UB RISKCENTER – Working Papers Series
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Document de treballImpacto de los accidentes domésticos y de ocio en las tasas de discapacidad y costes de cuidados de larga duración en España(Universitat de Barcelona. Riskcenter, 2018) Alemany Leira, Ramon; Ayuso, Mercedes; Guillén, MontserratLos accidentes domésticos y de ocio son una de las principales causas de mortalidad por causa diferente al envejecimiento, y tienen un elevado impacto en los sistemas de salud. Sin embargo, hasta la fecha, el número de estudios asociados a la medición de su impacto socioeconómico es muy limitado, a diferencia de aquellos asociados a otras causas como los accidentes de tráfico o los accidentes laborales. Nuestro objetivo es analizar las necesidades de cuidados de larga duración asociadas a accidentes domésticos y de ocio (ADO, lesiones por accidentes domésticos y de ocio) en España. Concluimos que las necesidades de cuidados derivados de dichas causas se incrementan con la edad de las personas, con una elevada incidencia en todas aquellas situaciones en las que las personas ven limitada su movilidad. Los elevados costes socioeconómicos que se derivan (aproximadamente 781 millones de euros en 2016 en España por gastos en cuidados de larga duración, un 0,07% del Producto Interior Bruto) ponen de manifiesto la necesidad de que los gobiernos pongan en marcha políticas preventivas.- Document de treballImpact of home and leisure accident rates on disability and costs of long term care in Spain(Universitat de Barcelona. Riskcenter, 2018) Alemany Leira, Ramon; Ayuso, Mercedes; Guillén, MontserratHome and leisure accidents are one of the main causes of mortality due to other causes than aging, and have a high impact on health systems. However, to date, the number of studies associated with measuring their socioeconomic impact is very limited, unlike those associated with other causes such as traffic accidents or work accidents. Our objective is to analyze the long-term care needs associated with home and leisure accidents (HLA) in Spain. We conclude that the care needs derived from these causes increase with age of people, with a high incidence in all those situations in which people see their mobility limited. The high socio-economic costs that result (approximately 781 million euros in 2016 in Spain for expenses in long-term care, 0.07% of the Gross Domestic Product) highlight the need to implement preventive policies. Taking into account the budgetary constraints that the public systems can have to address all costs, the development of insurance products that help to cover these specific situations could be justified
- Document de treballAgeing and health-related quality of life: evidence from Catalonia (Spain) [WP-RC](Universitat de Barcelona. Riskcenter, 2018) Alcañiz, Manuela; Solé i Auró, AïdaReaching advanced old age is more common now than ever. The sustained growth in longevity raises questions about why some people can feel in good quality of life until the last stages, while others seem to accuse the natural deterioration to a larger extent. The self-perceived quality of life has a subjective component, but is also mediated by some easily measurable factors such as sociodemography, health, functioning and lifestyles.
- Document de treballImproving automobile insurance ratemaking using telematics: incorporating mileage and driver behaviour data [WP](Universitat de Barcelona. Riskcenter, 2017) Ayuso, Mercedes; Guillén, Montserrat; Nielsen, Jens PerchWe show how data collected from a GPS device can be incorporated in motor insurance ratemaking. The calculation of premium rates based upon driver behaviour represents an opportunity for the insurance sector. Our approach is based on count data regression models for frequency, where exposure is driven by the distance travelled and additional parameters that capture characteristics of automobile usage and which may affect claiming behaviour. We propose implementing a classical frequency model that is updated with telemetrics information. We illustrate the method using real data from usage-based insurance policies. Results show that not only the distance travelled by the driver, but also driver habits, significantly influence the expected number of accidents and, hence, the cost of insurance coverage. This paper provides a methodology including a transition pricing transferring knowledge and experience that the company already had before the telematics data arrived to the new world including telematics information.
