scholarly journals Approximate Valuation of Life Insurance Portfolio with the Cluster Analysis: Trade-Off Between Computation Time and Precision

2021 ◽  
Vol 101 (4) ◽  
pp. 406-421
Author(s):  
Jan Fojtík ◽  
Jiří Procházka ◽  
Pavel Zimmermann

Valuation of the insurance portfolio is one of the essential actuarial tasks. Life insurance valuation is usually based on a projection of cash flows for each policy which is demanding computation time. Furthermore, modern financial management requires multiple valuations under different scenarios or input parameters. A method to reduce computation time while preserving as much accuracy as possible based on cluster analysis is presented. The basic idea of the method is to replace the original portfolio by a smaller representative portfolio based on clusters with some weights that would ensure the similarity of the valuation results to the original portfolio. Valuation is then significantly faster but requires initial time for clustering and the results are only approximate – different from the original results. The difference is studied for a different number of clusters and the trade-off between the approximation error and calculation time is evaluated.

2018 ◽  
Vol 2 (3) ◽  
pp. 111
Author(s):  
Aswindar Adhi Gumilang ◽  
Tri Pitara Mahanggoro ◽  
Qurrotul Aini

The public demand for health service professionalism and transparent financial management made some Puskesmas in Semarang regency changed the status of public health center to BLUD. The implementation of Puskesmas BLUD and non-BLUD requires resources that it can work well in order to meet the expectations of the community. The aim of this study is to know the difference of work motivation and job satisfaction of employees in Puskesmas BLUD and non-BLUD. Method of this research is a comparative descriptive with a quantitative approach. The object of this research are work motivation and job satisfaction of employees in Puskesmas BLUD and non-BLUD Semarang regency. This Research showed that Sig value. (P-value) work motivation variable was 0.019 smaller than α value (0.05). It showed that there was a difference of work motivation of employees in Puskemas BLUD and non-BLUD. Sig value (P-value) variable of job satisfaction was 0.020 smaller than α value (0.05). It showed that there was a difference of job satisfaction of BLUD and non-BLUD. The average of non-BLUD employees motivation were 76.59 smaller than the average of BLUD employees were 78.25. The average of job satisfaction of BLUD employees were 129.20 bigger than the average of non-BLUD employee were 124.26. Job satisfaction of employees in Puskesmas BLUD was higher than non-BLUD employees.


2018 ◽  
Vol 28 (1) ◽  
pp. 137-141
Author(s):  
Petya Yordanova – Dinova

This paper explores the comparative analysis of the financial controlling, who is a result from the common controlling concept and the financial management. In the specialized literature, financial controlling is seen as an innovative approach to financial management. It is often presented as the most promising instrument of financial diagnostics. Generally speaking, financial controlling is seen as a process of managing the company`s assets which are valued in monetary measures. The difference between the financial management and the financial controlling is that the second covers all functions of management, analysis and control of finances, aiming at maximizing their effective use and increasing the value of the enterprise. Financial controlling is often seen as a function of the common practice of financial management. Its objective is to preserve the financial stability and financial sustainability of enterprises operating in a highly aggressive business environment.


Risks ◽  
2021 ◽  
Vol 9 (3) ◽  
pp. 47
Author(s):  
Shuang Yin ◽  
Guojun Gan ◽  
Emiliano A. Valdez ◽  
Jeyaraj Vadiveloo

Death benefits are generally the largest cash flow items that affect the financial statements of life insurers; some may still not have a systematic process to track and monitor death claims. In this article, we explore data clustering to examine and understand how actual death claims differ from what is expected—an early stage of developing a monitoring system crucial for risk management. We extended the k-prototype clustering algorithm to draw inferences from a life insurance dataset using only the insured’s characteristics and policy information without regard to known mortality. This clustering has the feature of efficiently handling categorical, numerical, and spatial attributes. Using gap statistics, the optimal clusters obtained from the algorithm are then used to compare actual to expected death claims experience of the life insurance portfolio. Our empirical data contained observations of approximately 1.14 million policies with a total insured amount of over 650 billion dollars. For this portfolio, the algorithm produced three natural clusters, with each cluster having lower actual to expected death claims but with differing variability. The analytical results provide management a process to identify policyholders’ attributes that dominate significant mortality deviations, and thereby enhance decision making for taking necessary actions.


Author(s):  
Thomas Dangl ◽  
Josef Zechner

Abstract This paper shows that short debt maturities commit equityholders to leverage reductions when refinancing expiring debt in low-profitability states. However, shorter maturities lead to higher transaction costs since larger amounts of expiring debt need to be refinanced. We show that this trade-off between higher expected transaction costs against the commitment to reduce leverage in low-profitability states motivates an optimal maturity structure of corporate debt. Since firms with high costs of financial distress and risky cash flows benefit most from committing to leverage reductions, they have a stronger motive to issue short-term debt. Evidence supports the model’s predictions.


