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The SCR Adequacy according to the Volatility Longevity Shocks.
No full textThe improvements in longevity observed in many countries over the past
century have been significant. The risk that the longevity experience is
higher than the one forecasted, i.e. longevity risk, is explicitly consideredin Solvency II standard formula as a sub-module of the life underwriting
risk module. The life underwriting risk module includes all the life
insurance and reinsurance obligations, except the SLT health insurance
obligations (EIOPA 2012), where the longevity risk is one of the seven
sub-modules. According to Solvency II, solvency capital requirements
(from herein SCRs) can be computed by a standard formula or an
internal model. Nevertheless, the scenario in which the insurance
companies operate is often more complex than that one assumed by the
standard formula. According to the standard formula the SCR is
represented as the change in net asset value due to longevity shock
which is a permanent 20% reduction of mortality rates for all ages. A
constant shock is not reasonable for all ages and maturities. The
scenario related to the standard formula may lead to a biased allocation
of capital, because of the volatility of longevity phenomenon in respect of
different ages. In this paper we examine the adequacy of SCRs on the
basis of the standard formula. To correctly calculate the solvency capital
requirement we follow a multi-period approach in the sense that we
evaluate at the beginning of each year the amount of capital that the
insurer need to meet its future obligations year by year till the contract
will be in force. We examine the adequacy of the shocks structure
suggested by the standard formula studying its impact on the SCR for
longevity risk (SCRLong) and liabilities at different ages
Basis risk in solvency capital requirements for longevity risk
No full textThe international guidelines of Solvency II prescribe a regulation which should help insurance industry mitigating undesired outcomes arising from the exposure to the systemic risks. In particular, the rules on Solvency Capital Requirements recommend to separately compute them for each risk factor, where for the longevity risk sub-module the Solvency Capital Requirement results by the change in net asset value (NAV) due to a longevity shock which actually assumes a permanent reduction of the mortality rates for all ages by 20%. Nevertheless, the data based on statistics coming from various national longevity indices differ from those deriving from the regulatory assessment of solvency, determining significant underestimations or overestimations: A basis risk comes from a questionable adequacy of the longevity shock. This paper contributes to the discussion on Solvency Capital Requirements by focusing on the main features of the potential basis risk which determines the inappropriate capitalization of insurance companies. Furthermore we analyze the sensitivities of the basis risk to different ages for better assessing the actual risk of insurance portfolios
Wavelet-based Processing of EEG Data for Brain-Computer Interfaces
No full textBrain-Computer Interfaces based on non-invasive electroencephalographic (EEG) signals were recently made practical through sophisticated algorithms and clever systems, in such a way that the dream of effortlessly translating volition into action is coming true, albeit in a limited way. However, a low signal-to-noise ratio and the presence of frequent artefacts, such as eye blinks, contaminate the recordings and make the recognition of the underlying mental processes difficult. In this study, a novel wavelet-based signal processing technique, Continuous Wavelet Regression, has been applied to refine EEG data in a well-known setting. The recordings of spontaneous (i.e., asynchronous) signals of subjects performing highly different cognitive tasks have been processed by our algorithm, and then analyzed and classified, obtaining very promising results as compared with those obtained by previous studies
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
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
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