- Document de treballA joint longitudinal and survival model with health care usage for insured elderly(Universitat de Barcelona. Riskcenter, 2014) Piulachs Lozada-Benavente, Xavier; Alemany Leira, Ramon; Guillén, MontserratWe study longevity and usage of medical resources of a sample of individuals aged 65 years or more who are covered by a private insurance policy. A longitudinal analysis is presented, where the yearly cumulative number of medical coverage requests by each subject characterizes insurance intensity of care until death. We confirm that there is a significant correlation between the longitudinal data on usage level and the survival time processes. We obtain dynamic estimations of event probabilities and we exploit the potential of joint models for personalized survival curve adjustment.
- Document de treballOptimal personalized treatment rules for marketing interventions: A review of methods, a new proposal, and an insurance case study(Universitat de Barcelona. Riskcenter, 2014) Guelman, Leo; Guillén, Montserrat; Pérez Marín, Ana MaríaIn many important settings, subjects can show signi cant heterogeneity in response to a stimulus or treatment". For instance, a treatment that works for the overall population might be highly ine ective, or even harmful, for a subgroup of subjects with speci c characteristics. Similarly, a new treatment may not be better than an existing treatment in the overall population, but there is likely a subgroup of subjects who would bene t from it. The notion that "one size may not fit all" is becoming increasingly recognized in a wide variety of elds, ranging from economics to medicine. This has drawn signi cant attention to personalize the choice of treatment, so it is optimal for each individual. An optimal personalized treatment is the one that maximizes the probability of a desirable outcome. We call the task of learning the optimal personalized treatment "personalized treatment learning". From the statistical learning perspective, this problem imposes some challenges, primarily because the optimal treatment is unknown on a given training set. A number of statistical methods have been proposed recently to tackle this problem.
- Document de treballNon-parametric Models for Univariate Claim Severity Distributions - an approach using R(Universitat de Barcelona. Riskcenter, 2014) Bolancé Losilla, Catalina; Guillén, Montserrat; Pitt, DavidThis paper presents an analysis of motor vehicle insurance claims relating to vehicle damage and to associated medical expenses. We use univariate severity distributions estimated with non-parametric methods. The methods are implemented using the statistical package R. The nonparametric analysis presented involves kernel density estimation. We illustrate the benefits of applying transformations to data prior to employing kernel based methods. We use a log-transformation and an optimal transformation amongst a class of transformations that produces symmetry in the data. The central aim of this paper is to provide educators with material that can be used in the classroom to teach statistical estimation methods, goodness of fit analysis and importantly statistical computing in the context of insurance and risk management. To this end, we have included in the Appendix of this paper all the R code that has been used in the analysis so that readers, both students and educators, can fully explore the techniques described.
- Document de treballAccounting for severity of risk when pricing insurance products(Universitat de Barcelona. Riskcenter, 2014) Alemany Leira, Ramon; Bolancé Losilla, Catalina; Guillén, MontserratWe design a system for improving the calculation of the price to be charged for an insurance product. Standard pricing techniques generally take into account the expected severity of potential losses. However, the severity of a loss can be extremely high and the risk of a severe loss is not homogeneous for all policy holders. We argue that risk loadings should be based on risk evaluations that avoid too many model assumptions. We apply a nonparametric method and illustrate our contribution with a real problem in the area of motor insurance.
- Document de treballLess is more: increasing retirement gains by using an upside terminal wealth constraint(Universitat de Barcelona. Riskcenter, 2015) Donnelly, Catherine; Gerrard, Russell; Guillén, Montserrat; Nielsen, Jens PerchWe solve a portfolio selection problem of an investor with a deterministic savings plan who aims to have a target wealth value at retirement. The investor is an expected power utility-maximizer. The target wealth value is the maximum wealth that the investor can have at retirement. By constraining the investor to have no more than the target wealth at retirement, we find that the lower quartiles of the terminal wealth distribution increase, so the risk of poor financial outcomes is reduced. The drawback of the optimal strategy is that the possibility of gains above the target wealth are eliminated.