2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ajay Kumar ◽  
Anil Kumar Kashyap

Purpose The purpose of this study is to identify distinct segments of apparel shoppers based on their fashion shopping orientation. The difference among the segments based on mall attractive dimension is also examined. Design/methodology/approach The data were collected through mall intercept survey from the mall shoppers. Samples of 375 respondents are used for data analysis purpose. Exploratory factor analysis is used to extract the factors of fashion shopping orientation and mall attractive dimensions while K-means cluster analysis is applied to identify the segments. Findings This study resulted in three factors of fashion orientation of apparel shoppers, i.e. fashion involvement, variety seeking and economic value, and four factors of mall attractive dimensions: convenience, entertainment, atmosphere and architecture design. Based on these factors, this study came out with three distinct segments of fashion shoppers: pragmatic shoppers, variety seeking shoppers and highly fashioned shoppers. These three segments are attracted towards the mall dimension differently. Originality/value This paper presents the three distinct profiles of fashion shoppers based on their fashion shopping orientation and mall attractive dimensions. The findings of this study may help retailers and mall developers to target mall visitors appropriately.


2015 ◽  
Vol 9 (2) ◽  
pp. 304-321 ◽  
Author(s):  
Garfield O. Brown ◽  
Winston S. Buckley

AbstractWe propose a Poisson mixture model for count data to determine the number of groups in a Group Life insurance portfolio consisting of claim numbers or deaths. We take a non-parametric Bayesian approach to modelling this mixture distribution using a Dirichlet process prior and use reversible jump Markov chain Monte Carlo to estimate the number of components in the mixture. Unlike Haastrup, we show that the assumption of identical heterogeneity for all groups may not hold as 88% of the posterior probability is assigned to models with two or three components, and 11% to models with four or five components, whereas models with one component are never visited. Our major contribution is showing how to account for both model uncertainty and parameter estimation within a single framework.


2015 ◽  
Vol 31 ◽  
pp. 23 ◽  
Author(s):  
Evelyn Sample ◽  
Marije Michel

Studying task repetition for adult and young foreign language learners of English (EFL) has received growing interest in recent literature within the task-based approach (Bygate, 2009; Hawkes, 2012; Mackey, Kanganas, & Oliver, 2007; Pinter, 2007b). Earlier work suggests that second language (L2) learners benefit from repeating the same or a slightly different task. Task repetition has been shown to enhance fluency and may also add to complexity or accuracy of production. However, few investigations have taken a closer look at the underlying relationships between the three dimensions of task performance: complexity, accuracy, and fluency (CAF). Using Skehan’s (2009) trade-off hypothesis as an explanatory framework, our study aims to fill this gap by investigating interactions among CAF measures. We report on the repeated performances on an oral spot- the-difference task by six 9-year-old EFL learners. Mirroring earlier work, our data reveal significant increases of fluency through task repetition. Correlational analyses show that initial performances that benefit in one dimension come at the expense of another; by the third performance, however, trade-off effects disappear. Further qualitative explanations support our interpretation that with growing task-familiarity students are able to focus their attention on all three CAF dimensions simultaneously.Au sein de la littérature relative à l’approche fondée sur les tâches, on évoque de plus en plus d’études portant sur la répétition des tâches pour l’enseignement de l’anglais langue étrangère aux jeunes et aux adultes (Bygate, 2009; Hawkes, 2012; Mackey, Kanganas, & Oliver, 2007; Pinter, 2007b). Des études antérieures semblent indiquer que les apprenants en L2 profitent de la répétition de la même tâche ou d’une tâche légèrement différente. Il a été démontré que la répétition des tâches améliore la fluidité et qu’elle pourrait augmenter la complexité ou la précision de la production. Toutefois, peu d’études se sont penchées davantage sur les relations sous-jacentes entre les trois dimensions de l’exécution des tâches : la complexité, la précision et la fluidité. S’appuyant sur l’hypothèse du compromis de Skehan (2009) comme cadre explicatif, notre étude vise à combler cette lacune en examinant les interactions entre les mesures de ces trois éléments. Nous faisons rapport du rendement de six jeunes âgés de 9 ans qui apprennent l’anglais comme langue étrangère alors qu’ils répètent une tâche impliquant l’identification de différences. Nos données reproduisent les résultats de travaux antérieurs en ce qu’elles révèlent une amélioration significative de la fluidité par la répétition de tâches. Des analyses corrélationnelles indiquent que l’amélioration d’une dimension lors des exécutions initiales se fait aux dépens d’une autre; cet effet de compromis disparait, toutefois, à la troisième exécution. Des explications quali- tatives supplémentaires viennent appuyer notre interprétation selon laquelle la familiarité croissante que ressentent les élèves avec une tâche leur permet de se concentrer sur les trois dimensions (complexité, précision et fluidité) à la fois.


