innovations in the modeling of mortality for actuarial applications; such innovations concern, in particular, the representation of the uncertainty relating to aggregate mortality.
In this paper, we first provide a description of the traditional mortality model which is deterministic but also allows quite easily for a representation of the uncertainty relating to individual mortality. Then, we discuss a stochastic approach to the modeling of the uncertainty relating to aggregate mortality. Due to the importance of mortality evolution in respect of post-retirement liabilities, we refer to a portfolio of immediate life annuities (or pension annuities). We assume that a (projected) life table which provides a best-estimate assessment of annuitants’ future mortality is available. We show that the life table, from which a deterministic description of future mortality can be obtained, can be used as the basic input of appropriate stochastic models. In particular, we consider a Bayesian-inference setting for updating the parameters of the stochastic model according to the experienced mortality
Safe-side requirements in life insurance: a corporate perspective
No full textJOURNAL OF ACTUARIAL PRACTIC
Analisi non lineare di travi da ponte a struttura mista di acciaio e calcestruzzo sottopostea carichi viaggianti
No full textPartitioning of seasonal above‐ground biomass of four vineyard-grown varieties: Development of a modelling framework to infer temperature-rate response functions
No full textIntroduction to Insurance Mathematics: Technical and Financial Features of Risk Transfers
No full textThe book aims at presenting technical and financial features of life insurance, non-life insurance, pension plans. The book has been planned assuming non-actuarial readers as its "natural" target, namely
- advanced undergraduate and graduate students in Economics, Business and Finance;
- professionals and technicians operating in Insurance and pension areas, whose job may regard investments, risk analysis, financial reporting, etc, and hence implies a communication with actuarial professionals and managers.
Given the assumed target, the book focuses on technical and financial aspects of insurance, however avoiding the use of comples mathematical tools. In this sense, the book can be placed at some "midpoint" of the existing literature, part of which adopts more formal approaches to insurance problems implying the use of non-elementary mathematics, whereas another part addresses practical questions totally avoiding even simple mathematics (which, in our opinion, can conversely provide effective tools for presenting technical and financial features of the insurance business)
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