- Document de treballDesarrollo metodológico del modelo actuarial de múltiples estados casado – viudo y cálculo actuarial del coste por pensiones de jubilación y viudedad(Universitat de Barcelona. Riskcenter, 2015) Alaminos Aguilera, Estefanía; Ayuso, MercedesEl objetivo de este trabajo es desarrollar metodológicamente un modelo actuarial de múltiples estados que permita probabilizar la transición entre los estados civiles casado-viudo para individuos de una determinada edad x. Dichas probabilidades se utilizarán en el cálculo del valor esperado de los pagos por concurrencia de pensiones para individuos de 65 o más años.
- Document de treballWhat attitudes to risk underlie distortion risk measure choices? [WP](Universitat de Barcelona. Riskcenter, 2015) Belles Sampera, Jaume; Guillén, Montserrat; Santolino, MiguelUnderstanding the attitude to risk implicit within a risk measure sheds some light on the way in which decision makers perceive losses. In this paper, a two-stage strategy is developed to characterize the underlying risk attitude involved in a risk evaluation, when executed by the family of distortion risk measures. First, we show that aggregation indicators defined for discrete Choquet integrals provide informa- tion about the implicit global risk attitude of the agent. Second, an analysis of the distortion function offers a local description of the agent's stance on risk in relation to the occurrence of accumulated losses. Here, the concepts of absolute risk attitude and local risk attitude arise naturally. An example is provided to illustrate the usefulness of this strategy for characterizing risk attitudes in an insurance company.
- Document de treballOn the practical implementation of retirement gains by using an upside and a downside terminal wealth constraint(Universitat de Barcelona. Riskcenter, 2015) Donnelly, Catherine; Guillén, Montserrat; Nielsen, Jens Perch; Pérez Marín, Ana MaríaWe analyze an investment strategy for an investor with a savings plan for retirement consisting on constraining the terminal wealth accumulated after the savings period by setting an upper and lower bound. We carry out a simulation of the terminal wealth after a savings period of thirty years by using daily, monthly, weekly and yearly updates. We calculate the percentiles of the final wealth and the corresponding lifetime annuity that the pension saver will receive during the consumption period. We observe how that the simulated values converge to the theoretical values of the percentiles when the frequency of update increases. Finally, in the numerical example the effect of inflaction is also considered.
- Document de treballIs the educational health gap increasing for women? Results from Catalonia (Spain)(Universitat de Barcelona. Riskcenter, 2015) Solé i Auró, Aïda; Alcañiz, ManuelaHealth expectancies vary worldwide according to socioeconomic status (SES). The lower SES usually show health disadvantage and the higher SES a health advantage compared to the average. The educational level of individuals is strongly linked to their SES.
- Document de treballMortality and longevity risks in the United Kingdom: Dynamic factor models and copula-functions(Universitat de Barcelona. Riskcenter, 2015) Chuliá Soler, Helena; Guillén, Montserrat; Uribe Gil, Jorge MarioWe present a methodology to forecast mortality rates and estimate longevity and mortality risks. The methodology uses Generalized Dynamic Factor Models fitted over the differences of the log-mortality rates. We compare prediction performance with models previously proposed in the literature, such as the traditional Static Factor Model fitted over the level of log-mortality rates. We also construct risks measures by the means of vine-copula simulations, taking into account the dependence between the idiosyncratic components of the mortality rates. The methodology is implemented to project the mortality rates of the United Kingdom, for which we consider a portfolio and study longevity and mortality risks.
- Document de treballEstimación del riesgo mediante el ajuste de cópulas(Universitat de Barcelona. Riskcenter, 2015) Bolancé Losilla, Catalina; Guillén, Montserrat; Padilla Barreto, Alemar ElaineEl propósito de éste trabajo, es presentar una forma de cuantificar el valor en riesgo de una cartera de activos mediante dos medidas de riesgo ampliamente conocidas como lo son el VaR y el TVaR. Para ello, utilizamos cópulas paramétricas bivariantes y el método de simulación de Monte Carlo.