2018 ◽  
Vol 7 (1) ◽  
pp. 17-42
Author(s):  
Milijana Novović Burić ◽  
Vladimir Kašćelan ◽  
Milivoje Radović ◽  
Ana Lalević Filipović

Abstract Insurance companies are facing major challenges that point to the need for control process and risk management. Risk management in insurance has a direct impact on solvency, economic security, and overall financial stability of insurance companies. It is very important for insurance companies to adequately calculate risks to which they are exposed. Asset liability management (ALM), as an integrated approach to financial management, requires simultaneous decision-making about categories and values of assets and liabilities in order to establish the optimum volume and the ratio of assets and liabilities, with the understanding of complexity of the financial market in which financial institutions operate. ALM focuses on a significant number of risks, whereby the emphasis in this paper will be on interest rate risk which indicates potential losses that may reflect in a lower interest margin, a lower value of assets or both, in terms of changes in interest rates. In the above context, the aim of this paper is to show how to protect from interest rate changes and how these changes influence the insurance market in Montenegro, both from the theoretical and the practical point of view. The authors consider this to be an interesting and very important topic, especially because the life insurance market in Montenegro is underdeveloped and subject to fluctuations. Also, taking into account the fact that Montenegro is a country that has been making serious efforts to join the EU, it is expected that insurance companies in Montenegro will strengthen their financial position in the market even using the ALM traditional techniques, which is shown in this paper.


2012 ◽  
Vol 28 (5) ◽  
pp. 1085 ◽  
Author(s):  
Dana Hollie ◽  
Shaokun Carol Yu

While SFAS No. 131 is intended to increase the transparency of financial reporting using a management approach, it may reduce shareholders ability to interpret segment disclosures relative to the industry approach employed under SFAS No.14. This study investigates whether segment reconciliation differences affect stock prices and whether abnormal returns can be earned using information about two components of earnings: aggregated segment earnings and segment earnings reconciliations. We compute reconciliations as the difference between firm-level consolidated earnings and aggregated segment-level earnings. Firms that report negative SERs have greater sales and profitability, greater return on equity, as well as more operating cash flows and firm growth. This suggests that firms that report aggregated segment earnings greater than firm-level consolidated earnings may be better off financially. Our findings show that mispricing does occur when firms report positive SERs by the market, underestimating the segment earnings reconciliation component of earnings persistence. Investors can also earn positive abnormal returns when investors take a long (short) position with the portfolio with the highest (lowest) absolute SERs. On the contrary, we find investors earn negative abnormal returns when firms report negative SERs. Collectively, this study provides evidence that mispricing occurs and that investors over/underestimate the importance and/or persistence of segment earnings reconciliations.


2016 ◽  
Author(s):  
Miriam C Klein-Flügge ◽  
Steven W Kennerley ◽  
Karl Friston ◽  
Sven Bestmann

AbstractIntegrating costs and benefits is crucial for optimal decision-making. While much is known about decisions that involve outcome-related costs (e.g., delay, risk), many of our choices are attached to actions and require an evaluation of the associated motor costs. Yet how the brain incorporates motor costs into choices remains largely unclear. We used human functional magnetic resonance imaging during choices involving monetary reward and physical effort to identify brain regions that serve as a choice comparator for effort-reward trade-offs. By independently varying both options' effort and reward levels, we were able to identify the neural signature of a comparator mechanism. A network involving supplementary motor area (SMA) and the caudal portion of dorsal anterior cingulate cortex (dACC) encoded the difference in reward (positively) and effort levels (negatively) between chosen and unchosen choice options. We next modelled effort-discounted subjective values using a novel behavioural model. This revealed that the same network of regions involving dACC and SMA encoded the difference between the chosen and unchosen options' subjective values, and that activity was best described using a concave model of effort-discounting. In addition, this signal reflected how precisely value determined participants' choices. By contrast, separate signals in SMA and ventro-medial PFC (vmPFC) correlated with participants' tendency to avoid effort and seek reward, respectively. This suggests that the critical neural signature of decision-making for choices involving motor costs is found in human cingulate cortex and not vmPFC as typically reported for outcome-based choice. Furthermore, distinct frontal circuits ‘drive’ behaviour towards reward-maximization and effort-minimization.Significance StatementThe neural processes that govern the trade-off between expected benefits and motor costs remain largely unknown. This is striking because energetic requirements play an integral role in our day-to-day choices and instrumental behaviour, and a diminished willingness to exert effort is a characteristic feature of a range of neurological disorders. We use a new behavioural characterization of how humans trade-off reward-maximization with effort-minimization to examine the neural signatures that underpin such choices, using BOLD MRI neuroimaging data. We find the critical neural signature of decision-making, a signal that reflects the comparison of value between choice options, in human cingulate cortex, whereas two distinct brain circuits ‘drive’ behaviour towards reward-maximization or effort-minimization.


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