Suchergebnisse

Ageing population and economic crisis have placed pay-as-you-go pension systems in need of mechanisms to ensure its financial stability. In this paper, we consider optimal indexing of pensions as an instrument to cope with the financial imbalances typically found in these systems. Using dynamic programming techniques in a stochastic continuous-time framework, we compute the optimal pension index and portfolio strategy that best target indexing and liquidity objectives determined by the government. A numerical example is provided to illustrate the results

This article examines the relationship between observed claim frequencies in the automobile insurance line and the evolution of selected economic magnitudes. From a variety of economic variables, we aim to identify the main factors affecting claim frequencies, while controlling for other legislative and demographic factors. Through a dynamic regression model, the analysis is conducted for three different categories of vehicles and for a variety of coverages. A comprehensive dataset from the main Spanish insurance companies is used to calibrate the model. The evidence might assist companies to improve ratemaking. ; Este artículo examina la relación entre las frecuencias de siniestralidad ob- servadas en la línea de seguros de automóviles y la evolución de magnitudes económicas seleccionadas. A partir de una variedad de variables económicas, nuestro objetivo es identificar los principales factores que afectan a las frecuen- cias de siniestralidad, controlando al mismo tiempo otros factores legislativos y demográficos. A través de un modelo de regresión dinámica, el análisis se realiza para tres categorías diferentes de vehículos y para distintas coberturas. Se utiliza una base de datos de las principales compañías de seguros españolas para calibrar el modelo. La evidencia podría ayudar a las empresas a mejorar su tarificación.

This article examines the relationship between observed claim frequencies in the automobile insurance line and the evolution of selected economic magnitudes. From a variety of economic variables, we aim to identify the main factors affecting claim frequencies, while controlling for other legislative and demographic factors. Through a dynamic regression model, the analysis is conducted for three different categories of vehicles and for a variety of coverages. A comprehensive dataset from the main Spanish insurance companies is used to calibrate the model. The evidence might assist companies to improve ratemaking.