- Document de treballEuropean government bond market integration in turbulent times [WP](Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública, 2014) Abad, Pilar; Chuliá Soler, HelenaIn this paper we investigate the dynamics of European government bond market integration during the financial crisis and, subsequently, during the European sovereign debt crisis. Based on the approach developed by Bae et al. -2003-, we adopt an intuitive measure of integration: the higher the number of joint extreme price rises or falls -coexceedances-, the higher the degree of integration. We also analyse the underlying determinants of the dynamics of integration using a binomial logistic regression. Our results reveal that the level of integration of European government bond markets with the euro area has changed over time, with notable differences between the financial and the European sovereign debt crises. We find that the Euribor, unexpected monetary policy announcements from the ECB and both regional and international volatility play an important role in determining the level of integration, and that, in general, the relevance of these factors does not change between the financial and the sovereign debt crises.
- Document de treballThe use of flexible quantile-based measures in risk assessment [WP](Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública, 2013) Belles Sampera, Jaume; Guillén, Montserrat; Santolino, MiguelA new family of distortion risk measures -GlueVaR- is proposed in Belles- Sampera et al. -2013- to procure a risk assessment lying between those provided by common quantile-based risk measures. GlueVaR risk measures may be expressed as a combination of these standard risk measures. We show here that this relationship may be used to obtain approximations of GlueVaR measures for general skewed distribution functions using the Cornish-Fisher expansion. A subfamily of GlueVaR measures satisfies the tail-subadditivity property. An example of risk measurement based on real insurance claim data is presented, where implications of tail-subadditivity in the aggregation of risks are illustrated.
- Document de treballDollarization and the relationship between EMBI and fundamentals Latin American countries [WP](Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública, 2014) Marí del Cristo, María Lorena; Gómez-Puig, MartaThis paper presents empirical evidence on the interrelationship that exists between the evolution of the Emerging Markets Bonds Index (EMBI) and some macroeconomic variables in seven Latin American countries; two of them (Ecuador and Panama), full dollarized. We make use of a Cointegrated Vector framework to analyze the short run effects from 2001 to 2009. The results suggest that EMBI is more stable in dollarized countries and that its evolution influences economic activity in non-dollarized economies; suggesting that investors confidence might be higher in dollarized countries where real and financial economic evolution are less tied than in non-dollarized ones.
- Document de treballAn update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis [WP](Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública, 2014) Gómez-Puig, Marta; Sosvilla Rivero, Simón; Ramos Herrera, María del CarmenWe empirically investigate the determinants of EMU sovereign bond yield spreads with respect to the German bund. Using panel data techniques, we examine the role of a wide set of potential drivers. To our knowledge, this paper presents one of the most exhaustive compilations of the variables used in the literature to study the behaviour of sovereign yield spreads and, in particular, to gauge the effect on these spreads of changes in market sentiment and risk aversion. We use a sample of both central and peripheral countries from January 1999 to December 2012 and assess whether there were significant changes after the outbreak of the euro area debt crisis. Our results suggest that the rise in sovereign risk in central countries can only be partially explained by the evolution of local macroeconomic variables in those countries.
- Document de treballCausality and Contagion in EMU Sovereign Debt Markets [WP](Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública, 2014) Gómez-Puig, Marta; Sosvilla Rivero, SimónThis paper contributes to the literature by applying the Granger causality approach and endogenous breakpoint test to offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt behaviour. A database of yields on 10-year government bonds issued by 11 EMU countries covering fourteen years of monetary union is used. The main results suggest that the 41 new causality patterns, which appeared for the first time in the crisis period, and the intensification of causality recorded in 70% of the cases, provide clear evidence of contagion in the aftermath of the current euro debt crisis.